# 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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### How to calculate the unrealised profit on sinkable bond

How is calculate the unrealised profit on Sinkable Bond when 50% of the bond value already been paid? Is the following method correct: Unrealised P&L = ((Current.Position * Market.Price) - Cost....
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### 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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### 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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### 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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### 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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### 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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### 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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### 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 ...
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### 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 ...
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### How to proof the formula to be martingale under ITO process?

How can implies that is a martingale when using the defaultable bond price?
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### 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}...
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### 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 ...
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### 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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### 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-...
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### 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, ...
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### Poisson distribution and counting process

Let $\begin{Bmatrix} N_t \end{Bmatrix}_{(t\in[0,T])}:=\mathbb{I}_{(\tau \leq T)}:=k, \forall t \in [\tau_{k}\leq \tau_{k+1})\sim \mathrm{Po}(\lambda_{t}:=\int_{0}^{t}\lambda_{s}ds<+\infty)$ a ...
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### Calculating historical volatility and returns from bond yield

I am interested to calculate the historical volatility and returns from a time series of US 3m T-bill yield (see screenshot below), for portfolio optimization. I am not too sure how to bridge the idea ...
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### 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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### Bond Data on UK corporate

I have got data from FRED on Moody's Seasoned Aaa Corporate Bond Yield. Does anyone know where I can get such UK data on this? If not, would using exchange rates and the interest rate parity theorem ...
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### Yield to maturity as discount rate

Assume that face value of a bond is equal to 1000. The coupon rate is 3% and yield to maturity is 4%.How can we correlate coupon rate and YTM in order to explain the state of current bond price. (...
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### 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 ...
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### bond price formula in excel

I inherited a excel spreadsheet that has the following code to price a bond given coupon and current yield ...
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### Which bond corresponds to which curve?

Bond X has a coupon Bond Y is a zero-coupon bond (Maturity 2 years) Bond Z is a zero-coupon bond (Maturity 10 years) The following graph is given: X-axis: yield curve, Y-axis: price Question: Which ...
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### How to prove following order?

Consider a consol bond, i.e. a bond which will forever pay one unit of cash at $t = 1, 2, . . ..$ Suppose that the market yield $y$ is constant for all maturities. (a) Compute the price, at $t = 0$, ...
A one year bond of principle 100, coupon 6% with half year paying and yield 11%. Suppose the beginning day of bond is 1.1 and today is 3.1, then I want to ask that, the price c = \dfrac{3}{e^{0.11 *...