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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Strange Market Data YTM for a Zero Coupon Bond
I am trying to compute the YTM of the following Zero-Coupon Bond:
The issue date was 13-01-2022 and the maturity date was 14-01-2023.
For me, it seems strange that the price remains "almost ...
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How to calculate returns for interest rate futures
Say we have the active German government bond future, RXH3 and we wanted to calculate a series of returns for the active contract.
Would we calculate returns on the daily price difference? And if so, ...
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what is the problem of using asset swap spread to compare bonds
people use asset swap spread to compare bond relative values (rich/cheap).
is there a known issues or anything that needs to be aware of when using swap spread to compare relative value of bonds?
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Questions about the replicating portfolio in the binomial model
I'm starting to teach myself quantitative finance and I've got several questions (marked in bold) regarding the replicating portfolio of a security in the binomial model. I'm following, among others, ...
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Pricing the embedded option in a callable floating rate note
From my understanding, I know that we can decompose a long callable bond into a long vanilla bond and short receiver swaption. However, I do not understand, how could I separate or calculate the ...
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Can one compute the total return of a fixed-rate bond without having the coupon? [duplicate]
Say that I have a historical series of yields and no coupon data because these yields come from a generic government bond, hence an constant maturity interpolation.
How would I go about computing the ...
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Basic question/clarification about the LOOP
This is a very basic question/comment regarding the way that the LOOP is stated in the book "Dan Stefanica - A Primer for the Mathematics of Financial Engineering". The proposition goes as ...
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Why is Bloomberg showing difference yields than US Dept of Treasury
I am using historical 30yr US treasury rates for a project. When I downloaded the rates from Bloomberg by queuing the history of the USGG30YR index, I found the numbers different from what US ...
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How to construct a forward exposure portfolio with bonds?
I was asked in an interview to get an exposure to 5Y5Y forward rate using bonds alone. Essentially it is short 5Y bond and long 10Y bond, and I needed to compute the relative weights. Regarding risk:
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Accrued interest on RFR Floating Rate Note
On fixed rate bonds and IBOR based floating rate notes the next cashflow is known definitively in advance, therefore the accrued interest for a given settlement date is a trivial calculation typically ...
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YTMs of Ukrainian Bonds are much greater than published yield curve suggests
I noticed that the yields to maturity of Ukrainian government bonds seem to be much greater (multiple times greater in some cases) than the avaialible yield curves suggest, and I'm trying to ...
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Defaulted bonds valuation [closed]
How can I value corporate bonds in default?
I have access to both reuters and bloomberg terminals.
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Relationship equity and bond shocks of same issuer
I'm running some stress tests and I have data on equity shocks available. Is there a relationship which, for the same issuer, links the returns of the shares with those of the bonds issued?
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what is the rationale behind CTD (Cheapest to Deliver) mechanism in bond futures
why doesn't futures contract just stipulate a specific contract to be delivered. Is it because the futures seller cannot readily buy specific bond contracts?
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Discount factors curve shapes
I have 2 discount factor curves;
DF 1
I expected every DF curve to have the shape of the 2nd one (almost a straight line), what does it mean economically when a DF curve has the shape of the 1st one? ...
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Bond Option: Cash Price or Quoted Price as Underlying
John Hull mentioned in his book using Cash Price(Dirty Price) instead of Quoted Price(Clean Price) in pricing a bond option using Black-Scholes. It confuses me as it seems more natural to assume the ...
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Roll down for floating rate notes
is it correct to say that floating rate notes (FRNs) have no roll-down for a time horizon as it is interest risk free?
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CDS spread term structure
As I know a CDS is defined w.r.t. some unique Reference bond with a given maturity from a given issuer. Now, an issuer can issue bonds with different maturities and ...
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US Treasury: Calculating Price from Yield [closed]
I'm trying to get the basics of bonds by going from yield to price (and vice-versa hopefully).
What I want to do is from publicly available source go from the treasury bond yield to the price. So for ...
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government bond yields - source to download from [duplicate]
Is there a source from where I can directly download gov. bond yields of different countries?
I don't want to search one by one country using different sources,Im looking for a website that publishes ...
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Calculate combined return on corp. bond traded multiple times? [closed]
I hope this is an okay place to ask this:
Case: Assume you find a corporate bond you want to invest in. You then invest in it below par several times over the years, and you also sell bits of your ...
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How to price PIK (paid-in-kind) coupon bond with option by the borrower to pay cash?
I'm trying to price a PIK coupon with an Embedded Option by the borrower to pay in cash. Without the Embedded Option, it is simply a zero-coupon bond paying Principal*(1 + coupon rate)^n at the end.
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Comparative statics on $c/r$ using fundamental asset pricing equation
Consider the fundamental asset pricing equation for a perpetual coupon bond:
$$rP = c + \mu P' + \sigma^2/2 P''$$
with standard boundary conditions $P(\bar x) = \bar x$ and $\underset{x\rightarrow \...
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Definition of continuously compounded yield for perpetual defaultable coupon bond
In continuous-time asset pricing, the price of a defaultable perpetual coupon bond is given by
$$P(V) = \frac{c}{r}\left[ 1- \left(\frac{V}{V_b}\right)^{-\gamma}\right] + (1-\alpha)V_b \left(\frac{V}{...
