Skip to main content

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
0 votes
1 answer
418 views

what is the rationale behind CTD (Cheapest to Deliver) mechanism in bond futures

why doesn't futures contract just stipulate a specific contract to be delivered. Is it because the futures seller cannot readily buy specific bond contracts?
boonga's user avatar
  • 21
0 votes
2 answers
306 views

Discount factors curve shapes

I have 2 discount factor curves; DF 1 I expected every DF curve to have the shape of the 2nd one (almost a straight line), what does it mean economically when a DF curve has the shape of the 1st one? ...
darkuss's user avatar
  • 51
1 vote
1 answer
161 views

Bond Option: Cash Price or Quoted Price as Underlying

John Hull mentioned in his book using Cash Price(Dirty Price) instead of Quoted Price(Clean Price) in pricing a bond option using Black-Scholes. It confuses me as it seems more natural to assume the ...
League Super's user avatar
0 votes
1 answer
137 views

Roll down for floating rate notes

is it correct to say that floating rate notes (FRNs) have no roll-down for a time horizon as it is interest risk free?
Peaceful's user avatar
  • 734
0 votes
2 answers
124 views

CDS spread term structure

As I know a CDS is defined w.r.t. some unique Reference bond with a given maturity from a given issuer. Now, an issuer can issue bonds with different maturities and ...
Brian Smith's user avatar
0 votes
1 answer
178 views

US Treasury: Calculating Price from Yield [closed]

I'm trying to get the basics of bonds by going from yield to price (and vice-versa hopefully). What I want to do is from publicly available source go from the treasury bond yield to the price. So for ...
rate_newbie's user avatar
0 votes
2 answers
50 views

Calculate combined return on corp. bond traded multiple times? [closed]

I hope this is an okay place to ask this: Case: Assume you find a corporate bond you want to invest in. You then invest in it below par several times over the years, and you also sell bits of your ...
dlnvtl's user avatar
  • 1
0 votes
1 answer
343 views

How to price PIK (paid-in-kind) coupon bond with option by the borrower to pay cash?

I'm trying to price a PIK coupon with an Embedded Option by the borrower to pay in cash. Without the Embedded Option, it is simply a zero-coupon bond paying Principal*(1 + coupon rate)^n at the end. ...
Andrei Sultanov's user avatar
1 vote
0 answers
38 views

Comparative statics on $c/r$ using fundamental asset pricing equation

Consider the fundamental asset pricing equation for a perpetual coupon bond: $$rP = c + \mu P' + \sigma^2/2 P''$$ with standard boundary conditions $P(\bar x) = \bar x$ and $\underset{x\rightarrow \...
Luca Gi's user avatar
  • 327
2 votes
1 answer
128 views

Definition of continuously compounded yield for perpetual defaultable coupon bond

In continuous-time asset pricing, the price of a defaultable perpetual coupon bond is given by $$P(V) = \frac{c}{r}\left[ 1- \left(\frac{V}{V_b}\right)^{-\gamma}\right] + (1-\alpha)V_b \left(\frac{V}{...
Luca Gi's user avatar
  • 327
2 votes
3 answers
668 views

Pricing a bond denominated in USD but issued in Europe

I need to price a USD bond using yield-to-maturity from the yield curve (YC). The bond is issued by a German company. My question is what yield curve should I use: the US Treasury YC or the EUR YC of ...
Rad's user avatar
  • 21
0 votes
1 answer
266 views

Is there any way to get cashflow amount including cashflow date in QuantLib?

...
Roshan Yadav's user avatar
1 vote
1 answer
310 views

Business day convention in fixed income

I have a question regarding the business day convention. Suppose I have a bond that matures on the 17th of September 2023 and pays an annual coupon of $1%$. It has a $30/360$ day-count convention and ...
swissy's user avatar
  • 157
0 votes
2 answers
111 views

Are risk-free-rate bonds and cash fungible?

