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.

Filter by
Sorted by
Tagged with
0 votes
0 answers
11 views

Ten Year Note Futures Implied Repo Rate calculation from CME Understanding Treasury Futures Document

I am trying to determine how CME calculated their Implied Repo Rates in table 3 on the penultimate page of the Understanding Treasury Futures Document: https://www.cmegroup.com/education/files/...
0 votes
1 answer
133 views

Trying to learn to bootstrap with the Treasury Curve and can't seem to get a result that makes sense

I'm trying to learn to bootstrap and am taking some bonds from the Treasury curve: https://docs.google.com/spreadsheets/d/1vA7s4ZfFzGfTji_d9cLUid5rqyaugRrI0etCW_3Jb6w/edit?usp=sharing For some reason ...
1 vote
1 answer
70 views

Comparing TBA and Spec OAS

For a specific coupon, if TBA TOAS is greater than a Specs TOAS, does that imply that the Specs are trading too rich to TBAs (given liquidity risk, payup risk, etc)? I realize relative value ...
7 votes
2 answers
666 views

How do bond pricing formulae differ between the US, UK and the Euro zone?

Let's restrict the scope of the question a little bit: I'm interested to learn about major differences in pricing formulae for nominal government bonds. The pricing formulae for inflation-linked bonds ...
0 votes
0 answers
42 views

Fixed income website [closed]

I came across a website on fixed income trading written by an ex quant trader from GS/JP and can't find it again. Was hoping someone here might be able to point me in the right direction?
0 votes
1 answer
55 views

How to scale t-bond yield movements on a chart to visualize its relative impact to the pricing of other assets?

How does one scale the 10yr yield on a chart to visualize its relative impact to asset valuations? I.e., so that the risk-free rate moving from 1->2% shows as a much larger movement than 11->12%....
0 votes
1 answer
56 views

Can a Bond have FX Delta Risk?

Given we know the Notional Trade Price Currency in which the Bond Pays Coupons FX Rate from Bond Currency to USD Trying to understand if a Bond can have FX Delta Risk and how it should be computed?
1 vote
1 answer
75 views

Economics of buying a dollar roll

This is a basic question. But I wanted to understand how a TBA short (buying the dollar roll) is economically short an MBS? For example, if an investor believes a specific coupon is rich, they could ...
0 votes
2 answers
166 views

"The five year swap has the same dv01 as a par five year treasury bond" Why?

Am reading a book (The Complete Practitioner's Guide to the Bond Market by Steven Dym, 2009) where the author gives an example of someone buying a 5 year par 4.65% treasury and someone else entering ...
0 votes
2 answers
292 views

Treasury zero coupon curve for discounting two bonds but OAS different on Bloomberg

Using zero coupon Treasury curve, I discounted a 10% coupon bond. Using the same curve, I discounted a 5% coupon bond. Both these bonds have the same maturity. Since I discount both these bonds using ...
1 vote
1 answer
86 views

Treasury futures wild card option (Monte carlo simulation)

I recently joined a bulge bracket bank in New York City trading the long-end but mostly doing a lot of analysis until I get up to speed. I'm working on the Wildcard model which is going to be an ...
1 vote
0 answers
24 views

Why do some TIPS bonds have credit spread < 0 [duplicate]

If we look at the yield spreads on Bloomberg of some TIPS bonds, we see they have credit spread < 0 (i.e. their yield is even lower than their benchmark treasury bonds) Why is that the case. ...
5 votes
1 answer
1k views

Libor to SOFR transition Yield Curve Construction

With the imminent transition from LIBOR to SOFR next year, what are the data points practitioners are using to construct a yield curve? Also, since LIBOR implicitly took into account credit risk of ...
2 votes
1 answer
112 views

Macaulay Duration - Liability matching

Can someone provide a detailed example to prove the following statement: "When the investment horizon is equal to the Macaulay duration of the bond, coupon reinvestment risk offsets price risk.&...
1 vote
1 answer
238 views

