# 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.

409 questions
Filter by
Sorted by
Tagged with
45 views

### US Treasury foreign buying/selling data

Would anyone recommend any Index or data that I can avail to understand the trend in buying/selling of US treasuries by China? I have access to Reuters feed. Thanks, Sumit
1k views

### Zero-coupon bond price volatility with one factor Hull White interest rate model

I have been trying to understand the H&W model expression for zero coupon bond price volatilities: $\nu_B(t_0,t_M)=-\frac{\nu_r}{m}(1-e^{-m\tau_{0,M}})$, where $\nu_B(t_0,t_M)$ is zero coupon ...
94 views

### Bond yield to maturity vs current interest yield

How close is yield to maturity usually to current interest yield? Can I use yield to maturity to approximate current interest yield of a bond index? I am trying to calculate bond index price returns ...
118 views

### what is non par call curve ?

What is no par call curve in terms of muni securities ? Can anyone explain how does it affect spread and duration and why is it used while evaluating securities ?
140 views

4k views

### Do all bonds of the same maturity have the same yield to maturity?

We've been using this formula to price Bonds. c/y + (100-(c/y))/(1+y)^m where c=coupon y=yield to maturity m=time to maturity Let's take a 10 year U.S treasury for example. Price of existing bonds ...
3k views

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, ...
119 views

### Clarifications about the “quotations” of Treasury Bills and Treasury Bonds

Good morning. I would like to ask you some clarifications about the "quotations" of Treasury Bills and Treasury Bonds. Quoting "J.C. Hull": In general, the relationship between the cash price and ...
1k views

### Total Return Bond Index calculation using only Clean and Dirty prices

I have been looking at ways to construct a custom Total Return Bond Index given only the Clean and Dirty Prices. First I constructed the following, thinking that Price Index formula would capture ...
108 views

### Custom Bond Index Construction

Let's say there are about 100 illiquid EM bonds. I would like to construct a Price Index of these bonds to see the overall performance of these instruments. I have their issue volume ...
41 views

### Cash flow of longevity Bonds

For a longevity Bond, how is the cash flow and how can I replicate it? I am confused with the cash flow. An Investor pays a principal and receive coupon payment depends on the longevity of certain ...
2k views

### “Forward price of bond” VS “Price of a bond with a future settlement date”

What is the difference between 1) computing the 'forward price' of a bond at a future time T. ( spot price - carry, involving repo rates) 2) computing the price of a bond (discounting all cash ...
658 views

### To compute key rate duration, shall I use par curve or zero curve?

To calculate Key rate duration/Key rate DV01 for bonds, do we move the zero/spot curve or we move the par curve? Or either one is OK? Just want to know the industry standard.
1k views

### Receiver Swaption and Callable Bond - Literature Proof?

I'm looking for a formal proof that a receiver swaption is equivalent to a callable bond. I have only found some CFA Internet pages so far where this statement is considered as proven, tough I haven'...
120 views

### Yield-to-maturity determines bond price or viceversa?

when I attended fixed-income classes, my Professor used to say that yield-to-maturity determines bond price and not viceversa. I was wondering the meaning of this statement since the definition of ...
108 views

### Regress the changes in a bonds YTM against the changes in YTM of a bond index?

does it make sense to regress the changes in a bonds YTM against changes in the YTM of a bond index to get som measure of a bonds beta?
549 views

### Pricing zero coupon bonds on a yield curve

I'm getting confused about how I should price the current price of a zero coupon bond when there are several yields to choose from. For instance, lets say that there is an upward sloping yield curve. ...
188 views

### Making mathematical sense of the expression for realized bond return

I came across the following statement regarding the realized 10-year maturity bond's return over a year: The realized bond return (H) over a year has two components: the yield income earned over ...
204 views

### Does this trade have a name?

Ok so I got this idea, it's very simple so I know I'm not the only one who has thought about it. It is a pairs trade between long and short term treasury swaps, and goes as follows: Going by ...
582 views

### Why we need compute the clean price

First, is the yield of dirty price is same as the yield of this bond at beginning? If they are same, then the dirty price is ...
1k views

### Yield-to-Maturity and its assumption

Reading about Yield-to-Maturity (YTM) I found out that two assumptions have to be made: the bond holder must keep the bond until maturity; coupons must be reinvested at the same YTM. Violating those ...
155 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 ...
5k views

### How to calculate the daily carry on a bond future?

I have been calculating daily carry on a normal bond as the difference in yields from one day to the next (roll down basically), interpolating the yield on one day, and interpolating it for the ...
2k views

### BUS/252 accrual - why 252?

I've recently found out about the BUS/252 accrual method used in Brazil, where, to calculate how much of the yearly accrual falls on a given period by calculating the number of business days during ...
24 views

### $\sigma$-indepencene in affine multi-factor model for interest rate derivatives

The model here is affine two-factor model for interest rates. Let $p = p(r, \sigma)$ denote bond prices which take the usual exponential form. Let $r$ have some $Q$ dynamics, and let $\sigma$ be the ...
1k views

### Why repo goes negative for bonds trading special

Please help me find the fault in my reasoning! It seems to me that when a bond is trading special , it is in short supply and high demand , and so excessive number of people are borrowing money to ...
161 views

### Price of a Bond-Call option in the defaultable framework

I would like to compute the price for a Call option written on a defaultable bond as underlying. Suppose you have the following dynamic under the risk free measure $\mathcal{Q}$ for the interest rate: ...
623 views

### Risk neutral measure of short rate model

As we all know, all affine term-structure models are members of HJM model. Under HJM model, there is a unique risk-neutral measure in both forward-rate process and bond evolving process. Hence, the ...
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%. ...
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 ...
255 views

### Bond duration and the mathematical proof of 'bond price recovery'

The term duration has a special meaning in the context of bonds. It is a measurement of how long, in years, it takes for the price of a bond to be repaid by its internal cash flows. I have read this ...
95 views

### Can someone suggest some good reads on OAS and Spread Duration?

I have been through the CITI Yield book paper and the OAS by Barclays. Is there is anything else that tackles this topic? Any help would be much appreciated. Cheers!
642 views

### Duration of callable zero coupon bond

Can anybody please help me out with the below question with a brief explanation:- A 10-year zero coupon bond is callable annually at par (its face value) starting at the beginning of year 6. Assume a ...
744 views

371 views

### Would it possible to use quantlib finance library to calculate folowing measures?

I am working on a project which addresses finances and I am curious if I could use qunatlib for it. I have already looked it a documentation about it but since I am definitely not an expert in ...
212 views

### Find all bonds associated with an equity

I would like to use Python to programmatically find the cusips of all bonds that are currently issued by a given equity. Assume I can use any free api and bloomberg. Thank you!
926 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 ...
206 views

### Girsanov theorem and default rates in bond credit rating

Default rates are kind of probabilities, right? Is it possible to use the Girsanov theorem in that context? For example if we have a table of real world probabilities, could we use the Girsanov ...
I am looking at the Black Derman Toy local short rate model as $$d\log r(t)=\alpha(t)(\theta (t)-\log r(t))dt+\sigma dW(t)$$ under RN measure. I would like to derive the bond price PDE. For that I ...