Questions tagged [bond-yields]
The bond-yields tag has no usage guidance.
187
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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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Convert US Treasury par yields to spot rates
I'm devising a methodology to transform par yield to spot rates, I'd like to stick with pure python as much as possible so not really after Quantlib (or other libraries) examples.
In particular I want ...
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clarifying Treasury basis carry [duplicate]
I'm going through the classic The Treasury Bond Basis by Galen Burghardt. In the book he states, "...if the yield curve has a positive slope, carry for someone who is long bonds and short futures ...
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True or false: roll-down return is negative when a bond is trading at a premium
These three sources all say that the bond roll-down effect is negative if the bond is trading at a premium:
https://www.investopedia.com/terms/r/rolldownreturn.asp
https://corporatefinanceinstitute....
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Some US AAA Corp are borrowing below UST for 10yr paper. What could be the reasons for this?
Any particular situations which can lead to this?
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How does the recent increase in shorting of US Treasury futures explain the spike in yield for US Treasury?
My understanding is that HF that short the US Treasury will need to buy the spot in order to deliver at the maturity date. Won't that increase the demand for UST and reduce yield instead?
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Spot vs fwd bond
Slight confusion here; say I am long a 10y bond and short the same bond 3m fwd.
Roughly over 3m I earn:
Carry on my spot pos = 3m9.75y yield - 10y yield.
Roll on my spot = 10y yield - 9.75 yield
Total ...
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How do i use this formula to find the YTM of a step up bond?
I'm trying to find the YTM for a step up bond that trades at par value, how do I use this formula? Since the par value and sale price is the same, and coupon payment is different each payment.
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How to calculate YTM in case coupon payments are reinvested at a different rate than the bond's coupon rate?
I know that calculations of yield to maturity(YTM) assume that all coupon payments are reinvested at the same rate as the bond's current yield and take into account the bond's current market price, ...
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Bond Carry calculation
I had a couple of questions about carry:
$-Carry for a bond: Coupon Income - Financing Costs, if I want to convert this to bps running, would I just divide by the fwd Dv01?
My understanding is, the ...
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Bond RV YTM vs maturity or YTM vs duration
I was reading some material online - seems to be a mixed bag of people who analyse yields vs maturity and yields vs duration.
To me, looking at yield vs maturity is slightly misleading - as, for a ...
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Coupon/Financing adjustments to bond prices
I have seen similar questions asked although didn't really understand the answers. If i have bonds of similar duration why is it problematic for me to adjust for coupon differentials and for financing ...
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How to calculate the discount rate from yield when adequate price data does not exist [closed]
I'm creating a pricing model for an asset that is similar to a bond, for which I need a discount rate. Using yield to calculate this discount rate was my first thought, but this seems impossible for ...
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Yield dependency on bond price [closed]
Bonds are priced on the market by investors, so that the yield on similar securities are the same. After this the bonds yield to maturity can be calculated.
My confusion lies in the fact that, since ...
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Bond approximations
I was wondering where a couple of bond math approximations came from (aside from just 'feel'):
Pull to par impact:
I've seen this as (Coupon - YTM) / Yrs to Maturity which is approximately the ...
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LIBOR rate used for computing discount margin
A formula for computing the discount margin of a floater is provided in an image displayed in this answer as well as below. The image below comes from page 14 of the paper "Credit Spreads ...
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Mean level of the state variables under the risk-neutral measure in Arbitrage-free Nelson Siegel
I do not understand why mean levels of the state variables under the risk-neutral measure, $\theta^{\mathbb{Q}}$, in Arbitrage-free Nelson-Siegel is set to zero. It should follow from the following ...
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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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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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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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How to calculate the breakeven rate for a UK index-linked bond?
I have yields for UK index-linked bonds with particular maturity dates.
e.g "Maturity": "26/01/2035" and "Yield": "-0,129875"
I want to calculate the breakeven ...
