Questions tagged [bond-yields]

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242 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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343 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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226 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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647 views

Replacement for Moodys BAA and AAA series

Along with many other people, I have been using Moody's seasoned BAA and AAA corporate bond yield series for my research for some time. I use them primarily to compute and analyze the quality spread. ...
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237 views

Model a floating rate BBB yield curve

Background: We want to design a compensated prepayment liability index to define an amount a bond buyer would need to receive in a redemption prior to the nominal maturity of a bond. Ideally we'd ...
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2answers
223 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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984 views

Free Data Source for Credit Spreads?

Credit spreads are a key economic indicator. They are the difference between yields on corporate and government debt. They are a measure of confidence in the private sector, they provide insight into ...
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165 views

Bond yield: is it martingale with respect to risk-neutral probability measure of some numeraire?

Let $t$ mean current time, let $T_0, T_n$ mean two times such that $T_0\le T_n$, and let $y_t[T_0, T_n]$ mean the forward swap rate of a swap starting at $T_0$ and ending at $T_n$. (I am ignoring $T_0+...
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39 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). ...
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84 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 ...
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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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311 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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157 views

Daily yield to maturity using `uniroot` in R: error

So, I'm trying to compute the daily yielt to maturity on basis of data retrieved from Datastream. The data comprises EMU Treasury bonds with Prices, Coupon and Maturity date. In R the matrices are ...
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175 views

Bonds with embedded options pricing via binomial model

Notation: t - time; G(t) - zero-coupon yield curve; $r$, $r_d$, $r_u$ - interest rates. The task is to find market price of a bond for today, while knowing the price of a number of other bonds. ...
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342 views

Bootstrapping bond spreads as in the standard CDS model

Suppose that we have a spread curve $\boldsymbol{s}:=(s_1, ..., s_n)$, where $s_i$ are CDS par spreads. Moreover, assume the standard ISDA model framework, i.e. piecewise constant forward / hazard ...
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91 views

Estimation of Affine Term Structure Model

In this paper the estimation of Affine Term Structure models via ML is discussed. In the Affine $N$-factors model the price of the bond is $$ P(X_t,t,T;\theta) = \exp(-\gamma_0(T-t;\theta)-\gamma(T-...
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551 views

Using the R package “ termstrc ”

I am attempting to use the function estim_nss from the termstrc package in R. However, I am experiencing the following error: ...
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12 views

Stale prices: Greek government bond yields

I am analysing the effects of some Central Bank's policies on asset prices. Among others, daily 5y and 10y Greek government bond yields are part of my dataset. Data are fromm Datastream. I know that ...
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1answer
281 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 ...
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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 ...
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29 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 ...
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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.
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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 ...
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1answer
164 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 ...
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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 ...
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88 views

bond repo - credit risk management with haircut

In a typical say 1 week bond repo deal , as i understand , typically X units of bonds are exchanged for P.X cash at spot date (P=dirty price of bond) , and in 1 week , X units of bonds are returned, ...
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259 views

Understanding the repo to maturity trade

Apparently this trade may have caused MF Global to go under! As I understand, this trade is simply a repo that ends at maturity of the bond. And so, I think that the repo rate (assuming zero haircut)...
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1answer
65 views

Is there an open architecture API or excel solution for calculating and adjusting bond pricing?

Is there an open architecture API for calculating and adjusting bond prices? I am looking to adjust bond pricing on OAS or adjusted spreads to various indices and need a tool to process large amounts ...