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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Publicly traded instrument analogous to a bond with discount rate equal to a stock dividend rate
Suppose we have a stock paying a stochastic dividend at rate $q$ in a zero interest rate environment. Is there a publicly traded (non-over-the-counter, meaning not specially designed for an entity) ...
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Pricing a amortizing callable danish mortgage bond using quantlib
I am trying to price a callable fixed rate amortizing danish mortgage bond. since QuantLib only has CallableFixedRateBond i have created a dervived class called <...
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Derivation defaultable bond price in Leland 1994 (Merton)
Consider the model in Leland (Journal of Finance, 1994).
The partial differential equation that describes the price of the (perpetual coupon defaultable) bond is:
$$\frac12 \sigma^2 V^2 F_{vv}(V,t) + \...
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How accurate is YTM as a reference measure of non-holding-to-maturity return?
We need to offer an estimated return of a non-hold-to-maturity strategy. Essentially, we borrow money from the market and buy a bond. Instead of holding the bond to mauturity and locking in a return ...
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Implicit Scheme for Cox-Ingersoll-Ross Model PDE
I am considering the PDE for the price of a bond $V(r,t)$ with maturity $T$ under the Cox-Ingersoll-Ross model,
$$V_t+\frac12\sigma^2rV_{rr}+\nu(\theta-r)V_r-rV=0\quad r>0, t\in(0,1)$$
with ...
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Comparing swaps with bonds
Swaps and bonds have a lot of similarity although one is a security and the other is a derivative.
For example,
libor for swaps is like repo rate bonds (thinking them both as the funding leg)
fixed ...
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Mismatch of periods with numeraire compared to the forward rates
In Joshi's The Concepts and Practice of Mathematical Finance Page 323--324 I believe that there may be a mismatch of periods with forward rates:
Consider time partition $t_{0} < ... < t_{n}$ ...
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Forward contract on a defaultable coupon bearing bond
Notations :
$P(t,T)$ : the $t$-price of a coupon bearing bond paying coupons $C_i$ at $T_i$ maturing at $T$
$B(t,T)$ : the $t$-price of a non defaultable zero coupon bond paying 1 at $T$
$P_r(t,T)$ : ...
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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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What is the most recent measure of the US Municipal Bond Market Size (Capitalization)?
$3.853 trillion in second quarter of 2018 according to Fed. Today?
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Derive the discount bond prices of the Vasicek model by the PDE approach
The question is shown above.
Anyone can help me?
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Matching the yield on a bond with the zeroRate on a curve in Quantlib
I am using QuantLib to generate a US Treasury curve from 1y, 3y, 5y, and 10y yield quotes. However, after building the curve and running zeroRate on it, it ...
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Credit spread model
Let $c(t,T):=-\frac{1}{T-t}[\mathrm{ln}(P_1(t,T))-\mathrm{ln}(P_0(t,T))]$, with:
$c$ measure of how a company is prone to fail;
$P_0(t,T):=e^{-r(T-t)}$ price of no-defaultable bond.
$P_1(t,T):=\...
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Retrieve SYC from Par yields
Currently studying about fixed income and the construction of the Spot yield curve, but I do not know whether my intuition is right.
Suppose we have a firm that has traded Bond for different ...
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Extracting Risk Neutral Default Probabilities using Option Adjusted Bond Prices
I am currently in a project trying to quantify default risk premia for US Corporate Bonds. The data I have consists of bond prices, and other information (i.e. YTM, OAS, Effective Duration, Maturity ...
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What is a quick way to estimate the haircut on a collateral that is actively traded
If I have an traded asset like a bond with face value of 1 million, but currently trading at 0.9 million, can I simply say that the haircut, if I use this asset as a collateral for repo, is 1 - 0.9=0....
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Duration and yield
I have some basic questions about mainly duration and yield.
1) Almost no-one defines what yield they are talking about when talking about duration and discount rate, I've seen some talk about ...
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How to convert a vector of bonds ZC Spreads into default spreads
If we consider a set of bonds issued by a given entity that are quoted on the market, one can get for each of those bonds a ZC spread on top of reference swap curve (say the bonds are in USD and so we ...
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What are industry-standard terms for MBIS "situational bid"?
In the data feed from Municipal Bond Information Services there is a field called "situational bid", which is defined in their reference as "Bids on a security that is being offered for sale." If I ...
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Duration of a FRN in continuous time interest rate model
This question was inspired by my attempt to understand the duration of a floating rate note, or FRN for short. Several answers, like this, say the duration of a FRN is just time to next coupon payment....
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Convertible bonds pricer - implementation
Where I can find numerical implementation (in any programming language) of convertible bonds pricer based on the following article:
E. Ayache, P. A. Forsyth, K. R. Vetzal, "The Valuation of ...
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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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How to determine the default probability of a county in a bond that is not in its native currency?
Disclaimer: This post is cross posted in here also.
Consider the following case:
Country P uses the currency Euro and gives p percent interest on a one year bond issued in Euro.
Country Q uses the ...
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Yield curve estimaton using linear regression
Assuming that there are not any zero coupon bonds in the market, then someone has to use the prices of regular bonds with same maturity and characteristics (risk,issue etc.) to obtain the yield curve.