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What is the difference between Discount Yield and Yield on US Treasury Bills
I would like to understand the fundamental difference between yield and discount yield, specifically relating it to zero coupon treasury bills.
Please see image below:
For those who are terminal ...
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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 ...
user63135
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Is there a word or phrase with similar meaning to bond yield, but meaning yield on the actual price paid for a bond some time ago?
This is what I am looking for:
(coupon amount) / (the amount that I actually paid for the bond some time ago)
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How to scale t-bond yield movements on a chart to visualize its relative impact to the pricing of other assets?
How does one scale bond yields on a chart to visualize its relative impact to asset valuations? I.e., so that the risk-free rate moving from 1->2% shows as a much larger movement than 11->12%.
...
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Term premium with daily vs monthly time series
I have estimated the term premium for the Polish Government Bonds (POLGBs) using the methods described by Adrian et al. (2013) (often referred to as ACM). The underlying yields are interpolated from ...
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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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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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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 ...
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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 ...
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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,
\...
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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{...
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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 ...
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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 ...
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adjusting treasury futures exposure using micros
I want to decrease my exposure to a 10-year note futures by using 10-year micro futures after volatility-adjusting them. I've calculated that the difference in volatility in the micro has 5.125x the ...
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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, ...
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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
...
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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 ...
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Yield to call on American style callable bond
(Assuming current bond price is quoted and maturity, par value, strike price all known..)
I was wondering how do we calculate yield to call on American style callable bonds after the call date has ...
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Short Eurodollar futures front v back month
What is the difference between shorting the front month, rolling it into a back month vs just shorting the back month?
For example: shorting the front month and rolling the short every 3 months until ...
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Why are bonds usually issued at par?
Bonds are not always issued at par, but they often are.
From a standard finance theory perspective, this cannot be justified. For investors, the division between coupon and principal returns is ...
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What explains bond “convenience yields”?
Bond convenience yield refers to nonpecuniary benefits of holding bonds, that is, some benefit other than direct cash flows. Recently there has been much empirical academic research on such yields.
...
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Can you use the Svensson model to fit a smoothed curve for yields on coupon paying bonds rather than spot rates?
i've been struggling to find an answer to this question online, I know most applications of the model are used on zero (aka spot) rates. But could you use yields from a sovereign yield curve (i.e ...
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decomposition of yields into global and local components
It is reasonable to assume that global yields move in tandem to a certain extent, driven by a global and a local component. Are there any ways to separate the two, beyond the obvious (regress the ...
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Nominal bond yields vs. TIPS yields?
I am struggling with understanding the difference in yields between nominal bonds and inflation-adjusted bonds.
With inflation adjusted bond like TIPS, every coupon payment in addition to the face ...
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How to compute the yield to maturity on a zero-coupon 3 year bond in this case?
Suppose I have the following problem:
We have data on three bonds: a one-year zero-coupon bond (bond A), a twoyear zero-coupon bond (bond B), and a three-year bond with an annual coupon equal to 5% ...
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Euribor + margin
I have this bond assigment where I have to calculate the CF each quarter, given a constant EURIBOR3M rate of -0,539%. There is also a 1,6% margin per annum that I have to take into account. The ...
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How accurate is YTM as a reference measure of non-holding-to-maturity return?
We need to offer an estimated return of a non-hold-to-maturity strategy. Essentially, we borrow money from the market and buy a bond. Instead of holding the bond to mauturity and locking in a return ...
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Understanding the BAML MOVE index
Hello quant community.
I am looking for more information about a very interesting index: BAML-ICE MOVE index. There is very little literature online that details how the index levels are calculated ...
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Why can a two-factor interest rate model not be used to value a coupon bearing bond as the sum of options on ZCBs
I am currently reading some notes which state that
For one-factor models, the value of a European option on a coupon bond can be calculated as the sum of European options on zero-coupon bonds (ZCBs). ...
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