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Questions tagged [bond-yields]

The tag has no usage guidance.

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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 ...
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4answers
2k views

What are some of the best textbooks on Fixed Income securities?

I'm looking for something that might be considered the 'Bible' of fixed income. Ideally it would contain everything from the basics of PV and discounting cash flows all the way up to some of the most ...
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26 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 ...
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2answers
1k views

Derive Perpetual Bond Price

It is known that a perpetual bond with coupon $c$ has price $$P=\frac{c}{r}$$ How do you get to this price? Is $r$ stated in discrete or continuous compounding?
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1answer
79 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 ...
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0answers
47 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 ...
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2answers
476 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 ...
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0answers
70 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-...
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1answer
131 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-...
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1answer
138 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 ...
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0answers
63 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 ...
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2answers
6k views

How to calculate US treasury total return from yield?

I'm struggling to understand the meaning of US treasury total return. What is easily available to get is yield data. Yield can be directly translated to the bond price at that time. In other words, ...
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3answers
3k views

Why is G spread bigger than Z spread theoretically?

I am checking a few bonds on the YAS page on Bloomberg and I can see that G is higher than Z spread (this applies to bonds with optionality and bullet, too). As Z is stripped from reinvestment risk, ...
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2answers
56 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 ...
2
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1answer
114 views

What is a central bank's shadow rate

I was reading a WSJ article about the European Central Bank shadow rate, which is -5.1% at the moment. The article says about the shadow rate that "Calculated with the rates on longer-dated credit ...
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1answer
988 views

Bank discount yield and money market yield

I have a question regarding Bank Discount Yield and Money Market Yield for US TBill. Some books mentioned that ...
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1answer
62 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 =...
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3answers
147 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 ...
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1answer
84 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 ...
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1answer
185 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/...
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1answer
139 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 ...
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3answers
156 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 ...
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1answer
530 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 ...
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1answer
80 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 ...
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1answer
182 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 ...
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1answer
92 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. ...
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0answers
130 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.
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1answer
76 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
239 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 ...
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1answer
959 views

Yield curve trading

I have a problem in understanding following strategies: 1. bullish flattening trades 2. bearish flattening trades 3. bullish steepening trades 4. bearish flattening trades Can anyone give me the ...
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0answers
226 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 (...
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1answer
973 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 ...
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1answer
55 views

What are the reasons that make stock return - bond yield correlation a meaningful one?

I have come across interesting charts that show the changing correlation between stock returns and government bond yields. My gut instinct tells me that such relationship would be expected to be ...
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2answers
1k views

Simulating a path of bond yields by Monte Carlo (Python)

I have a number of given time series for bond yields (given in a dataframe in pandas package in Python). I need to do the following task in Python: "1. Simulate 1000 path 30 steps ahead for any yield ...
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1answer
371 views

Empirical duration and convexity for bonds using linear regression

I have a given time series of bond yields from Quandl. From the time series, I have taken a sample to simulate a path of bond yields by Monte Carlo in Python. I have to do the following task: "...
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2answers
2k views

Determine the carry of a treasury bond futures contract?

Hi fellow financial market enthusiasts. I'm trying to understand my options as a retail investor. I want to leverage a cash bond portfolio but my broker does not allow that, so I want to use futures ...
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1answer
260 views

Download bond yields R

I need to download bonds yields using R. I tried, as usual, I did for stocks: spc <- new.env() setDefaults(getSymbols,src="FRED") getSymbols("^AT0000386198", env = spc, from = "2010-01-01", to =...
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1answer
43 views

How to work out bond price given other bond prices?

I'm stuck on the following problem from a financial maths course, and was wondering whether anybody would be able to help me. I don't really know where to begin. The following risk free bonds are ...
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1answer
75 views

yield concept for a short maturity zero coupon bond

I am trying to clarify what is the more relevant and appropriate quantity for a discount security / zero-coupon bond, that is defined by a face value, FV, a present value, PV and a time to maturity, t,...
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1answer
130 views

Is it possible to use the YIELD() function in Excel to compute the yield of an Italian government bond?

I'm interested in using the YIELD() function in Excel to compute the yield of an Italian government bond. The bond in question is: 0.750% 15-January-2018 Italian government bonds have special ...
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1answer
119 views

Correlation between bond yields and stock returns?

I intend to regress the correlation coefficient (rolling window and/or DCC) between NIKKEI 225 adjusted close and 10yr Japanese government bonds on inflation , inflation expectations and other factor ...
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2answers
3k views

Do we use the Nelson-Siegel model to calculate the yield curve?

Suppose we are to plot a yield curve for a list of bonds. Do we use the Nelson-Siegel fitted yield curve since that's with the case for zero coupon bonds? Or do we in fact use bonds with different ...
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1answer
168 views

Convexity for historical bond data

I'm trying to write a program to calculate the convexity of a bond. The bigger idea is, that if I have access to the actual price for each point in time, I should be able to calculate various features ...
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1answer
118 views

Interest rate vs bond yield

In this Investopedia article, For example, when the Federal Reserve increased interest rates in March 2017 by a quarter percentage point, the bond market fell. The yield on 30-year Treasury ...
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2answers
992 views

Excel YIELD function equivalent in python Quantlib

I am struggling to get an equivalent of Excel's YIELD function using Quantlib in python. As you can see from the Excel documentation on YIELD here, only a few parameters are needed compared to this ...
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1answer
265 views

A very simple question about convexity of a bond

I was always under the impression that, ceteris paribus, higher the coupon rate, higher the convexity of the bond. But Investopedia says the following: "zero-coupon bonds have the highest degree ...
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3answers
176 views

Alternate explanation of Duration

In many reputed sites such as, Investopedia, bond duration is explained as a measurement of how long, in years, it takes for the price of a bond to be repaid by its internal cash flows. My ...
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4answers
107 views

How can a rise in real yields raise borrowing costs

I was reading this article which has this paragraph: One concern for investors is that a rise in real yields would raise borrowing costs, increasing the debt burden of consumers and businesses. That ...
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1answer
216 views

Generating random yields

I would like to test different methods for fitting a yield curve, like the Nelson-Siegel, cubic splines etc. I would like to generate random yield to maturity data, that somehow reflects the common ...
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1answer
100 views

Difference between a 3-months UK nominal spot rate and a 3-months UK treasury bill discount rate?

I am trying to collect data I could use for calibration of a short-rate modeling process, so I need data which represents the historical short-rates. On the Bank of England webpage I came across the ...