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.

Filter by
Sorted by
Tagged with
0
votes
3answers
105 views

The effect of coupon frequency on the price of a bond

I'm trying to prove how coupon frequency affects a bond price. I get it intuitively but I have not found a math proof. Could you help me?
0
votes
1answer
43 views

Valuation of Floating Rate bond

Let say, I have some floating rate bond where the coupon depends on 6-month Libor with semi-annual payments. In a typical text-...
1
vote
1answer
62 views

The meaning of balance sheet intensive instruments

What does it mean for an instrument to be "balance sheet intensive"? I found people mean it different things. People say bonds and repos are balance sheet intensive. Some say swaps are ...
3
votes
0answers
75 views

Application of Ito's lemma relating to bond price

I'm interested in solving the following questions but I am confused on the second part because I do not know how to define/calculate the interest per "unit time", which I'm guessing is ...
0
votes
1answer
47 views

Relationship Between Yield Curve and STRIP Prices

Suppose at different maturities (e.g., 1 year from now, 2 years from now, 3 years from now, etc.), the price of a STRIP security is consistently decreasing as the maturity increases all else held ...
1
vote
1answer
52 views

How can the face value of a bond not be a round number?

I'm reading Bruce tuckman's "fixed income securities" and I'm at the section that is explaining arbitrage. In the chart below, the cash flows are based off the biannual interest rates * the ...
1
vote
1answer
96 views

Basel compliant Bonds

Recently in India, one of its largest banks issued something called Basel-3 compliant bond. Details here - https://www.business-standard.com/article/finance/state-...
0
votes
0answers
30 views

Immunization of Portfolio of Bonds

I have a question regarding immunization portfolios that are continuously compounded. Suppose we have the following three bonds: Bond 1: one year zero coupon with principal of $100 Bond 2: two year ...
1
vote
1answer
95 views

Market price of risk of different maturities

T. Bjork Arbitrage Theory in Continuous Time Proposition 23.1 "Assume that the bond market is free of arbitrage. Then there exists a process $\lambda$ such that the relation $\frac{\alpha_T(t)-r(...
2
votes
3answers
100 views

Bond prices and probability of default

We learn in Finance 101 that the price of a bond is the present value of future cash flows. There is no mention of default risk. Still, bond prices move each day, without a change in the payment ...
1
vote
0answers
28 views

Mismatch of periods with numeraire compared to the forward rates

In Joshi's The Concepts and Practice of Mathematical Finance Page 323--324 I believe that there may be a mismatch of periods with forward rates: Consider time partition $t_{0} < ... < t_{n}$ ...
2
votes
0answers
39 views

Nelson Segel Model calculation of the zero bound price at time zero that expires in 2 years

I am somewhat stuck and not sure how to proceed, so any help would be appreciated. I got the Nelson Siegel model with all parameters for the real data. The curve that is produced is yield vs maturity. ...
2
votes
1answer
356 views

understanding carry for Fixed Income Securities in Pedersen

I'm following the famous paper Carry of Pedersen et al. I have a particular question about the section Global Fixed Income Carry. My main questions are around equation 15. They define Carry as $$C_t:=\...
1
vote
1answer
125 views

If I have the present value of an amortizing bond's cashflows, how do I figure out price?

Say that I correctly compute the sum of cash flows of a given bond. How does this relate to the quoted price that most people understand? IE, based on the sum of cashflows I derive a PV of 5,000,000 ...
0
votes
1answer
35 views

Is the risk the same for two different tenor bonds with the same DV01?

I have two different bonds (for e.g. 1yr and 10yr) that have the same DV01. The notional for 1yr bond is definitely more than the 10yr bond. Is the risk same for the bonds the same because DV01 for ...
0
votes
1answer
78 views

Why Yield cannot be calculated for short dated Bonds using Quantlib

I am trying to calculate a yield from a clean price using Quantlib for Bond. I play a lot with the Quantlib samples (Bonds.java) and succeed but when I change to set today close to maturity, Quantlib ...
0
votes
1answer
102 views

What are the most commonly used models in capital structure arbitrage?