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?
0 votes
1 answer
63 views

Model-Free Implied Volatility: Data of Expired Options and Bond Price

I am attempting to calculate Model-Free Implied Volatility for several equity indices (S&P500, NASDAQ100, CAC40, FTSE100, DJIA, EUROSTOXX50, NIKKEI225, NIFTY50). I wish to get historical data of ...
1 vote
0 answers
32 views

return per trade in bond trading

It seems like the commonly used metrics of "return per trade" in dollar terms in equity trading isn't very useful in bond trading space. They return of different bonds, if they have ...
1 vote
1 answer
60 views

MBS Index replication month-end flows

Several investors track indices to gain exposure to specific asset classes. And these indices may be re-balanced on a monthly basis, based on market-cap etc which generates month-end flows from ...
3 votes
1 answer
413 views

Is repo-ing out a bond the same as shorting the bond?

In fixed income, or in any other products for that matter, borrowing an asset is essentially shorting the asset. As a result, you would see hard-to-borrow names where the borrow rates are much higher ...
0 votes
0 answers
38 views

Bid/Mid/Ask credit spreads

I have seen in different terminals that credit spreads of a corporate bond (spread,Gspread,Ispread) can been calculated for different sides (ie Bid Mid,Ask Gspread). I wanted to ask if these spreads ...
1 vote
1 answer
90 views

Why did Ginnie Mae MBS Net issuance decrease significantly in 2020-2021?

Net Issuance of Agency MBS can be thought of as driven by Existing Home Sales, New Home Sales, Cash out Refis, Amortization and Non-Agency MBS runoff. Based on this definition of net issuance, is ...
0 votes
1 answer
104 views

Bond Benchmarks Not relying on Bloomberg

I have previously hit this forum for some guidance on getting benchmark curve members (link below). I have managed to get this working with Bloomberg, but I was wondering, is there any way to reliably ...
0 votes
1 answer
123 views

How can I optimize a Bond Portfolio in Practice?

I'd like to optimize a bond portfolio with different bond classes (government bonds, corporates, ...) and different ratings as well as maturities. Is this even possible to optimize such a portfolio? ...
0 votes
2 answers
95 views

How to calculate the yield of a perpetual bond that pays a floating coupon payment?

I know that perpetual bonds are becoming a rare phenomenon and that ones that pay a variable coupon are even rarer. However, I believe that there are such bonds out there, and I'm hoping that someone ...
1 vote
1 answer
143 views

MBS Dollar roll mechanics

Had a few questions on MBS Dollar rolls: How are dollar rolls affected by Interest rate Volatility? Does the OAS of underlying pools matter to dollar rolls, and if so, how do they affect it? Does the ...
0 votes
0 answers
45 views

Interest Rate Volatility for Binomial Trees

Does anybody know where I can get the data or calculate interest rate volatility for modelling callable and putable bonds in binomial trees. I have swap curves data. Does any sources like Bloomberg ...
0 votes
0 answers
34 views

Reasonable way to price swap under realized forwards assumption

I'm looking for a way to price swaps in QuantLib under the assumption of realized forwards, i.e. couple of weeks or months from today the yield curve would be the same as it is expected by the market. ...
2 votes
0 answers
40 views

The price of liquidity

We are currently in the US Treasury roll period when investors are rolling from the previously issued notes and bonds into the currently issued notes and bonds, aka "Rolling from Off-The-Runs to ...
0 votes
0 answers
25 views

Is it possible to simulate yield spreads for different bonds?

Let`s say I have different bonds from multiple issuers and I know the yield spreads for today. Is there a way to simulate those spreads for a future period like 1 month? I dont just want to simulate ...
0 votes
0 answers
18 views

Book recommendations for derivatives [duplicate]

I would like to ask you, if you could suggest me a good book regarding derivatives. Specifically, i would like a book which is more focused on how the derivatives are working and traded in practise ...
0 votes
2 answers
126 views

Returns of an interest rate swap

I would like to calculate returns for a plain-vanilla (fixed-for-floating) interest rate swap. Consider, that I am long in USD 5-year swap rate, i.e. I'm holding a receiver swap for 5-year swap rate ...
1 vote
1 answer
164 views

Cash flow mapping on multi curve framework

I am trying to map cash flows according to FRTB pillar dates, on an Interest Rate Swap fixed Vs Euribor 6 months. Using the sensitivity preserving approach, under the OIS framework, this has to be ...
2 votes
0 answers
30 views

Do you roll back the maturities and schedules when backtesting VaR for portfolios of bonds, options or future contracts?

