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
1 vote
0 answers
10 views

How to calculate the gaussian VaR for a portfolio with 3 corporate bonds and 1 IRS payer?

As data I have the daily change of zero coupon spot rates for some vertex (0.25, 0.5, 1, 2..) and the daily change of z-spread for corporate bonds, also by vertex
user avatar
2 votes
0 answers
30 views

The price of liquidity

We are currently in the US Treasury roll period when investors are rolling from the previously issued notes and bonds into the currently issued notes and bonds, aka "Rolling from Off-The-Runs to ...
user avatar
  • 5,030
0 votes
0 answers
43 views

short rate, yield curve and zero-coupon bond price formula under CIR mode: How to calibrate the market price of risk

I recently read a document posted by a user in QF, who said that "In the past, I have calibrated simple short rate models to the term structure by using maximum likelihood to get the parameters ...
user avatar
  • 409
1 vote
1 answer
51 views

Treasury futures wild card option (Monte carlo simulation)

I recently joined a bulge bracket bank in New York City trading the long-end but mostly doing a lot of analysis until I get up to speed. I'm working on the Wildcard model which is going to be an ...
user avatar
1 vote
0 answers
46 views

Is there a closed form solution to the following system of SDEs?

Suppose we have the system \begin{align} dr_t=\alpha_r(x_t-r_t)dt+\sigma_rdW_t^r\\ dx_t=\alpha_x(\bar{x}-x_t)dt+\sigma_xdW_t^x\\ \end{align} As this system is affine, I believe there should be an easy ...
user avatar
  • 123
0 votes
2 answers
78 views

How to calculate the yield of a perpetual bond that pays a floating coupon payment?

I know that perpetual bonds are becoming a rare phenomenon and that ones that pay a variable coupon are even rarer. However, I believe that there are such bonds out there, and I'm hoping that someone ...
user avatar
  • 373
1 vote
1 answer
88 views

How to break down yield to maturity to different components?

Suppose we have the PV of a bond, as well as two separate streams of cash flows, say, $C_a$ and $C_b$ that make up the total annual cash flows $C$ (i.e. $C=C_a+C_b$). In other words, suppose we have, \...
user avatar
  • 123
1 vote
1 answer
86 views

How can I optimize a Bond Portfolio in Practice?

I'd like to optimize a bond portfolio with different bond classes (government bonds, corporates, ...) and different ratings as well as maturities. Is this even possible to optimize such a portfolio? ...
user avatar
0 votes
1 answer
36 views

Bond Discounting Error With QuantLib

I have a list of bond coupons, their maturities and their current price. I want to find their corresponding discount factors. The code I have used is from the QuantLib cookbook, attached below: ...
user avatar
0 votes
0 answers
39 views

Jarrow and Turnbull (1997) Discrete time forward rate confusion

I'm reading Jarrow and Turnbull (1997). They defined $p(t,T)$ as the time $t$ price of a default free zero coupon bond paying a sure dollar at time $T$ where $0\le t \le T$ (in year). They also ...
user avatar
  • 103
1 vote
0 answers
79 views

Can 2 unique Instruments have the same ISIN?

I always thought that 1 ISIN uniquely identifies 1 financial instrument. However, I have come across cases, where the same ISIN is used for a stock and a bond: ...
user avatar
  • 1,132
1 vote
1 answer
49 views

Does a bond pay a coupon at maturity? [closed]

I know a bond pays an annuity cashflow of coupon payments and then at maturity it pays the face value. But, at maturity, does it pay an additional coupon payment on top of the face value or are we ...
user avatar
  • 11
0 votes
0 answers
45 views

Simple bond math calculation - Quantlib

I am reconciling a dirty price calculation using quantlib and I am having difficulty getting the same dirty price manually. I am confident it is used to the day count convention but I've tripled ...
user avatar
  • 21
0 votes
2 answers
55 views

Between these bonds, how to find out which is one pricey (Higher valuation) and cheap (Lower valuation)?

Trying to understand, how to find out which of these bonds are cheap and which are expensive? The current spot rate is 8.167%. How do I go about finding the cheap vs expensive bonds especially when ...
user avatar
  • 117
0 votes
0 answers
11 views

Finding Asset-backed Security Prospectuses in EDGAR

Currently, I'm trying to find prospectus on more esoteric types of asset-backed securities, such as those backed by various equipment so I that I can learn about how to model/structure such types of ...
user avatar
  • 41
0 votes
0 answers
50 views

Bootstrapping when cashflows are irregular

EDIT: this question was previously closed because it was 'assumed that it should be common knowledge'. I advise you to READ THE QUESTION PROPERLY and you will find out is is NOT common knowledge at ...
user avatar
  • 23
0 votes
1 answer
91 views

Zero Coupon Bond - Price and Yield when interest rate is a diffusion process and 0 "price of market risk"

Given that the price of market risk (or market price of interest rate risk) is $\lambda(r_t, t)=0$ and that we have the following dynamics of the interest rate (under the physical measure $P$. $$dr_t =...
user avatar
  • 155
0 votes
1 answer
80 views

Spot rate dominates the yield to maturity if the yield curve is normal

Let $y_{k}$ denote the yield-to-maturity of a $k$-period coupon bond. Let $S(k)$ denote the $k$-th period spot rate. If $y_{1}<y_{2}<y_{3}<\cdots$, then $S(k)\geq y_{k}$ for all $k\in \mathbb{...
user avatar
0 votes
0 answers
42 views

What is the standard bond stripping approach?