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Question about Paul Kupiec's "concentrated Bond loss rate distribution"
I wonder if anyone here has read the following paper by Paul Kupiec in which he approximates a loss rate distribution for a portfolio composed of (possibly) concentrated bond positions.
https://www....
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Bond prices tend to 100 at maturity?
Let's assume we have a fixed-income bond, which is paying a yearly coupon. For example a 3 year bond, 1% fixed coupon, issued at par. So we have
at issue ->
$Price=\frac{1}{(1+0,01)^1}+\frac{1}{(1+0,...
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What rate/structure to use in <yield term structure> for the pricing of callable bond using QuantLib
I am new to quantlib (actually to the fixed income universe).
I am trying to price a callable bond using the CallableFixedRateBond classe of quantlib, and compare it to the market data(bloomberg).
I ...
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Bond liquidity: why do I observe constant bid-ask spreads?
I hope you can help me. I want to use the bid-ask spread of prices for 10yr treasury notes as a proxy for bond market liquidity.
I got monthly aggregated bond price data (for yrs 1999-2013) from ...
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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 ...
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$\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 ...
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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!
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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 ...
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Find Z-Spread in R
I am new to the quant finance community...
I have a series of bond cash flows, its market prices and also the spot rates for the timing of those cash flows. How to find the Z-Spread that matches its ...
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Discount curve from spot rates for bond pricing
I have a bond with the following cash flow and maturity:
...
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Bootstrapping bond spreads as in the standard CDS model
Suppose that we have a spread curve $\boldsymbol{s}:=(s_1, ..., s_n)$, where $s_i$ are CDS par spreads. Moreover, assume the standard ISDA model framework, i.e. piecewise constant forward / hazard ...
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Bond Duration with Bond portfolio returns
if I have given CRSP bond portfolio returns with different maturities (1m-12m, etc), how is it possible to compute the Future price and the duration?
Beside that I do also have the Nelson-svensson-...
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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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Issue on pricing bond using RQuantLib
trying to pricing a simple bond using RQuantLib, but cannot get the right values.
For example, consider a bond with 2% annual coupon rate and flat interest rate of 3%, a 5 year maturity, and \$100 ...
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Bond Convexity: Relationship between discrete and continuous interest rate
The interest rate risk of a bond price $P$ is measured by its Duration:
$$D=-\frac{\frac{dP}{P}}{dr}$$
However, the explicit formula for the Duration given a function $P$ is different if $r$ is ...
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HJM model, existence of arbitrage:
The Setup:
Suppose I know the yield curve of a Bond satisfies:
f (0, t) = 0.04 for t ≥ 0 and
f (ω, 1, t) = 0.06, t ≥ 1, ω = ω 1 ,
0.02, t ≥ 1, ω = ω 2 ,
where Ω = {ω 1 , ω 2 } with P[ω i ] > 0, i = 1,...
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Where can I find bonds time series?
I want to study dependence and correlation between bonds and CDS. I have already found a large CDS database of time series there: www.datagrapple.com
I am looking for such a similar database (with an ...
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state space for affine yield curve
i would like to reproduce in R the working paper " Affine free arbitrage class of Nelson Siegel term structure". The authors considering the equation of nelson siegel plus an adjustment term(C(t,T)) ...
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RQuantLib FixedRateBondPriceByYield() Non-tradable error
How do I use FixedRateBondPriceByYield() function on maturity date that is earlier than today? I get "non tradable error" when applying on date older than today.
<...
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Is there a limit to the number of Spot rates than can be calculated from Par Yields
I am just trying to calculate Spot Rates from Par yields. I find that the code below gives very similar spot rates for the data here, yet if I increase the size of the ...
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Please recommend a book regarding Monte Carlo simulation in OAS
I couldn't find a book that explains in details how to use Monte Carlo Simulation to generate a number of interest rate scenarios. And then based on the interest rate scenarios, how to calculate the ...
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Annuity Duration Based on Closed Derivative is half of Effective Duration?
I am analyzing an annuity with a stub. I calculate the effective duration as
(P(-10bps) - P(+10bps))/(2*Principal * (.001))
I then take the derivative of the standard annuity formula discounted by ...
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Bond pricing with HJM simulation
I'm using Glasserman 3.16 and 3.17 algorithm to price bonds. The algorithms evaluates the forward rates and the discount factor $B(0,t_j)$.
My question is: How can I price bonds in a future time? I ...
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India 10yr Government security/bond yields
Which sites can provide historical data for India 10year government security which is monthly. Im assuming yield implies total return data (including dividends/interest) reinvested. Im a newbie so pls ...
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Constant maturity bond fund returns in downward sloping curve
Assume the following:
we are running a constant maturity bond fund (10yrs)
all zero coupon bonds
to maintain the maturity, we buy bonds of 10y and sell the 9y bonds 1y later
price of 10y bond is 100, ...
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DV01 for Bond Forwards
Does anyone know how to get the DV01 of bond forwards from Bloomberg? I used FPA to get the forward price but can't figure out how to get the DV01.
Thanks!
