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Questions tagged [fixed]

The tag has no usage guidance.

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0answers
119 views

Pair trading strategies in fixed income

We usually hear about finding cointegrated pairs of stocks in pair trading, but it seems it is not as developed in fixed income despite the fact that the spectrum of securities is large (different ...
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0answers
64 views

Adjusting for term structure of repo rates to get apples to apples picture

I'm looking at term repo rates and need to get a measure that removes the curve component so I can make an apples to apples comparison. I think the concept is similar to taking two Treasury bonds and ...
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3answers
165 views

Treasury spline curve, practical question

Wouldn't fitting a spline curve against 300+ Treasury bonds be similar across the street? I know there's different ways to fit/interpolate points to create a spline curve and I understand that every ...
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1answer
42 views

Reduction in banks excess reserves link to liquidity and funding

I fail to understand how the reduction in bank excess reserves due to the Fed slowly reducing its balance sheet is linked to a squeeze to liquidity and funding. The Treasury will have to raise ...
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1answer
65 views

How do you quantify the impact on bond if it becomes special?

If the bond is trading at 5% and it becomes special, how do you quantify the impact this has on the bond? Or am I misunderstanding the concept of specialness?
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1answer
144 views

Pricing of Interest rate swap with start ex. 01/06/2015 to 03/06/2015 - 2 extra days? Change discount factor and fixed payments?

I hope you can help me. So let say we have an interest rate swap, with the following characteristic: Start in 30/06/2015. End in 02/07/2019 It has fixed payment every year, and floating every ...
1
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2answers
352 views

Pricing a Vanilla swap between coupons; What rates to use?

Vanilla Swap question. Entered into a 5Y fixed for floating HUF swap. Fixed is annual coupons, Float is semi-annual coupons. 1 month later I want to price it. I set up my future values for Fixed ...
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0answers
111 views

Can anyone suggest book about fixed-income portfolio management? [closed]

Can anyone suggest books about fixed-income portfolio management? Thx
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0answers
785 views

Fixed Income Var calculation

I'm trying to calculate var for a portfolio of fixed income securities. I initially want to just calculate undiversified VaR for each instrument. I'm doing the following for each instrument Take ...
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1answer
56 views

What does “primary calendar” mean?

I was reading the 2013 research rankings article on Institutional Investor and came across the following quote: "We do not expect spread widening in most markets, and we expect the primary calendar to ...