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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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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: $$ ๐‘‘๐‘Ÿ = (๐›ผ โˆ’ ๐›พ๐‘Ÿ)๐‘‘๐‘ก + โˆš๐›ฝ๐‘‘๐‘Š $$ Suppose $๐›พ = 0.1, ๐›พ = 0.1$, 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 bondโ€™s coupon and yield

In Tuckman and Serratโ€™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 bondโ€™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-...
TheGr8Destructo's user avatar
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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!
Stephanie's user avatar
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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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QuantLib calculations for a Canadian corporate fixed rate bond differ from BBG YAS

I am pricing a non-callable, fixed-rate, Canadian corporate bond with the following parameters: Name Value CUSIP 12657ZAT0 Evaluation Date 2/14/2024 Settlement Date 2/16/2024 Bond Issue Date 3/6/...
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How does the isInArrears affect the quantlib IborLeg? [closed]

Deal details ...
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Bootstrapping annual and semi annual bond [duplicate]

https://www.wallstreetmojo.com/bootstrapping-yield-curve/ a) This is the standard method for bootstrapping: From the 0.5-year maturity the spot rate or the discount rate is 3% and let us assume the ...
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FRN duration when discount curve and projection curve have non-perfect correlation

The textbook example assumes that discount curve and projection curve are the same (or have a perfect correlation). What happens with the FRN's duration when it is not the case? For example, there are ...
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Bond option price under hull-white model with different settlement and expiration dates

I am aware of bond option (lets say, call option) price formula under Hull-White model, for example, here - https://www.applied-financial-mathematics.de/sites/default/files/Teaching/...
Madhuresh's user avatar
3 votes
2 answers
320 views

Allocating bond PnL in a similar way to swaps

In fixed income trading, a portfolio may have a large number of derivatives (swaps) positions which are typically aggregated into bucketed points on a curve and a PnL estimation is usually derived via ...
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Benchmark Treasury Curve Data

I want to calibrate US treasury bonds to get a benchmark curve as an exercise. I know that choice of bonds may be discretionary. But can you point me to any good public data source where I can get ...
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Calculating present value of a bond (understanding a step)

Our professor calculated the present value of a bond with $T=10$ years, $FV=10,000$โ‚ฌ, $C=700$โ‚ฌ p.a. and an expected rate of return $r$. He wrote $$\begin{align}PV&=C\cdot\sum_{n=1}^{10}\frac{1}{(1+...
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Mathematical meaning of an inverted yield curve

I am currently working on rates model. I would like to understand, mathematically, what does it mean to have an inverted yield curve? And I am asking myself for a certain model, how can I generate an ...
StochasticMan's user avatar
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158 views

Is the Forward Price of a bond subject to the Pull to Par?

From my understanding: FwdPx= SpotPx - Accruals + Financing Assume that the yield curve is flat/or that the bond yield stays the same the next day, i.e. that the market is unchanged and that the only ...
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What are the drivers for tapping a bond?

I believe there are several drivers which bring a government to tap a bond: Reduced issuance in that particular bond line Liquidity of the bond Attractiveness of the bond Price above par Could you ...
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4 votes
1 answer
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Inflation Bond accrued inflation

Let's say an inflation bond has inflation adjusted coupons and nominal. With respect to dirty and clean price, is the accrued inflation of the nominal usually included in the clean quote? For example, ...
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Decomposing a bond's excess returns into duration, volatility, and market-price-of-risk. Discrepancy/confusion with Rebonato text

I am working on deriving the formula for the market price of risk for zero-coupon bonds and the associated formula for the excess returns. I am following the derivation in Appendix 12.6 of Rebonato's ...
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QuantLib FittedBondDiscountCurve does not produce expected rates

I am using the QuantLib library to fit yield curves. For a $\\\$100$ face bond, with price equal to $\\\$100$, and coupon equal to $\\\$0$, I would expect it to provide a zeroRate of $0.0\%$. However, ...
Trevor J Richards's user avatar
1 vote
1 answer
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How does historical data from bloomberg interact with timezones?

I'm running analysis on multiple countries bonds over a long stretch of time. I was asked about what determines the date of data in Bloomberg, ex: December 31st in NY will be January 1st in Japan and ...
Ahhhhhhhhh's user avatar
2 votes
1 answer
111 views

Pricing bonds using comparables

I have a corporate bond xy that I would like to price looking at comparable bonds, How do I identify comparables and what matrics should I look at to price my own xy bond? Should i just simply take ...
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How do you calculate the market value of a bond position?

I got this question in an interview - and I answered it in terms of DVO1 and MTM positions in our Order management system. How would you have answered this question ? ...
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Pricing Government Bonds use OIS or Gov. ZC Yields?

I am pricing government bonds ranging from JPN, GERMANY, UK, India to NIGERIA, MXN, ARG, Brazil etc. What is the better approach to use OIS for each currency or build a curve using government zero ...
Skittles's user avatar
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1 answer
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Bond indices : where to find yields and asset swap spreads by rating and average duration?

I am looking for alternatives or relatively similar information about historical data for yields and/or asset swap spreads for bond indices in major currency. I would like to gather the info by rating ...
Jean Dessain's user avatar
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1 answer
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Is this linear interpolation for clean bond price an approximation?

Consider the attached discussion from Berk and Demarzo's Corporate Finance. I am confused about the calculation of a bond's "clean price". It seems that the procedure described above seems ...
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Where to look for data on bonds? [duplicate]

Greetings I am looking for data on bonds. When I go into Yahoo Finance and I type in F for Ford it does not bring up anything about bonds just like that other website(firna) it goes straight to stock ...
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Is there a relationship formula between Bond YTM, ZSpread ( to OIS ) and OIS rate?

It seems to me that : $$\begin{aligned} P_{Dirty} &= \sum_i(\text{cashflow}_i * \exp( - \text{yield} * t_i ) ) \\ &= \sum_i( \text{cashflow}_i * \exp( - ( \text{OIS}...
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How do you interpret the portfolio DV01?

I am having trouble understanding the active dv01 of a portfolio? If the active dv01 of a portfolio is -10,000, what does that mean, all else equal? And what are different ways of increasing dv01 of a ...
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Barrier Reverse Convertible on interest rate

I'm trying to find the price of an barrier reverse convertible on interest rate - https://structuredproducts-ch.leonteq.com/isin/CH1251797945. I have simulated the underlying interest rate by Vasicek ...
ballastexitenz's user avatar
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I am trying to compute the the tail of a future roll using the ratio of forward dv01

I am trying to compute the the tail of a future roll using the ratio of forward dv01, per the link CME: Calendar Spreads with Tails : I am trying to compute the the tail of a future roll using the ...
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Can I use Nielson Siegel to 'interpolate' par yield

The NS model initially set a parametric form for forwards and we can get equivalent zero rates. If I have a few par yields, can I simply fit the par yields to the NS form or the NS form of the zero ...
HoldBreath's user avatar
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119 views

Bond future's roll (and other rolls)

I am missing some intuition on the above subject. Say I am long CTD basis (I.e. short futures): I may opt to hold onto my position till last delivery for many reasons, say switch, wildcard etc. Why ...
user68819's user avatar
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1 vote
2 answers
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TBA - what is and isn't a TBA? (help please)

this is probably a naming issue - but i am totally confused as the documentation is never clear. I understand well what a generic TBA is, what is a "STIP"? is it also a form of TBA? One doc ...
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