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Questions tagged [fixed-income]

Securities which obligate the borrower/issuer to make payments on a fixed schedule. Fixed income securities include sovereign, corporate and municipal bonds, corporate loans, and securitized lending (e.g., ABS). "Fixed" refers only to the schedule of obligatory payments, not the amount, and may include inflation linked bonds, variable-interest rate notes, and the like.

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What's the rate of return on a mortgage?

I'm trying to understand mortgages from first principles, from the perspective of a borrower. Let $S_t$ be the price of the asset bought with the loan at time $t$ (i.e. house). Let $\alpha$ be the ...
user357269's user avatar
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What are the assumption in the DTS paper

In the original Duration Times Spread paper from Arik Ben Dor , Lev Dynkin, Jay Hyman , Patrick Houweling , Erik van Leeuwen and Olaf Penninga , the authors define a change in spread as follows: ...
Giuseppe Pes's user avatar
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Market Data UST

There a lot of new market data providers for retail algo traders. For example the famous one for option is Theta Data Net and for Equities it is Polygon IO. You basically get all the greek/price data ...
confucius_is_confused's user avatar
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Bond Basis (non CTD)

I had a query regarding the trading of non CTD (but deliverable) basis. Obviously someone can buy non CTD basis (buy cash / sell bond future), with the hopes this widens, clearly I would not want to ...
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Get bonds data in python [duplicate]

Anyone knows a way of getting trustworthy bonds data in python? I know that for stock there is yfinance package but it doesnt include bonds. Thx
Lucca F's user avatar
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182 views

Recommended Setup for QuantLib-Python AmortizingFloatingRateBond

I am trying to model a term loan in QuantLib-Python that makes quarterly interest payments at CME Term SOFR 3M + 10bps + 525bps paid in arrears with a 2 business ...
cpage's user avatar
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Why is accrued interest prorated linearly?

Cashflows from coupons and principal are discounted using the YTM to get PV of the bond in dirty price. as shown here in this question Misunderstanding of 'day counts' and accrued interest ...
user72290's user avatar
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201 views

Is the "$\textit{theoretical}$" $DV01$ of a bond an accurate estimate?

Dollar duration $DV01$ is defined as negative of the price of the bond wrt yield: $$DV01 = - \frac{\partial P}{\partial y}.$$ As we know that $P = \sum_{t=1}^{n} \frac{CF_{t}}{(1+y)^{t}}$, then $$DV01 ...
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Calculating spread on a par rate curve given bond’s coupon and yield

In Tuckman and Serrat’s Fixed Income Securities, they give an example of a bond and state its coupon and yield. They also provide an HQM par rate curve and quote the bond’s spread to this curve. How ...
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Securities lending vs repo transactions

I have recently started on a repo/SBL trading desk and I am struggling to understand some theory. Normally, in a secured hard-to-borrow secured transaction, I pledge general collateral, receive the ...
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How do you interpret this data about corporate bonds? [closed]

If I have a corporate bond portfolio that has the following relative to the benchmark (this was given to me as interview question): Given an initial portfolio with the following statistics (as of ...
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How would one calculate yield to first call for a debt security which is currently and always callable?

If an asset manager has multiple extended warehouse lines outstanding and each one is currently callable (some with penalties, some without), is it simply the case that a ‘to first call’ performance ...
slothish1's user avatar
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How to use exp(-r*t) to calculate tbill price

I wonder why : $1 - \left(\frac{4.91\% \times 358}{360}\right) = 95.1172778 $ and why $\exp\left(-4.91\% \times \frac{358}{360}\right)$ does not give 95.1172778 T Bill Description : B 0 04/17/25 ( ...
TourEiffel's user avatar
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Setting up QuantLib to get correct yield for bond with long first payment period

I am dealing with fixed rate bonds. There is one particular bond, 34659UAC0, that caught my eye. This bond has a first coupon period of a whopping 5 years, followed by regular periods of 6 months. My ...
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Public exchanges US treasuries

I know the major part of US treasuries is traded OTC through RFQs. I was wondering though if there are public exchanges like for US equities where retail investors can send market and limit orders to ...
missing_name's user avatar
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2 answers
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Bonds in a zero interest rate environment

I've been looking at Pension Fund asset allocations. Why would they have any allocation to bonds in an zero interest rate environment? To make the point, let's assume the interest paid on these bonds ...
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QuantLib Python: Calculate ZSpread

