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.

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22 views

How do I get the CUSIPs of all bonds issued by a company?

I know that I can get prices for particular bonds from FINRA (http://finra-markets.morningstar.com/BondCenter/Default.jsp) if I know the CUSIP. But what I want is a list of bonds for a particular ...
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1k views

Proof of the convexity adjustment formula

Let $y_0$ be the forward bond yield observed today for a forward contract with maturity $T$, $y_T$ be the bond yield at time $T$, $B_T$ be the price of the bond at time $T$ and let $\sigma_y$ be the ...
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37 views

Calculating coupon yield and continous compounding

I need to calculate the yield of a 2 year Coupon Bond. Price = 98, Coupon = 3.5, N = 100. Now when I try to solve this, I arrive at the equation: $$ 98 = 3,5*e^{-y}+103,5*e^{-2*y} $$ But I can't ...
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529 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....
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41 views

What is the most convincing method/formula for carry and rolldown (in nominal terms) of inflation protected bonds

It is interesting that there is no thorough discussion and clear derivation on this per my search. I know TIPS are complex (compared to nominal bonds). The naive use of simple spot/forward yield ...
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41 views

Normal VaR for short bond

So I'm short a GBP denominated zero-coupon bond which has a face value of 1 million pounds and a remaining maturity of 6 months. Furthermore, I have to assume that the daily return of a 6-month zero ...
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66 views

What is the state of the art govie bond term structure recently

Specifically, the US govt bond market is segmented and the shape is difficult to model in a structural model, because recently there is a maturity gap from 12 to 20 year, and the front and back ends ...
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221 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: $\mu=0.2$...
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58 views

Distribution and parameters for the amount at time T of Bond

An investor follows the following investment strategy from time t to time T: buys a 10-year zero coupon bond, holds it for a time-length dt, sells it and buys a new 10-year ZCB with the proceeds. The ...
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105 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?
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55 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 ...
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41 views

Bond Change in Absolute or Relatively Percentage

Since most of the bonds prices are quoted in price, for example, bond price of 103 means 103% of the principal or face value (ex. $1000). Suppose a bond has modified duration of 4.62 years. If yield ...
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53 views

Question About Negative and Positive Convexity

I read the following paragraph from investopedia: https://www.investopedia.com/terms/c/convexity.asp If a bond's duration increases as yields increase, the bond is said to have negative convexity. In ...
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313 views

Bond SDE under its own forward measure

I am trying to write the SDE for a forward bond, $dP(t,T_1,T_2)$, under the $T_1$-Forward measure, $Q_{T_1}$. I can easily do this by: Writing the equation of $dP(t,T_1)$ and $dP(t,T_2)$ under the ...
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71 views

Just wondering any algo strategy popular for vanilla bond trading?

I got extensive experience on algo trading for cash equity, FX, so just wondering any algo strategy popular for vanilla bond trading?
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131 views

How to get the price of a bond if the yield is given or viceversa in QuantLib

For example Can u provide with a detailed example please if i have ( maturity, issue date, coupon, frequency, days_countbase, (price or yield) what is the (yield or price given this information. ...
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50 views

Value of a 30 year bond using the Yield curve

If I buy a $1 30 year bond with 4% coupon payment, would my cash flow be: $$ V^{30}(t) = \frac{$1 \times0.04}{1 + R(t, 1)} + \frac{$1 \times0.04}{1 + R(t, 2)} + \cdots + \frac{$1 + $1 \times0.04}{1 + ...
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41 views

Hedging Bond portfolio with Futures

I am working on a risk department. Our portfolio contains mostly some long German bond 15y and we tend to hedge it through BUXL and BOBL via PCA but our 15y key rate duration is not properly covered. ...
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46 views

parameter in FixedRateBondHelper of quantlib

I'm working with 10 bonds with different maturity and want to get the zero curve. I tried the quantlib. However, I cannot understand the parameter in FixedRateBondHelper. Here is my code: ...
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1answer
59 views

Valuing a floating-rate bond [duplicate]

Suppose we have a floating-rate bond with arbitrary face value. I am given to understand that the value of such a bond is the face value, at the time it is issued and also after each coupon payment. ...
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145 views

What does the word “affine” mean in affine term structure models?

I am new to the field of Mathematical Finance and wanted to get an idea on the intuitive, physical and mathematical meaning of the term "affine" in Affine term structure models. Any literature ...
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220 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?...
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65 views

Pricing coupon bond on weekly basis effectively

I have a coupon bond with $NV=20 000 000$ and coupon $4\% p.a.$, assumed the coupon is paid annually (I don't have this stated explicitly). Let's assume, the starting date is 27.4.2015, so the first ...
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27 views

Is the value of an Asset-Swap (Underlying + Swap) the same value as a floating-rate bond with the same issuer, maturity, etc.?