Suppose that the discounted payoff of an index-based cat bond with binary payoff, trigger level $Y$, risk exposure period until $T$, coupon payment $c$, maturing at time $T^\prime$, and nominal value ...
user avatar
  • 409
0 votes
1 answer
100 views

How do you calculate pull to par effect on z-spread?

Currently bonds are widening almost across all maturities and sectors. I'm looking at some senior bonds with maturities of less than 1 year, that have widened more than 100bps. This happened even ...
user avatar
0 votes
0 answers
38 views

Using linear regression to determine RV opportunities in yield curves

Hi all, I've been looking at potential trade ideas, trying to get an understanding of how to use linear regression to determine RV opportunities within swaps. Does anyone understanding how to ...
user avatar
0 votes
1 answer
85 views

"spread-to-maturity" as defined by Bloomberg

Bloomberg has a number "spread to maturity" they display in some screens for fixed coupon bonds. Does anybody know the exact definition of this spread? I am not sure which screen it is but ...
user avatar
  • 41
0 votes
0 answers
53 views

Price of a forward delivery bond - Quantlib python

I would like to find the bond price today which has already been issued but delivered later. Basically, the price won't include some of the coupons till the delivery date. Let's say 10 year bond ...
user avatar
0 votes
0 answers
39 views

Why are there so many money market yield measurements? (MMY, BEY, BDY) Are all of them really used?

I have heard teachers online explain that since these measures do not account for compounding they are "naive" and are "rough estimates" since they have such a short maturity that ...
user avatar
0 votes
4 answers
236 views

Does IRR (and therefore YTM) assume that all cashflows are reinvested at the IRR (or YTM)? If so, how does IRR the formula show this?

There are many articles I have read recently that say the reinvestment of interim cashflow idea in the IRR is a fallacy though I am not sure who to believe since so many resources, for example ...
user avatar
0 votes
1 answer
58 views

Where can I find historical daily market prices for long term treasury bonds? [duplicate]

I want to backtest some portfolios that involve leveraged long term treasury bond funds like TMF, at least as far back as the 1970s. Since there does not seem to be any T-bond ETFs with history going ...
user avatar
  • 1
2 votes
0 answers
105 views

Holding cost of risky sovereign debt in Europe

I am trying to better understand the sovereign bond market in the eurozone. In particular is it costlier for some institutions to hold periphery country bonds that contain more credit risk than say ...
user avatar
  • 1,252
0 votes
0 answers
102 views

Replicating a bond

In Shreve's Stochastic Calculus for Finance Volume II, section 6.5, page 273, Shreve talks about pricing a zero-coupon bond. A zero-coupon bond is a contract promising to pay a certain "face&...
user avatar
0 votes
1 answer
59 views

How do I calculate yield and trading margin of an Australian Dollar floating rate note?

I am trying to calculate the yield and trading margin on an AUD FRN in a robust manner. I am hoping someone can help with a few details. I am forecasting cash flows and solving for the discount rate ...
user avatar
  • 21
0 votes
0 answers
67 views

Forward Price from Spot Price QuantLib

Is there a way to compute the forward price of a bond from its spot price in QuantLib? Based on the documentation and on examples online, it seems that it is only meant to be used with a yield term ...
user avatar
  • 1
0 votes
0 answers
31 views

The minimal entropy martingale measure for insurance-linked securities pricing

Suppose that we have a CAT bond contract that pays coupons at discrete points in time as well as a principal at maturity time $T$ if no triggering event happens during the term of the contract. More ...
user avatar
  • 409
0 votes
0 answers
19 views

Standardize YTM's of coupon bonds with different coupon frequencies

In Financial Mathematics for Actuaries by Wai-Sum Chan and Yiu-Kuen Tse, the following formula is given for a $n$-year annual coupon bond with transaction price $P$ where the yield to maturity is $i_Y$...
user avatar
  • 113
0 votes
0 answers
37 views

Building a yield curve out of YTM's with different coupon periodicities

I want to graph a yield curve using the yield to maturity of my bonds. However, my coupon rates have different periodicities. Financial Mathematics for Actuaries by Wai-Sum Chan Yiu-Kuen Tse give the ...
user avatar
  • 113
1 vote
1 answer
149 views