I am trying to use quantlib-python to calculate the z-spread of a fixed rate US corporate bond using a zero curve from swap rates provided. Here is the provided ...
cpage's user avatar
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Spread Duration of a Fixed Rate Corporate Bond, with offsetting Futures Position

My question is relatively simple with respect to the below scenario: I take a $5m long position in a vanilla fixed-rate corporate bond with a spread of 1.50% for a YTM of 5%. These coupons are paid ...
fixedincome94's user avatar
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Last look window in us treasuries

Last look window is always discussed for Fx but I was wondering if people analyzed also its effect in other Asset Classes like US treasuries? Because I think that the holding time of a quote in US ...
missing_name's user avatar
1 vote
2 answers
62 views

US treasuries TRACE

For all trades on US Treasuries made through RFQs, all the trades should be reported to TRACE to have post-trade transparency. But is TRACE then available to the public? or is it just for SEC? If it's ...
MM_2024_23_2's user avatar
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Bond basis arbitrage

The popular media refers to US.bond future basis trades in some contracts as arbitrage..they cite that as the future trades richer to cash hedge funds can buy basis and make money. I'll assume they'...
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Simulating the Term Structure of Interest Rates in the CIR model

I have successfully implemented the CIR model of the short rate, and now want to use these short rate paths to construct distributions of various tenors - 2y, 3y, 5y, 10y for example - across the ...
Wadstk's user avatar
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Approximate 5y swap rate move in 1 tick move in 5y treasury

If CT5s (the current on the run 5y treasury) goes from 99-20 to 99-21 - what will be the approx rate move in the 5y swap rate. Just trying to ascertain rule of thumbs for 5y, 10y and 30y.
CurveGamma's user avatar
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Does switching between Bond and Equity closely tracking Interest rate generate more returns?

Is there an evidence to suggest that we buy bond during high interest regime and when interest rates goes down , we sell the bond and buy Equity Index .. Repeat this by closely following the central ...
Kavinkumar R's user avatar
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How long to hold a bond fund to be guaranteed a certain return? (mathematical proofs)

Is there a mathematical proof of how long one must hold a bond fund or ETF to be guaranteed a positive return? And of how long to be guaranteed a certain return? For simplicity: let's consider ...
Pythonista anonymous's user avatar
1 vote
1 answer
185 views

GBP OIS Curve - Zero Rate Curve Calculation in Quantlib

I am new to Quantlib and I am looking to create a Zero Rate Curve from GBP OIS to then use to calculate the present value of fixed rate bonds. I have Looked at the documentation: https://quantlib-...
TheGr8Destructo's user avatar
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1 answer
277 views

I-Spread vs G-Spread

I am trying to build some intuition what information does I-spread provide? G-Spread and I-Spread differ as to what curve they use to evaluate the spread to. In the former it is Treasury curve and in ...
Medan's user avatar
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4 answers
199 views

Why are random coupons not priced using risk-neutral evaluation?

Assume a fixed coupon bond has a coupon which, randomly, is 5 % or 4 %, each occuring with a 50 % probability. The issuer flips a coin on payment date to decide which it should be. I would value this ...
JakcieJnr's user avatar
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A TIPS that matures in less than a month from now should trade like a treasury...Why can't I get the YTM's to match?

If a TIPS bond matures soon, lets say 4/15/24...we should know all the payments. I would think that if we calculate the YTM on that after adjusting for inflation it should have the same YTM as a 4/15/...
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G spread in bbg for callable

As I understand OAS is the credit metric of choice for credit risk. And it is computed by subtracting option value from z-spread. My question is: in BBG screen I see G-spr listed for callable bonds, ...
Medan's user avatar
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2 votes
2 answers
395 views

Bond curve fitting, practical question

when fitting gov bond curves, What are different logic's used by traders to set the weight for the different bonds ?
viki's user avatar
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0 answers
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Two types of hedge : impacts on position carry

Think of an IG bond purchase, financed at 3M Euribor, in an inverted curve environment. The yield on the bond, Y, is below the 3M Euribor, at purchase. The investor is looking to lock in a spread over ...
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1 vote
2 answers
208 views

Yield curve and bond price

I am confused about how the yield curve is built and how it relates to the pricing of bonds. First what I don't understand is that when people talk about the yield curve, which yield curve are they ...
yield_curve_and_bonds's user avatar
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2 answers
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Value the fair price of a 20y Bond

The on the run treasury bonds can only have the following maturities: $2,3, 5, 7, 10, 30$. With a $4$ year bond it's "easy" to evaluate it since we can compare it to the price of the $3$ and ...
confucius_is_confused's user avatar
2 votes
1 answer
547 views

Switch and wildcard option in WN

I am trying to get a better understanding on the switch option for the WNM4 contract. Usually the wildcard is the only option that’s important for WN but now it’s complicated by the wildcard option. ...
decaybeta's user avatar
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1 answer
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How is the fixed income market organized

For equities it's very simple, exchanges maintain an order book of the limit orders sent and the mid-price of the order book can be considered as the fair value of the stock. For Fixed Income market I ...
MM_2024_23_2's user avatar
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0 answers
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How to compute Bonds volatility from Duration and DTS?

