Questions tagged [bond-yields]

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4
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1answer
397 views

Why is the treasury yield on Yahoo finance different from that on U.S. Department of Treasury?

The 13 Week Treasury Yield on Yahoo Finance is ...
1
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1answer
37 views

Difference between par value and principal?

Could someone explain what is the difference between principal and par value in terms of a bond? Thanks!
0
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1answer
66 views

HJM framework and expectations hypothesis, updated

Is there a way one can decompose the yield of say a government bond with respect the the HJM framework? (into say an expectations component and a term premium component). As far as I can see the HJM ...
1
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0answers
35 views

Optimized search for yield-to-worst of a callable bond

Suppose that I need to find the yield-to-worst of a callable bond, and that the option is American (call any time). The bond may have step-up coupons and/or non-constant call price (oprion strike). ...
0
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1answer
124 views

Calculating YTM for a floating rate bond

I am trying to understand how YTM's are calculated for floating rate notes. I have had a go at calculating it and I am always a few bps off for every FRN I try to calculate. Does anyone have any ideas ...
1
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1answer
44 views

Bond one period holding return definition

In the literature I am reading Crump & Gospodinov Deconstructing the yield curve, Federal Reserve Bk of NY, Staff Report 884 (2019), I came across the definition for a one period holding return of ...
1
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1answer
143 views

QuantLib returns slightly different bondYield when backtested

I am just starting to get familiar with QuantLib (in particular, fixed rate bond pricing functions). I read a number of examples, from which I am able to calculate bond price and bond yield. The ...
1
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0answers
70 views

Bloomberg Treasuries PX_Last and daily returns

I tried to search for this specific question, although I didn’t found a conclusive answer. I have a dataset containing the yields of several T-Bills and T-Notes that were downloaded from a Bloomberg ...
0
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1answer
78 views

Is this regression suitable for fixed income products (negative interest rates)?

I am currently looking at a regression which tries to model EWMA volatility in the presence of negative interest rates. The regression is as follows and uses absolute return instead of relative in ...
0
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4answers
100 views

T-bond of what maturity to use as risk-free rate when calculating excess return?

I am comparing different asset classes in order to estimate the expected return and the risk of a portfolio. I have historical data (adjusted close price) for my asset classes for the last 5 years ...
0
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0answers
27 views

Transform Bond Yields into Forward-Rates?

There are many bond yield datasets available online; however not so many of them provide forward-rates. How can one convert yield curves into forward-rates? (I'm a bit cloudy on the definition of a ...
0
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0answers
28 views

Positive carry with negative yielding bonds when repo is negative

Could someone please explain to me how positive carry is achieved when the repo rate is negative? For example I can see the German repo rate is -0.57% and the 2 year German bund is -0.78%. So to ...
1
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1answer
78 views

Nelson & Siegel model (Fixed Income Securities)

I am well aware of the basic model formula and for what it is used, theoretically speaking, however I cannot find any concrete, problem solving exercises. Soon, I will have to deal with this problem ...
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0answers
18 views

What is the most recent measure of the US Municipal Bond Market Size (Capitalization)?

$3.853 trillion in second quarter of 2018 according to Fed. Today?
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0answers
17 views

Are Muni REVENUE bonds secured or can the local gov. use the revenues for other purposes not paying the bond holders if its going bankrupt? [closed]

Municipal bonds are of two kinds: GO (General Obligation) Bonds or Revenue Bonds. My question on Revenue Bonds is: are the revenues from the specific project secured or can the local government use ...
0
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0answers
25 views

What MIPS (Municipal Inflation Protected Securities) are out there besides the two DFA ones?

