Questions tagged [bond]

A bond is a fixed-income instrument generating cash flows at some specific dates in the futures. These cash-flows depend on the interest rate of the bond, which can either be fixed or variable. It is a debt instrument acting as a loan made from the buyer to the seller.

Filter by
Sorted by
Tagged with
2
votes
1answer
212 views

Observed market price for the August-Greece-paid bonds were the NPV of the bond or of an option?

The bonds which Greece has paid had been valued by market as junk once, just before their payment. Given that the observed market value is the net present value of the instrument, why were they so low?...
0
votes
0answers
19 views

Is callable bond pricing available in Quantlib XL?

I am able to find documentation for pricing callable bonds in Quantlib Python or C++, however, I am struggling to locate it for Quantlib XL. Is there a way to price callable fixed-rate bonds in ...
0
votes
1answer
74 views

Constructing an arbitrage opportunity for a company involving Forwards

Let's say an investor enters a long forward contract on 100 units of underlying assets $S$ and maturity $T$ = 4 years. The asset $S$ pays no dividends and the spot price of one asset is $S_0$ = £5. ...
0
votes
1answer
28 views

How are the notionals on proceeds-weighted bond butterflies calculated?

Most LDI (Liability-Driven Investment) accounts construct bond butterfly (fly) trades by weighting them according to proceeds. This creates two constraints: The fly is duration-neutral (the usual ...
0
votes
1answer
43 views

How required yield affects price of the bond and how the durations changes

can somebody answer, those two theoretical questions? How does the bond price depend on the desired yield (market interest rates)? How the duration changes if we have a shorter / longer maturity and ...
0
votes
1answer
77 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
votes
1answer
82 views

Duration of portfolio equals to zero

I am solving the following problem: Consider a 2000 dollars bond with maturity of 5 years and a half-year coupon of 25 dollars at a nominal interest rate of 8% p.a and a consolidation bond (...
0
votes
0answers
34 views

Quantlib for Amortizing securitized loans with option for prepayment

I have not had much experience with QuantLib, but from a brief look through the docs it doesn't necessarily seem suited to my task. Consider a mortgage backed loan. There are various options on ...
1
vote
1answer
58 views

Bonds are traded and settled at clean price or Dirty price? [closed]

Are Bonds are traded and settled at clean price or Dirty price ?
1
vote
0answers
74 views

Discount factor in Hull-White model

Consider a Hull-White model $dr(t)=\left(\theta(t)-a(t) r(t)\right) dt + \sigma dW(t)$ with parameters $a=0.1$ $\sigma=0.3$ $\theta(t)$ was calibrated to match $P(0,t)=\exp(-\mu t)$ with: $\mu=0.2$...
0
votes
0answers
38 views

How to proof the formula to be martingale under ITO process?

How can implies that is a martingale when using the defaultable bond price?
0
votes
0answers
63 views

Bond arbitrage in practice

If we have the following term structure for riskless bonds: \begin{array} {|c|c|} \hline \text{Maturity} & \text{\$1 Zero-Bond price}\\ \hline \text{0 years} & \$ 1.00 \\ \hline \text{1 years}...
1
vote
2answers
499 views

Importance of z-spread in CDS-Bond Basis trading

Consider the following: A bond with a 9% coupon and a price of $98. Let's say the zero swap curve is flat at around 7% (e.g. the zero swap curve is high because we're at the end of a business cycle). ...
0
votes
1answer
55 views

What does volume dimension means?

In an exchange documentation, I see a definition for Volume Dimension parameter, Volume dimension: Shares are normally traded in Quantity, bonds in Nominal. Ok I can understand quantity but what ...
2
votes
1answer
123 views

Cap price as bond options

I am currently struggling with model calibration of the Hull-White (or Vasicek) model to Caps and Floors. My main problem is that I am confused about the notation. In Brigo & Mercurio (2006, p. ...
-3
votes
4answers
3k views

Modified or Macauley Duration in python

are there any existing python modules that can calculate Modified and/or Macauley Duration of a bond.
0
votes
0answers
56 views

Calculating bond prices from constant maturity yield

Goal: turn a constant maturity yield time series into bond prices. The federal reserve has great data series including this one. This is a time series of historical treasury bond yields and I need to ...
1
vote
0answers
40 views

Bond whose amortization scheme initiates at a later time in its life?

Is there any type of bond whose amortization initiates at a later time in its life? For example the first year we observe interest-only payments and after year 1 there initiates an amortization ...
0
votes
1answer
63 views

Getting Bond Price Data

I am on my thesis about Hull-White model and I need the bond price to calibrate the parameters. How can I get historical bond price data instead of historical bond yield data?
8
votes
1answer
2k views

Simple QuantLib Bond Math

I am new to QuantLib and am trying to get it to replicate some simple bond math. Suppose we have a 5-year bond with annual coupon payments of \$5 and face value of \$100, and interest rate of 4%. ...
0
votes
1answer
62 views

Time to Put or Call a Bond

I was studying putable bond and callable bond on my own, there is an exercise question that was a little confusing to me: I understand what the answer explains, but I am confused that, is a bond "...
0
votes
1answer
32 views

Shift from stocks to bonds in the 1987 crash [closed]

I read that a potential reason for the stock market panic of 1987 could be the rapidly increasing long term US interest rates: the yield of 30Y US Treasury Bonds increased from the low of the year, 7....
1
vote
2answers
71 views

Why is higher the call price, the higher the price of a callable bond?

