# Questions tagged [bond-yields]

The tag has no usage guidance.

198 questions
Filter by
Sorted by
Tagged with
72 views

351 views

### 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 ...
72 views

### 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 ...
93 views

### 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 ...
62 views

### 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 ...
• 1
97 views

### 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 ...
1 vote
179 views

### 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 ...
• 111
82 views

### 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 ...
218 views

### 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 ...
• 179
1 vote
299 views

### 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 ...
• 31
1 vote
68 views

### 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 ...
• 177
1 vote
37 views

### 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 ...
• 51
3k views

### 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 ...
• 41
1 vote
71 views

### 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 ...
133 views

### 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)
• 21
97 views

### 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%. ...
• 103
94 views

### 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 ...
1 vote
34 views

### 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. ...
• 147
949 views

### 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?
62 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 ...
• 6,642
364 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 ...
• 403
1 vote
130 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, \...
• 123
192 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{...
478 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 ...
1k 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 ...
32 views

### 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 ...
144 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, ...
288 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 ...
• 193