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Accrued Interest and Forward Pricing of Bond with Quantlib
I'm working on a forward bond pricing engine so i can either calulate the repo rate, or the forward price of the operation.
I'm using bloomberg as a reference to see if my values are right.
First ...
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Pricing a bond denominated in USD but issued in Europe
I need to price a USD bond using yield-to-maturity from the yield curve (YC). The bond is issued by a German company.
My question is what yield curve should I use: the US Treasury YC or the EUR YC of ...
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Business day convention in fixed income
I have a question regarding the business day convention. Suppose I have a bond that matures on the 17th of September 2023 and pays an annual coupon of $1%$. It has a $30/360$ day-count convention and ...
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Are risk-free-rate bonds and cash fungible?
I had a thought experiment: suppose you wanted to borrow an equity security from me (perhaps to short sell it). I ask you for collateral and a borrow fee, and in exchange you get the stock.
If you ...
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Stripped treasury bond prices
I saw this paragraph in the SHV prospectus
The Underlying Index is market valueweighted based on amounts
outstanding of issuances consisting of publicly issued U.S. Treasury
securities that have a ...
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how to add redemptions to amortizing floating bond in dates that are not coupon dates
How can I in QuantLib add redemptions to a AmortizingFloatingRateBond that follow in dates outside the Bond Schedule?
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Bond forward arbitrage relationships
I am trying to see if the following statement is true or not and I would really appreciate your help.
The statement is as follows:
$\forall $ Tradable Asset $V(t)$,
$$ E[\frac{P(t,T_{i})P(T_{i},T_{i+1}...
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Negative Accrued for treasury bonds?
I am looking at some spreadsheets that show the US treasury bonds have some negative accrued. Why would that be the case? Shouldn't bond accruals always be positive?
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Modified Duration as interest risk [closed]
I am new to bond pricing and I am studying the sensitivity measures of a bond (with discrete compounding) and even though I understand the mathematical concepts of modified duration and convexity ...
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Convexity adjustment doubt
So this the question and the answer to the first one states that only the 5 year swap rate will be adjusted for convexity and the answer to the second one states that neither of the rates will be ...
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Calculate Bond Price knowing Z-Spread
From my point of view, to calculate the price of a bond, we just need to add the discounted cash flows.
The discount factor calculation is as follows:
In my theory knowing the z-spread of a bond I ...
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Efficient encoding technique for credit ratings
Is there any categorical encoding technique for credit ratings that take into account the kind of non linear nature of the notches of the credit ratings?
The literature standard is the ordinal one ...
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Why do bonds with a shorter next call dates have shorter extension risk?
I was reading a research article and I'm not really understanding why. Is it to do with the option premium being priced in at the beginning?
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Why is carry divided by DV01 to scale it?
If I understand correctly, 6M carry in a fixed-floating interest rate swap should be the difference between the fixed and floating leg.
When I read this on Page 2:
https://corporate.nordea.com/api/...
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Treasury Bond Clean Price - Quantlib
The clean price of the Treasury 10 year bond on 6/30/22 is 98.8046 according to Bloomberg. The settlement day for treasury bonds is 1 day. I think this still means the clean price of bond is 98.8046 ...
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Is there a Bloomberg field for bonds that captures the coupon payment amount for a particular day?
For a bond, I want to know what the coupon payment amount would have been made (for today or any specific day) based on the payment schedule.
Is there a bloomberg/bpipe field that would return that ...
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Tree Pricing FRN Implementation
When pricing a bond via a short rate model on a tree, it seems natural to include intermediate time steps in addition to those corresponding to cashflow dates (i.e. for bonds with American style ...
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high coupon and low coupon treasury
for treasury off the run bonds, in general, does the market prefer high coupon or low coupon bonds ?
How about for credit bonds ?
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Can a Bond have FX Delta Risk?
Given we know the
Notional
Trade Price
Currency in which the Bond Pays Coupons
FX Rate from Bond Currency to USD
Trying to understand if a Bond can have FX Delta Risk and how it should be computed?
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Why do some TIPS bonds have credit spread < 0 [duplicate]
If we look at the yield spreads on Bloomberg of some TIPS bonds, we see they have credit spread < 0 (i.e. their yield is even lower than their benchmark treasury bonds)
Why is that the case. ...
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Is it possible to have negative Z-spread for a corporate bond?
I have a 2 year maturity AA rated US corporate bonds, and I found that it has negative Z-spread, -0.00053.
Does it make sense or it's wrong?
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How does purchase price come into treasury future settlement?
The settlement procedures for US Treasury futures on CME state that the invoice price is determined using the future's settlement price, and then longs pay the invoice price to shorts who deliver the ...
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Why did Ginnie Mae MBS Net issuance decrease significantly in 2020-2021?
Net Issuance of Agency MBS can be thought of as driven by Existing Home Sales, New Home Sales, Cash out Refis, Amortization and Non-Agency MBS runoff. Based on this definition of net issuance, is ...
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How to calculate corporate bonds Z spreads having yield to maturities and knowing that they pay annual fixed coupons?
I have three corporate bonds with maturities 2,3 and 5 years. They pay annual fixed coupons. I know their yield to maturities. How to compute their z spreads?
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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