I recently came across article From Ad Hoc Bond-Risk Measures to Variance–Covariance Forecasts from De Jong and Fabozzi, where they show how to infer the variance (and covariance) of Corporate Bonds ...
SRKX's user avatar
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1 answer
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Long Bond & Interest Rate Futures Hedge - is it carry negative?

The situation is the following : A bank treasury book, finances its cash bond liquidity portfolio at Euribor 3m flat. The Euribor curve is deeply inverted. The bank invests in bonds with a positive ...
A.S.'s user avatar
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0 answers
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Pricing a floating rate callable bond with rate scenarios, please help!

I need to price a floating rate callable bond in Excel. I am new to this and struggling to find good information on this specific situation. I have several rate scenarios until maturity, i.e. the ...
Yury's user avatar
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Pricing a (general) callable floating rate note

I have a question generalizing this situation: Pricing Callable Floating Rate Note. I want to price a callable floating rate note, where the coupon can also be capped and the reference index can be ...
LoyoL's user avatar
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1 vote
2 answers
172 views

Interest rate swaps - if i expect rates to be cut later than market expectations, what swap can I put on?

If I think market expectations are too dovish and I expect rates to stay high for longer i.e. rate cuts by X central bank to happen in September for example (as opposed to whats priced in, e.g. May), ...
user131113's user avatar
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Any references on material for understanding fixed-income price discovery and occurrences of discrepancy in valuation between buy side/sell side?

Can discrepancies in pricing occur for bonds between the buy-side and sell-side ask, in addition to other complex structured credit offerings like mortgage pools? My understanding is quoted yields and ...
Michael Damien's user avatar
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Par Yield vs Spot Rate Term Structure

Using bootstrapping, i can derive spot rate curve from Treasury par yield curve. I added a couple extra maturities to the par curve, 60 year at +10bps to 30 year, then hold flat for the next 50 year. ...
Alex's user avatar
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3 votes
2 answers
238 views

QuantLib calculations for a Canadian corporate fixed rate bond differ from BBG YAS

I am pricing a non-callable, fixed-rate, Canadian corporate bond with the following parameters: Name Value CUSIP 12657ZAT0 Evaluation Date 2/14/2024 Settlement Date 2/16/2024 Bond Issue Date 3/6/...
Juice's user avatar
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1 vote
1 answer
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How to calculate holding period return of a long-short strategy?

I have daily close prices of two stocks, A and B. Suppose that we long stock A and short stock B. Assume that we do the long-short every day and hold that portfolio for some days. How to calculate ...
user546106's user avatar
2 votes
1 answer
429 views

Intuition for why it's called "implied repo rate"?

I'm having trouble understanding, conceptually, why the rate of return for buying a bond, shorting the future, and then delivering the bond into the future is called the "implied repo rate". ...
rb612's user avatar
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0 answers
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Bootstrapping annual and semi annual bond [duplicate]

https://www.wallstreetmojo.com/bootstrapping-yield-curve/ a) This is the standard method for bootstrapping: From the 0.5-year maturity the spot rate or the discount rate is 3% and let us assume the ...
Finance_student's user avatar
3 votes
2 answers
320 views

Allocating bond PnL in a similar way to swaps

In fixed income trading, a portfolio may have a large number of derivatives (swaps) positions which are typically aggregated into bucketed points on a curve and a PnL estimation is usually derived via ...
Attack68's user avatar
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1 vote
1 answer
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WN 30Yr UST Futures Conversion Factor vs Delivery Ratio

What is the logic behind using the conversion factor in determining the hedge ratio of deliverable bonds in 30Yr UST futures (WN contracts) throughout the trading life of the contract, but then having ...
AlRacoon's user avatar
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3 votes
1 answer
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Literature on PAA for Rates products

There is abundant literature on pricing interest rate derivatives, but it is a struggle to find much on the science and methods behind practical Profit Attribution Analysis (PnL explain) on fixed ...
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