Building a Nelson-Siegel curve

I originally posted this on Mathematics, but was told my question is better suited here. I want to graph a yield curve with an extended version of the Nelson-Siegel-Svensson. I have the issue date, ...
user avatar
  • 113
0 votes
1 answer
73 views

Risk factor mapping of a foreign bond

Suppose the investor is Australian, and there is a single, 3-month, USD-denominated zero-coupon bond with a face value of \$1 million USD. The AUD/USD exchange rate is \$1.2AUD/USD, and the 3-month US ...
user avatar
7 votes
1 answer
289 views

difference of carry for zero coupon bonds in Pedersen and Ilmanen

I know that carry was discussed broadly on this forum but I can't get my head around the following difference. If we talk about carry / rolldown I have trouble to see the connection / differences ...
user avatar
  • 39
1 vote
0 answers
59 views

Calculate the duration of group of Bond ETFs

Is it correct to get the weighted average of a bunch of bond ETFs to get the duration? Is it theoretical correct to say that. I have 6M AGG (duration 8.39), 30M BND (duration 8.7), 60M SHY (duration 1....
user avatar
0 votes
0 answers
65 views

Why do we get a higher yield when we pay the interest at the end?(bonds)

I have an example where I show that if you pay the tax at the end of the bond period, the yield after tax is higher, but I am wondering if it is possible to give an explanation as to why it is like ...
user avatar
0 votes
1 answer
34 views

Price Adjustment Interest (PAI) for collateral Bond

I understand that, if cash is put as collateral, the party holding the collateral needs to pay the counter party the funding cost of the cash collateral (PAI). How about if bonds are put as collateral?...
user avatar
0 votes
2 answers
106 views

Why do we have daily series of T-bill yields?

I understand that each week the US Treasury issues new T-bills at different maturities (1-month, 3-months, 1-year, etc). As far as I understand, this issuance happens every Tuesday. After the auction, ...
user avatar
0 votes
0 answers
57 views

How to calculate spot rate for maturity which does not have a zero-coupon bond?

How do I calculate zero-coupon yields for a maturity which does not have an equivalent zero-coupon bond? For instance, let's say we have this spot rate curve: t0.5=1% t1=2% And a bond which has a ...
user avatar
  • 23
1 vote
0 answers
37 views

Is there an Ops Risk in being short a bond on the redemption date?

I am trying to understand whether everyone needs to be long or flat when a bond is redeemed, or being short a bond at that time is also not an issue
user avatar
1 vote
1 answer
114 views

Quantlib match clean price with bbg clean price

I'm trying to match QL clean price with BBG clean price for POLGB 2.75 10/25/29 1029 priced for 15th of October 2021 for 2.5% yield. I'm not sure if my setup of bond is wrong or if there is a problem ...
user avatar
0 votes
1 answer
66 views

Duration and convexity of an open term loan/bond!

Imagine an open term loan with monthly interest payments of [x]% and the principle due when the loan is closed. Both the lender can call the loan, and the borrower can return the loan (with no penalty)...
user avatar
2 votes
3 answers
148 views

Estimate yield of coupon bond given yield of zero coupon bond

Suppose that now is August 2006 and we have the following zero-coupon bonds: Maturity: August 2007, Price: 95,53 ...
user avatar
  • 183
1 vote
1 answer
89 views

How to calculate zero-coupon curve for Italian BTPs?

On the BTP curve, we have the following Bonds (just showing you an extract) I want to calculate z-spreads my self therefore I need the zero-coupon curve. How do I go about doing this? Do I look at ...
user avatar
  • 23
3 votes
2 answers
240 views

How to minimize Nelson-Siegel parametric form

Problem I am given the following function to minimize (w.r.t. $\theta$) $$f= \sum_{k=1}^5 \Big [ \sum_{i=1}^{N_k} CF_{k, i} \cdot e^{-r(t_{k, i}, \theta)\cdot t_{k, i}} - P_k^* \Big]^2$$ where $\...
user avatar
2 votes
0 answers
86 views

Actual360 convention in quantlib schedule

I'm trying to make a payment schedule for different bonds in quantlib. For example, I made such a schedule: ...
user avatar
  • 183
2 votes
0 answers
56 views

Yield to maturity of amortized bond

I have an amortized bond with maturity at 30.04.2023, a semiannual frequency, 10% coupon rate, 30Е/360 day convention, and a clean price of 104.9367. Also, there are two amortization payments: 300 at ...
user avatar
  • 183
1 vote
1 answer
82 views

30E/360 bond payment schedule

I have a bond that was issued on the 30th of April with 30/360 European day convention basis and semiannual compounding. As far as I understand payments should be every 180 days according to the day ...
user avatar
  • 183

1
2 3 4 5
12