That is, when trading stocks against bonds of the same companies.
0
votes
2answers
108 views

Meaning/importance of “yields” (bonds) [closed]

After reading many articles on bond yields (yield-to-maturity) I'm still not getting what they are used for by investors. I understand the math behind its evaluation, but, say, what exactly I can tell ...
0
votes
0answers
34 views

Why does lower interest rate result in higher debt issurance?

Is it because lower interest would reduce coupon rate since coupon rate have to be higher than the interest rate to remain attractive for debtholders? For reference: https://marketrealist.com/2014/03/...
0
votes
1answer
49 views

QuantLib Compounded vs CompoundedThenSimple and Simple vs SimpleThenCompounded

I was experimenting on a FixedRateBond on QuantLib python port and have a question on the use of Compounded vs. CompoundedThenSimple methods of discounting. I am using the FixedRateBond.dirtyPrice() ...
1
vote
0answers
30 views

Forward contract on a defaultable coupon bearing bond

Notations : $P(t,T)$ : the $t$-price of a coupon bearing bond paying coupons $C_i$ at $T_i$ maturing at $T$ $B(t,T)$ : the $t$-price of a non defaultable zero coupon bond paying 1 at $T$ $P_r(t,T)$ : ...
0
votes
1answer
54 views

dirtyPrice() and discounting curve on QuantLib

I am pretty new to Quant field and QuantLib and have been having the following problem when trying to model a very simple fixed rate bond using Python. It looks like the library does not use the ...
1
vote
2answers
101 views

Day count methods and actual coupon payments

Assume I have a bond that pays 5% coupon anually on the last day of the year. The day count method used to calculate accrued interest over time is "days actual / 360". The day before the ...
2
votes
1answer
91 views

forward contract on a defaultable zero-coupon bond

I'am trying to calculate the price of a forward on a defaultable zero-coupon bond. It is also true that the price will be given by Price a forward contract on a zero-coupon bond ? I guess the ...
0
votes
0answers
68 views

Expectation hypothesis, expectation under which measure?

As I understand the expectation hypothesis says that the implied forward rate, can be used to predict future spot rates? If $r_{0,2}$ is the rate for a zero coupon bond maturing in two years, and the ...
1
vote
1answer
132 views

issue with benchmarks in “standard securities calculation methods”

I wonder if anyone is using the benchmark cases in "Standard securities calculation methods" issued by Securities Industry Association (Vol 1, 3rd ed.) to calibrate their implementations for ...
1
vote
0answers
39 views

Funding in Bond Market [closed]

Can you please explain what are we usually referring to when we talk about the funding rate of a bond? Also, what is the relation of a repo rate with a bond. The question is open, so any comment or ...
0
votes
0answers
92 views

Can the duration of a floating rate bond with yield spread be negative?

Summary In my calculations below I find that the effective duration(not spread duration, but interest duration) of a floating rate bond with yield spread can become negative. Do you see if they are ...
2
votes
1answer
143 views

Duration of a floating rate bond with spread

I need to calculate the duration of a floating rate bond with spread. With zero spread the price of the bond is given by: $$p_\tau=(1+c_1)e^{-r(\tau_1) \cdot \tau_1}$$ so the duration is: $$-\frac{\...
0
votes
1answer
113 views

Do floating rate bonds always trade near par?

Do we in practice have that floating rate bonds trade only at par? How is credit spread included in floating rate bonds in practice? The way I see it is two possible ways. The first is that we have a ...
0
votes
1answer
85 views

Novice question about bond pricing [closed]

I'm reading a material on DV01 calculation which use a example as follows: current 10-year Treasury note that is cheapest-to-deliver into the March 2009 10-Year Treasury Note futures contract: the 5-1/...
3
votes
1answer
224 views

Yield of a Bond

If we have a coupon bearing Bond and want to calculate it's Yield then what is the standard practice to determine the ...
2
votes
2answers
86 views

Convention for computing returns on bond futures

From the CME website, we know that the contract unit for bond futures is "face value at maturity of $100,000". Which of the following is more appropriate the convention to compute "...
0
votes
0answers
160 views

Why is the effective duration of a floating rate bond the time to the next payment?