I had a thought experiment: suppose you wanted to borrow an equity security from me (perhaps to short sell it). I ask you for collateral and a borrow fee, and in exchange you get the stock. If you ...
actinidia's user avatar
  • 196
1 vote
0 answers
116 views

Stripped treasury bond prices

I saw this paragraph in the SHV prospectus The Underlying Index is market valueweighted based on amounts outstanding of issuances consisting of publicly issued U.S. Treasury securities that have a ...
CuriousMind's user avatar
0 votes
1 answer
131 views

how to add redemptions to amortizing floating bond in dates that are not coupon dates

How can I in QuantLib add redemptions to a AmortizingFloatingRateBond that follow in dates outside the Bond Schedule? ...
jamoreiras's user avatar
1 vote
2 answers
143 views

Bond forward arbitrage relationships

I am trying to see if the following statement is true or not and I would really appreciate your help. The statement is as follows: $\forall $ Tradable Asset $V(t)$, $$ E[\frac{P(t,T_{i})P(T_{i},T_{i+1}...
Xman's user avatar
  • 267
0 votes
1 answer
735 views

Negative Accrued for treasury bonds?

I am looking at some spreadsheets that show the US treasury bonds have some negative accrued. Why would that be the case? Shouldn't bond accruals always be positive?
Matt Frank's user avatar
1 vote
0 answers
70 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 ...
user avatar
1 vote
2 answers
561 views

Convexity adjustment doubt

So this the question and the answer to the first one states that only the 5 year swap rate will be adjusted for convexity and the answer to the second one states that neither of the rates will be ...
Pearl Trivedi's user avatar
0 votes
1 answer
1k views

Calculate Bond Price knowing Z-Spread

From my point of view, to calculate the price of a bond, we just need to add the discounted cash flows. The discount factor calculation is as follows: In my theory knowing the z-spread of a bond I ...
TourEiffel's user avatar
2 votes
1 answer
70 views

Efficient encoding technique for credit ratings

Is there any categorical encoding technique for credit ratings that take into account the kind of non linear nature of the notches of the credit ratings? The literature standard is the ordinal one ...
wanna_be_quant's user avatar
0 votes
0 answers
45 views

Why do bonds with a shorter next call dates have shorter extension risk?

I was reading a research article and I'm not really understanding why. Is it to do with the option premium being priced in at the beginning?
junior_pm's user avatar
-2 votes
1 answer
494 views

Why is carry divided by DV01 to scale it?

If I understand correctly, 6M carry in a fixed-floating interest rate swap should be the difference between the fixed and floating leg. When I read this on Page 2: https://corporate.nordea.com/api/...
junior_pm's user avatar
1 vote
0 answers
80 views

Tree Pricing FRN Implementation

When pricing a bond via a short rate model on a tree, it seems natural to include intermediate time steps in addition to those corresponding to cashflow dates (i.e. for bonds with American style ...
ripvan's user avatar
  • 11
2 votes
0 answers
62 views

high coupon and low coupon treasury

for treasury off the run bonds, in general, does the market prefer high coupon or low coupon bonds ? How about for credit bonds ?
Peaceful's user avatar
  • 734
0 votes
1 answer
356 views

Can a Bond have FX Delta Risk?

Given we know the Notional Trade Price Currency in which the Bond Pays Coupons FX Rate from Bond Currency to USD Trying to understand if a Bond can have FX Delta Risk and how it should be computed?
godimedia's user avatar
  • 103
1 vote
0 answers
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. ...
Matt Frank's user avatar
0 votes
1 answer
691 views

Is it possible to have negative Z-spread for a corporate bond?

I have a 2 year maturity AA rated US corporate bonds, and I found that it has negative Z-spread, -0.00053. Does it make sense or it's wrong?
Alessandro Campagna's user avatar
1 vote
1 answer
145 views

Why did Ginnie Mae MBS Net issuance decrease significantly in 2020-2021?

Net Issuance of Agency MBS can be thought of as driven by Existing Home Sales, New Home Sales, Cash out Refis, Amortization and Non-Agency MBS runoff. Based on this definition of net issuance, is ...
FixedIncomeprof's user avatar
0 votes
1 answer
868 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?
Alessandro Campagna's user avatar
1 vote
0 answers
75 views

How to calculate the gaussian VaR for a portfolio with 3 corporate bonds and 1 IRS payer?