DFA has DMREX AND DCARX. Are there others? I'm specially looking for high quality, medium or long duration MIPS but a list of anything would help.
2
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2answers
185 views

Black-Scholes-Merton formula and option pricing

If the distribution is skewed to the right,Black-Scholes overprices out-of-the-money puts and in-the-money calls. It underprices in-the-money puts and out-of-the-money calls. How? Stock price log-...
1
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2answers
86 views

Fastest way to calculate YTM from bond price

I would like to calculate YTM for every top of the book update on the 10-year note traded on Brokertec. There is no closed form solution so have to use a root finding method like Newton-Rhapson. It ...
3
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3answers
117 views

Bond strategy in rising rate environment

During a period of rising interest rates, it makes sense for investors to either swap out their longer term bonds for shorter ones, or simply invest in shorter maturity bonds in order to reduce ...
3
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1answer
88 views

Investor rationale behind inverted yield curve

I just had a question regarding investors/markets rationale behind the cause of the yield curve. Assuming that investors believe that rates will be lower in the future and are pessimistic about the ...
2
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2answers
153 views

Carry & roll - question regarding the repo transaction

Could someone please explain the carry and roll trade that a lot of traders are doing with negative euro debt? I read an example that they borrow in the repo market then buy a longer dated bond to ...
0
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1answer
59 views

Clarification on certain finance terms surrounding bonds

Whilst revising for my upcoming financial mathematics exam I've been struggling to get to grips with certain terms/ phrases used when studying Bonds. I am very new to Finance and get confused very ...
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0answers
15 views

Finding the redemption yield of a bond given a capital gains tax

Let's say a bond has a face value of £$100$ with semi-annual coupons at a rate of $3$% p.a which is redeemable at par in $10$ years. Assume an investor purchases the bond for £$92$ on the day it is ...
2
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4answers
2k views

Par Yield, Bond Yield and Zero Rate

In the Hull's book, chapter 4.4, it says : The par yield for a certain bond maturity is the coupon rate that causes the bond price to equal it's par value. Then for this question (4.18) : “...
0
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1answer
137 views

Yield Curve Flattening Trade

Relatively simple question, but came upon it in class and have not been able to come up with an answer: The two-year bond yield is equal to 4% while the 10-year one is equal to 10%. You want to put ...
0
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0answers
53 views

Perpetual bond valuation between coupon dates

According to this Derive Perpetual Bond Price , I learned how to derive the formula of perpetual bond. However, I still have some questions. Firstly, do I need to change the formula when valuing the ...
0
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0answers
49 views

FX Rates and Bond Yields

To what extent must the Zambian Kwacha depreciate to the USD to make a loss in USD terms. Details: 10 Year bond with a 13% coupon paid out every 6 months. 15% withholding tax is being deducted as ...
3
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0answers
225 views

How to calculate YTW (yield-to-worst) in QuantLib?

After defining a CallableFixedRateBond object in QuantLib, I can calculate YTM (yield-to-maturity) right now. I'm using Python so the function is bondYield(). Is there any way to calculate YTW (yield-...
3
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0answers
304 views

Bond spreads - SQASW

I posted this question in the finance/economics arm but someone suggested this would be a more relevant place. I have attached a photo of a list of bond issuance's in Australia. Could someone please ...
2
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1answer
226 views

Comparing Values of 5s and 7% Notes (Security Analysis by Benjamin Graham)

I was reading Security Analysis by Benjamin Graham (Sixth Edition). Page 63, last paragraph says: A third kind of analytical conclusion may be illustrated by a comparison of Interborough ...
2
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2answers
66 views

Why is the yield return preferred to the price return for selecting hedges for bonds?

For evaluating a hedge for a bond, I noticed that we often look at the yield return correlation between the two instruments, instead of the price return. Why is that? To me, the price would make more ...
0
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1answer
72 views

Bond is maturing in 10.25 years, YTM calculation

Bond is maturing in 10.25 years and has an annual coupon rate 4.15% paid semiannually and price 92-12+ I need to calculate yield to maturity Ok so I know that 92-12+ is basically 92 + 12/32 + 1/64 =...
0
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1answer
122 views

Bond Overall Return vs Yield to Maturity

I've been working on what I had hoped to be a simple model demonstrating that a bond "returns" its yield-to-maturity over its life. However, whatever data I use, I end up with a return that is a ...
3
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3answers
160 views

What's the logic behind 3-10 UST yield inversion predicting recession?