I am wondering why the effective duration of a floating rate note is the time to the next payment. Effective duration is is defined as $$\frac{V_{-\Delta y}-V_{+\Delta y}}{2V_0\Delta y},$$ for a small ...
1
vote
1answer
205 views

How to compute par yield from zero rate curve?

How does one calculate the below two-year par yield given the zero rate curve: Assume the following two-year zero rate curve, with continuous compounding: ...
0
votes
1answer
63 views

Computing Yield of a Sonia Bond

How to compute yield from the price for a sonia bond. Example XS 1848770407 issued by ecB maturity 29th June 2023. semi annual cpn. Floating base SONIA compound +35 Bp. Traded price on 21st Aug 2020 ...
0
votes
0answers
81 views

Will modified duration and effective duration be the same for floating rate bonds with no option-elements?

Let $P(r_1)$ be the present value for a floating rate bond, with no option-elements, where $r_1$ is the interest rate to the first payment. Is it then correct that the modified duration is $$-\frac{\...
0
votes
2answers
147 views

How to price this Bond

I have below Bond - Issue date : 1/1/2020 Principal 1,000 Coupon : 8% pa Frequency : Semi-annual Tenor: 2 years This Bond has 2 specific characteristics - At the ...
3
votes
2answers
125 views

FED rate cuts don't exist

I would just like to confirm my understanding of how the FED controls interest rates. In my view there's no such thing as changing an interest rate. Because rate/yield is just an effect of price ...
0
votes
1answer
45 views

Where bonds are marked v.s.where bonds are traded

We can get bond live prices from various venues, for example, BBG's CBBT prices. Usually you would get bid/ask prices. Are these prices prices that people called bonds' marked prices ? are they ...
1
vote
1answer
83 views

Quantlib: How do I price a bond after having built a term structure

I below are my codes using QuantLib to build a term structure What I would like to do is use that to price any hypothetical bond lets say startdate : 8 Feb 2016 end date : 8 Feb 2021 coupons : 10% ...
0
votes
1answer
85 views

Vasicek model - Bond price and volatility

Why does the bond price under the Vasicek model increase as the rate volatility increases? What is the intuition behind this?
0
votes
1answer
73 views

Where to Get the Yield of One Year Constant Duration TIPS ( inflation protected bonds)

Do you know where can I get the Yield of One Year Constant Duration TIPS ( inflation protected bonds). I found the yield of 5 year, but never could get the data for one year. Many thanks!
0
votes
1answer
85 views

Which curve is better to approximate bond yields (python)

I would like to approximate bond yields in python. But the question arose which curve describes this better? ...
2
votes
1answer
48 views

(Self-study) Futures, bonds, and arbitrage

I'm currently self studying futures, so I'm sorry if this questions comes off a bit stupid. I'm currently reading a book by Walsh, J.B. Knowing the Odds: An Introduction to Probability. I quote this ...
1
vote
2answers
119 views

Clean vs dirty price for bonds

Why the clean price is mostly quoted in the US bond markets and the dirty price is mostly quoted in the European bond markets?
1
vote
1answer
57 views

reason behind bond yield diverge for bonds with the same maturity during 2008 crisis

I was told that the following two US treasury bonds diverged in yields during 2008 crisis up to 80 bps. what was the reason for it ? They are both matured in 15th Aug 2015 but has different coupon ...
0
votes
0answers
29 views

How do I get the CUSIPs of all bonds issued by a company?

I know that I can get prices for particular bonds from FINRA (http://finra-markets.morningstar.com/BondCenter/Default.jsp) if I know the CUSIP. But what I want is a list of bonds for a particular ...
1
vote
1answer
42 views

Calculating coupon yield and continous compounding

I need to calculate the yield of a 2 year Coupon Bond. Price = 98, Coupon = 3.5, N = 100. Now when I try to solve this, I arrive at the equation: $$ 98 = 3,5*e^{-y}+103,5*e^{-2*y} $$ But I can't ...
0
votes
1answer
71 views

What is the most convincing method/formula for carry and rolldown (in nominal terms) of inflation protected bonds

It is interesting that there is no thorough discussion and clear derivation on this per my search. I know TIPS are complex (compared to nominal bonds). The naive use of simple spot/forward yield ...

1
2 3 4 5
10