As data I have the daily change of zero coupon spot rates for some vertex (0.25, 0.5, 1, 2..) and the daily change of z-spread for corporate bonds, also by vertex
Alessandro Campagna's user avatar
2 votes
0 answers
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 ...
AlRacoon's user avatar
  • 6,632
0 votes
0 answers
139 views

short rate, yield curve and zero-coupon bond price formula under CIR mode: How to calibrate the market price of risk

I recently read a document posted by a user in QF, who said that "In the past, I have calibrated simple short rate models to the term structure by using maximum likelihood to get the parameters ...
user53249's user avatar
  • 419
1 vote
1 answer
681 views

Treasury futures wild card option (Monte carlo simulation)

I recently joined a bulge bracket bank in New York City trading the long-end but mostly doing a lot of analysis until I get up to speed. I'm working on the Wildcard model which is going to be an ...
newbondtrader's user avatar
1 vote
0 answers
61 views

Is there a closed form solution to the following system of SDEs?

Suppose we have the system \begin{align} dr_t=\alpha_r(x_t-r_t)dt+\sigma_rdW_t^r\\ dx_t=\alpha_x(\bar{x}-x_t)dt+\sigma_xdW_t^x\\ \end{align} As this system is affine, I believe there should be an easy ...
Carl's user avatar
  • 123
2 votes
2 answers
348 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 ...
finstats's user avatar
  • 403
1 vote
1 answer
126 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, \...
Carl's user avatar
  • 123
2 votes
3 answers
426 views

How can I optimize a Bond Portfolio in Practice?

I'd like to optimize a bond portfolio with different bond classes (government bonds, corporates, ...) and different ratings as well as maturities. Is this even possible to optimize such a portfolio? ...
user61695's user avatar
0 votes
1 answer
120 views

Bond Discounting Error With QuantLib

I have a list of bond coupons, their maturities and their current price. I want to find their corresponding discount factors. The code I have used is from the QuantLib cookbook, attached below: ...
Goutham's user avatar
1 vote
0 answers
921 views

Can 2 unique Instruments have the same ISIN?

I always thought that 1 ISIN uniquely identifies 1 financial instrument. However, I have come across cases, where the same ISIN is used for a stock and a bond: ...
Phil-ZXX's user avatar
  • 1,042
1 vote
1 answer
623 views

Does a bond pay a coupon at maturity? [closed]

I know a bond pays an annuity cashflow of coupon payments and then at maturity it pays the face value. But, at maturity, does it pay an additional coupon payment on top of the face value or are we ...
Sierra's user avatar
  • 11
0 votes
2 answers
76 views

Between these bonds, how to find out which is one pricey (Higher valuation) and cheap (Lower valuation)?

Trying to understand, how to find out which of these bonds are cheap and which are expensive? The current spot rate is 8.167%. How do I go about finding the cheap vs expensive bonds especially when ...
nsivakr's user avatar
  • 119
0 votes
0 answers
71 views

Bootstrapping when cashflows are irregular

EDIT: this question was previously closed because it was 'assumed that it should be common knowledge'. I advise you to READ THE QUESTION PROPERLY and you will find out is is NOT common knowledge at ...
Fidelio's user avatar
  • 59
0 votes
1 answer
362 views

Zero Coupon Bond - Price and Yield when interest rate is a diffusion process and 0 "price of market risk"

Given that the price of market risk (or market price of interest rate risk) is $\lambda(r_t, t)=0$ and that we have the following dynamics of the interest rate (under the physical measure $P$. $$dr_t =...
Landscape's user avatar
  • 548
0 votes
1 answer
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{...
cici30725's user avatar
0 votes
1 answer
460 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 ...
Rodrigo 's user avatar
0 votes
1 answer
801 views

"spread-to-maturity" as defined by Bloomberg

Bloomberg has a number "spread to maturity" they display in some screens for fixed coupon bonds. Does anybody know the exact definition of this spread? I am not sure which screen it is but ...
Magnyz's user avatar
  • 101
0 votes
0 answers
234 views

Price of a forward delivery bond - Quantlib python

I would like to find the bond price today which has already been issued but delivered later. Basically, the price won't include some of the coupons till the delivery date. Let's say 10 year bond ...
Sarat Muppana's user avatar
0 votes
4 answers
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 ...
user60519's user avatar

1 2
3
4 5
15