I am trying to evaluate the impact of switching an Asset-Swap Package (fixed bond + Swap) into a floating rate bond of the same issuer with the same notional and maturity. My intuition would tell me ...
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18 views

Fixed rate bond historical simulation

I am using the QuantLib library to determine the historical simulation prices of a fixed rate bond. The idea behind my simulation is to use the spot curve as driver of the bond price. Let $\{y^{j}(t)\...
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28 views

What estimation method is best to conduct event study on unconventional monetary policy

I have collected bond yield data from 01/01/2008:31/12/2019 for several euro-zone countries. I would like to conduct an event study analysis of the main Non standard measures announced by central ...
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304 views

How could Renaissance Technologies have near real-time prices on corporate bonds and other debt? [closed]

Julie Segal, What Renaissance Technologies has that you don't..., Institutional Investor, October 17, 2017. Does this just mean they are aggregating data from vendors like MarketAxess? Or is ...
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85 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 ...
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20 views

Bond agreggation

I'm working on an asset and liabilities model for life insurance as a school project, one of the inputs of the model is a bond portfolio, for the sake of optimization of computation speed (the model ...
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31 views

future hedge and risk of bond basis trading

I am reading some book about bond basis trading. Assume we have 1M TY CTD and we simultaneously short TY front contract. So we long the basis. The risk should be relatively small. But when I read ...
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111 views

Macaulay or modified duration in Python

i was wondering to ask, is there any function in pyhton, that calculates macaulay or modified duration, when time to maturity is not a whole number, for example time to maturity is 1514 days, and you ...
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133 views

Black-Cox yield spreads

From Lando (2004)* I am trying to replicate the following figure (Section 2.6 Default Barriers: The Black-Cox Setup): The spreads are computed as follows: $$s(T) = \frac{1}{T}\ln\frac{D}{B_0}-r$$ ...
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question regarding carry & roll of a bond

I have a simple (and might be a dumb) question regarding the calculation of a bond's carry. If someone doesn't take into account cost of financing (e.g. the repo rate) then the bond's approximate ...
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Question about financial mathematics, meeting a claim

I have a question regarding exercise 12, chapter 1 of "A course in Financial Calculus" by Alison Etheridge. It is as follows: "Suppose that the value of a certain stock at time $T$ is a random ...
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45 views

Risk-Neutral Pricing Formula for Zero-coupon bonds with Default Risk

I am looking for the equations or papers showing the risk-neutral pricing for zero-coupon bonds including default risk. I already tried Googling and searching SSRN and Jstor.
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36 views

Pricing 5Y US treasury day count convention

I am trying to price a simple 5Y US T Bill. The pricing should be fairly straightforward, however my result is still off by a significant amoaunt. I think the daycount fraction is incorrect, but I am ...
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40 views

$E_p(e^{-\int_j^k r(t)dt})=B(0,j)$

Consider $r(t)$ the spot rate of default-free interest where $B(t,T)$ represents the $T$-maturity zero-coupon bond price at time $t$. Also assume, we are taking the expectation under the risk-netural ...
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31 views

Fixed income management problem

First of all, hope everyone is safe and sound. I would like to describe the following scenario and my thinking Welcome any comments on my thought process!!! 3 swaps outstanding Pay fixed 100mln, ...
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47 views

Arbitrage argument with bonds

Let $B(t,T)$ denote the cost at time t of a risk-free 1 euro bond, at time T. Assume that the interest rate is a deterministic function. Show that the absence of arbitrage requires that: $ B(0,1) B(1,...
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41 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!
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79 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?
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57 views

Discount margin on FRN - widening but bond price increasing?

Why would a bonds discount margin widen but its price increase? Shouldn't the price be falling when margins are widening? Looking at the bond pricing formula, if the price is higher doesn't the rate ...
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34 views

US Treasury: given YTM, calculate price

According to https://www.marketwatch.com/investing/bond/tmubmusd10y At the end of 3/13/2020, the 10 Year Note (maturing 2/15/2030, coupon rate 1.5%) has: yield = 0.981% price = 104 9/32 Assuming a ...
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63 views

Jensen’s inequality in Convexity adjustment premium

I'm preparing for my FRM II test in May. Could someone help to explain where does the 0.0823 come from? 😥
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Formula for bond after-tax total return?

I'm interested in calculating the after tax total return on a fixed coupon bond. In Fabozzi's "Fixed Income Mathematics", 4th ed, p. 149, a formula for "after-tax coupon income interest on interest" ...
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42 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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48 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 ...
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25 views

Hedging with a different underlying - bond options case

I'm working on government-bond options pricing (Black-Scholes world, nothing fancy). In EUR, that's pretty much a "non market" in the sense that there's pretty much no quotes, so no implied vols, no ...
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9k views

Can the duration of a bond be greater than Time to Maturity

In the case of a vanilla bond I know that the duration will be less than the time to maturity. But I am observing that for a non-vanilla bond, the duration is greater than time to maturity. Can ...
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3answers
114 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 ...

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