Is there causality, behavioral or logical explanation behind this indicator or is it just purely an observation based on correlation? My guess is that there are existing derivatives with clauses that ...
6
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1answer
219 views

No-arbitrage in term-structure models

I am a bit confused about what the implication of "no-arbitrage" in popular term struchture models (such as affine term struchtre models or HJM models) are? Is it solely a restriction on the cross-...
2
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1answer
439 views

Duration split: treasury curve vs spread duration

I am looking at corporate bond (FR0013367620) in Bloomberg for which I have these values: DUR_ADJ_MID (modified duration performed using the yield to worst): 6.649 DUR_ADJ_OAS_MID (security's price/...
1
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1answer
339 views

Intuition and reasoning behind conversion factor calculation for bond futures

I am currently reading the chapter on bond futures from J.C. Hull. The author states the procedure for calculating conversion factor as The conversion factor for a bond is set equal to the quoted ...
1
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3answers
192 views

YTM of “very-seasoned” bond issues

There is a liquidity premium between on-the-run treasury issues and off-the-run issues with similar characteristics. This is why when building a yield curve, typically on-the-run issues are used to ...
4
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1answer
910 views

Duration: Parallel shift in yield curve assumption

General Intro I'm trying to really understand the assumptions of dollar duration for a portfolio of bonds. In particular I don't fully understand that the assumption that there are parallel shifts ...
0
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1answer
273 views

How to compute bond drawdowns?

I came across a very interesting article which shows a picture with the drawdowns bondholders would have faced by investing in Fixed Income since 1919. The data is based on the Moody's seasoned AAA ...
2
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1answer
131 views

Difference between Excel's Rate Function and Paul Wilmott's Goal Seek Method for finding YTM

I'm watching some FRM videos teaching how to find YTM via excel's =rate() function and tried getting the YTM using Paul Wilmott's spreadsheet that uses goal seek. I'm getting different results. ...
2
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2answers
203 views

How do markets price an interest rate rise?

It is common to see phrases like Markets priced in a 68 per cent chance of a rise in UK interest rates at the next meeting, up from 48 per cent before the June decision was announced This example ...
1
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1answer
92 views

Macaulay's Duration with Zero Rates

The definition of Macaulay's Duration is the weighted average maturity of cash flows and is calculated as- $$D_{mac}=\frac{\sum_ttPV(C_t)}{V}$$ where $PV(C_t)$ is the present value of the cash flow ...
1
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2answers
777 views

Bond fund's roll and carry

This is a question about modelling the returns of a bond index. Understand there's quite a bit about the roll and carry of an individual bond, but what about a bond index. Roll I would calculate the ...
3
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0answers
215 views

Relative order of curve for coupons for Upward Sloping Yield

Why would the forward curve be above zero and coupon bond yield be at the bottom for a sloping up yield curve.
-2
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1answer
85 views

Derivative of Time Value of Money by time [closed]

I'm struggling with a (probably very simple) problem. What i like to do is the following: Lets assume we got a bullet bond (no calls, etc) which is currently trading above par. Under the assumption ...
2
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2answers
361 views

Corporate Bond Yield Curve

I am an intern in a mutual fund and they have asked me to create in house yield curve for different type bonds in their portfolio I need to know on what basis are different yield curves made. For ...
2
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1answer
2k views

Yield curve trading

I have a problem in understanding following strategies: bullish flattening trades bearish flattening trades bullish steepening trades bearish flattening trades Can anyone give me an explanation ...
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0answers
298 views

Calculating price -> yield and yield -> price for fixed rate bonds using QLNet

I'm trying to implement a simple calculation module to calculate fixed rate bond yield given the price (and then price based on yield to verify the calculation). I've looked at a number of examples (...
0
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1answer
2k views

Generic bond yields

I was looking on historical sovereign bond yields for a project. I was wondering what is meant by "generic bond yields" mentioned on bloomberg. Somewhere else i found data about the same country but ...