I am preparing for FRM level 2, but I ran into a question whose answer was confusing to me: In the answer, it says "all other things remaining the same, the higher the call price, the higher the ...
1
vote
1answer
173 views

Calculating the Macaulay duration of a floating-rate bond

I am new to the pricing of bonds: Suppose that I would like to price a floating-rate bond with par value \$100, with maturity at $T$ years from now, paying coupons semi-annually. Suppose that $r_{n-...
0
votes
0answers
150 views

cashflow for floorlet option on 1 month Libor under Vasicek

I have to figure out the cashflow for a floorlet option written on 1 month Libor under Vasicek model by considering yield curve power series expression and bond pricing equation: Has anyone an idea ...
1
vote
2answers
172 views

What does it mean by “A one period bond is a claim to a unit payoff.” from Cochrane?

In the textbook Asset Pricing by John Cochrane, on p. 19 (corresponding table on p. 18), he claims that A one period bond is of course a claim to a unit payoff." What does he mean by "a unit ...
0
votes
1answer
76 views

What discount rates should I use to price a municipal bond with unknown market price?

I have a payoff structure but I do not know the price of the bond. The bond is municipal. What discount rates should I take for each period in order to calculate its fair price?
0
votes
2answers
105 views

treasury bond cash future net basis

In the cash bond and future basis trade, the net basis is like the option (quality option and time option) premium, right? So, it should be positive. Sometimes I see it went to negative, so does this ...
3
votes
3answers
116 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 ...
1
vote
2answers
85 views

How do I derive a blend of a 3Y future and 10Y future risk?

So I have a portfolio of Govt. bonds that I'm trying to hedge with futures. Let's take one of the bonds out of the portfolio as an example. In bloomberg, every bond and its future counterparts has a ...
0
votes
0answers
47 views

Expected Yield to Maturity & Default Risk Premium

For a corporate bond, which natuarally has a default risk, the expected yield to maturity (EYTM) is defined as the probability-weighted average of all possible yields. Hence, for a 10-year zero-...
1
vote
2answers
72 views

Is there any difference between “shorting a bond” and “selling a bond” concepts? [closed]

Shorting a bond means borrow it form other and sell. It seems to me that this operation is the same as just simply issue a bond. Am I right? If yes, then why do we use "shorting" terminology for bonds?...
1
vote
1answer
75 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 ...
1
vote
2answers
127 views

No-arbitrage and the sharpe ratio?

I'm reading a paper and it says that in a no-arbitrage market the sharpe ratio is the same for all bonds. I'm guessing that a difference in two bonds sharpe ratios would open the possibility of ...
7
votes
1answer
407 views

Callable bonds with very short call period. Purpose?

Looking at a portfolio of bonds, I've come across a large number of callable bonds with relatively long maturities (20 to 30 years) but very short call windows. In other words, the first and only call ...
3
votes
1answer
267 views

Pricing a callable bond

I have read the Lehman Brother's paper on OAS which I mostly understand, they outline how to find the OAS for a callable bond of which the formula is effectively (ignoring refinancing costs): Market ...
1
vote
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 ...
1
vote
0answers
47 views

Derive the discount bond prices of the Vasicek model by the PDE approach

The question is shown above. Anyone can help me?
0
votes
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.
8
votes
1answer
5k views

Pricing a FixedRateBond in Quantlib: yield vs TermStructure

I am trying to price a simple U.S. treasury in QuantLib, using two methods. The first method calls FixedRatebond.dirtyPrice(...), passing in a YTM and other parameters. The second method involves ...
0
votes
2answers
104 views

Calculating bond forward rate/price

What's the difference these two methods on calculating the bond forward rate/price. First of all I'm assuming forward rate is the same as forward price in this context, if this assumption is false, ...
0
votes
0answers
41 views

Can a bond be denominated in another security?

Could a bond be issued that's denominated in securities like ETF shares or stock shares? Of course most people would not want to buy it, but is it possible? I know it's possible to short a security, ...
1
vote
2answers
84 views

How are returns on Bond Funds (or ETFs) calculated?

For example, if we consider the fund "iShares Core U.S. Aggregate Bond ETF (AGG)", I am trying to figure out how the yearly/Monthly returns are being calculated. I extracted the historical NAV values ...
2
votes
2answers
150 views

Origin of the $-\frac{1}{P}$ in Macaulay Duration?

Changes in the yield curve affect the total return of a coupon bond instrument, hence I want to compare different bond instruments in how sensitive they are to $y$. Well, I just take the derivative, ...
2
votes
1answer
77 views

If 10s20s steepener have equal DV01 weighting on each swap then why does convexity play a role in MtM

Receiver Swap 10yrs Notional: 1,000,000 DV01: +1,300 Tenor: 10yrs Rate: 4% Payer Swap 20yrs Notional: 500,000 DV01: -1,300 Tenor: 20yrs Rate: 5% Looking at this fictitious example, I want to ...
6
votes
1answer
16k views

Formula for forward price of bond

What is the formula for the forward price of a bond (assuming there are coupons in the interim period, and that the deal is collateralised) Please also prove it with an arbitrage cashflow scenario ...
3
votes
2answers
158 views

How does the securities lending market work?

After doing some research, literature suggests that "most" securities lending happens over-the-counter (OTC) as opposed to securities trading which is mostly done through a centralized electronic ...
1
vote
1answer
57 views

How I can calculate index bond market

I know that some of the bonds on the market have been manipulated by investment funds. I could identify these bonds. I have classified similar bonds in terms of risk, maturity and Duration. I have ...
3
votes
2answers
106 views

carry for a sovereign bond

For sovereign bond, I saw two carry calculations: one would be forward yield - spot yield, the other would be spot yield - repo rate. I would assume these 2 methods result in same or very close result....