# Questions tagged [bond]

A bond is a fixed-income instrument generating cash flows at some specific dates in the futures. These cash-flows depend on the interest rate of the bond, which can either be fixed or variable. It is a debt instrument acting as a loan made from the buyer to the seller.

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### Mean-reversion strategy with bonds

I’m developing a mean-reversion trading strategy involving two bonds and have successfully identified a cointegrating relationship between them. This gives me a hedge ratio (beta) for my positions. ...
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### How is yield calculated for a portfolio?

If you have a portfolio of US government bonds and treasury futures, and you want to calculate the yield of the portfolio, how would you do this? Would you say $\sum_{i=1}^n w_i y_i$ where $w_i$ is ...
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### End of Month Switch Option calculation in Burghardt's Treasury Bond Basis

Burghardt, in his book, outlines the way one can value the government bond basis and value its richness/cheapness. The steps are the following: Calculate historical betas for yield changes Create a ...
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### Estimating the price of an illiquid 5y bond futures contract

Say I know the price of 10y Gilt futures, 10y Treasury futures, 5y Treasury futures, and GBPUSD futures. I am asked to produce a quote on 5y Gilt futures using only this data. What is a sensible ...
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### Parallel shift in spot yield curve moves the IRR of a bond portfolio in the same direction: Analytical Proof

I am trying to prove that a parallel shift in the spot yield curve will as its effect have the IRR of a bond portfolio move in the same direction and by the same amount. I have tested this on few ...
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### Market Data UST

There a lot of new market data providers for retail algo traders. For example the famous one for option is Theta Data Net and for Equities it is Polygon IO. You basically get all the greek/price data ...
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### Bond Basis (non CTD)

I had a query regarding the trading of non CTD (but deliverable) basis. Obviously someone can buy non CTD basis (buy cash / sell bond future), with the hopes this widens, clearly I would not want to ...
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### Recommended Setup for QuantLib-Python AmortizingFloatingRateBond

I am trying to model a term loan in QuantLib-Python that makes quarterly interest payments at CME Term SOFR 3M + 10bps + 525bps paid in arrears with a 2 business ...
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### Why is accrued interest prorated linearly?

Cashflows from coupons and principal are discounted using the YTM to get PV of the bond in dirty price. as shown here in this question Misunderstanding of 'day counts' and accrued interest ...
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### Deriving solution to bond pricing equation

Consider the Vasicek model for the spot model: $$𝑑𝑟 = (𝛼 − 𝛾𝑟)𝑑𝑡 + √𝛽𝑑𝑊$$ Suppose $𝛾 = 0.1, 𝛾 = 0.1$, and the volatility of the process is 0.02. The spot rate is 10%. Assume the form of ...
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### Expected return on treasury basis trades

There have been a lot of articles on Treasury basis trades. What types of levels are targeted in this trade? Am I correct in seeing that the basis seems to be less than 10 cents in the dollar so ...
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### Calculating spread on a par rate curve given bond’s coupon and yield

In Tuckman and Serrat’s Fixed Income Securities, they give an example of a bond and state its coupon and yield. They also provide an HQM par rate curve and quote the bond’s spread to this curve. How ...
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### Securities lending vs repo transactions

I have recently started on a repo/SBL trading desk and I am struggling to understand some theory. Normally, in a secured hard-to-borrow secured transaction, I pledge general collateral, receive the ...
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### Setting up QuantLib to get correct yield for bond with long first payment period

I am dealing with fixed rate bonds. There is one particular bond, 34659UAC0, that caught my eye. This bond has a first coupon period of a whopping 5 years, followed by regular periods of 6 months. My ...
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### India 10yr Government security/bond yields

Which sites can provide historical data for India 10year government security which is monthly. Im assuming yield implies total return data (including dividends/interest) reinvested. Im a newbie so pls ...
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### Bond basis arbitrage

The popular media refers to US.bond future basis trades in some contracts as arbitrage..they cite that as the future trades richer to cash hedge funds can buy basis and make money. I'll assume they'...
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### Simulating the Term Structure of Interest Rates in the CIR model

I have successfully implemented the CIR model of the short rate, and now want to use these short rate paths to construct distributions of various tenors - 2y, 3y, 5y, 10y for example - across the ...
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### Constant maturity bond fund returns in downward sloping curve

Assume the following: we are running a constant maturity bond fund (10yrs) all zero coupon bonds to maintain the maturity, we buy bonds of 10y and sell the 9y bonds 1y later price of 10y bond is 100, ...
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### GBP OIS Curve - Zero Rate Curve Calculation in Quantlib

I am new to Quantlib and I am looking to create a Zero Rate Curve from GBP OIS to then use to calculate the present value of fixed rate bonds. I have Looked at the documentation: https://quantlib-...
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### Why are random coupons not priced using risk-neutral evaluation?

Assume a fixed coupon bond has a coupon which, randomly, is 5 % or 4 %, each occuring with a 50 % probability. The issuer flips a coin on payment date to decide which it should be. I would value this ...
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### Bond curve fitting, practical question

when fitting gov bond curves, What are different logic's used by traders to set the weight for the different bonds ?
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### DV01 for Bond Forwards

Does anyone know how to get the DV01 of bond forwards from Bloomberg? I used FPA to get the forward price but can't figure out how to get the DV01. Thanks!
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### Autocall Selling Process [closed]

I'm new in structured products and I need some help for understanding some stuff on autocall. When a client gives his money to the bank for investing in an Autocall, this money goes in a ZCB and in ...
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### In the life of a bond future contract, can a bond be removed from the delivery basket?

It is clear that a bond can be added to the delivery basket in the life of a contract. For example, a new issuance. But can a bond be removed from a basket?
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### Question about (lLack of) Risk Neutral Bond Pricing in Duffie & Lando (2001)

I have been reading this famous paper of Duffie & Lando (2001) and I have a question regarding how they calculate the price of a bond (the reader of this post will not have to dive deep into the ...
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### Instantaneous forward rate and bond prices

Let $P(t,T,T+\tau)$ be the time $t$ forward price for a zero coupon bond (ZCB) spanning $[T, T+\tau]$, and $f(t,T)$ be the time $t$ instantaneous forward rate to time $T$. The relationship between the ...
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### Par Yield vs Spot Rate Term Structure

Using bootstrapping, i can derive spot rate curve from Treasury par yield curve. I added a couple extra maturities to the par curve, 60 year at +10bps to 30 year, then hold flat for the next 50 year. ...
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