I want to backtest VaR models which are applied to portfolios of products which have maturities (options and futures) and even schedules (bonds). I have a question which never came up when backtesting ...
0 votes
1 answer
50 views

Bond value as a function of spread change and duration/maturity

I am trying to calculate the change of value in a universe of bonds given a series of shocks to the credit spread of each bond. As a constraint, the initial dataset only contains the spread change for ...
1 vote
0 answers
40 views

Data on historical, cross-country REAL yield curves (i.e. inflation-linked bonds)

I asked here about data on a data source for historical yield curves for many countries. Many central banks (linked there, in Helin's answer) publish estimates for their nominal yield curves. But most ...
0 votes
1 answer
96 views

Data on historical, cross-country nominal yield curves

Various central banks publish their fitted nominal yield curve estimates: the Fed, BOE, SNB, BOC, ECB (cf: Bundesbank), RBA, Russia, RBI. (I couldn't find for BOJ; Brazil; BOK; or PBOC. Links for ...
0 votes
1 answer
93 views

Yield curve PCA: levels or daily moves?

I have tried using both yield curve levels as well as daily moves (absolute change) while doing PCA. Using both types of input/dataset gives me roughly the same shape in terms of principal components ...
2 votes
1 answer
182 views

impact of bond futures conversion factor on calendar spread trading

i have a quick question about conversion factor and his implication in calendar bonds roll trading. I go short on a calendar roll (short front+long back) which has the same cheapest to deliver. The ...
1 vote
1 answer
133 views

Simple (?) question about expected bond returns

Newbie here. I should say upfront that I'm not a quant, just someone trying to broaden his knowledge of fixed income investing. I apologise in advance if I'm mangling some terminology. Imagine a ...
0 votes
1 answer
285 views

OIS Fixed Rate - how to calculate on trade booking?

I am trying to understand how the Fix rate on a OIS trade is calculated at trade initiation. I understand this process for a Fixed V LIBOR trade non collateralized ( discount and projection curve are ...
2 votes
3 answers
534 views

Carry and Pull to Par of a bond

I am of the understanding the true carry of a bond is yield - repo rate. And not simply coupon + repo cost because this doesn’t ...
7 votes
1 answer
292 views

difference of carry for zero coupon bonds in Pedersen and Ilmanen

I know that carry was discussed broadly on this forum but I can't get my head around the following difference. If we talk about carry / rolldown I have trouble to see the connection / differences ...
1 vote
1 answer
91 views

How to break down yield to maturity to different components?

Suppose we have the PV of a bond, as well as two separate streams of cash flows, say, $C_a$ and $C_b$ that make up the total annual cash flows $C$ (i.e. $C=C_a+C_b$). In other words, suppose we have, \...
0 votes
1 answer
257 views

How do I hedge yield spread?

We'd like to offer a product in which a notional amount $(N)$ is given, and the underlying is spread $(s)$ defined as, say, 30Y yield minus 10Y yield (both from treasury YTM yield curve). At the end ...
1 vote
2 answers
281 views

Interest rate risk of a bond as a function of the coupon

This SEC document claims that increasing the ocupon on a bond decreases the interest rate risk (bottom of page 3): And the Finra SIE exam states the same also. I cannot understand the logic behind ...
1 vote
1 answer
151 views

YTM calculation of a portfolio

Should I take in count future which are used to lower the duration to calculate the portfolio's YTM ? (Bloomberg calculate portfolio's YTM without Future) Im currently doing the weighted average. I ...
0 votes
1 answer
73 views

Convert spreads to prices for bonds via duration

I have the price of a bond and would like to convert it to spreads. Is this possible by just having dollar duration? Secondly, if I just care about the relative spreads of multiple bonds, is it enough ...
0 votes
0 answers
25 views

Calculate returns using Federal Reserve's constant maturity interest rate series (for 5, 10 and 30 years)

I am looking to replicate the results from a older research paper. To do that I need first to calculate the returns from Federal Reserve's daily constant maturity interest rate series. According to ...
9 votes
2 answers
3k views

What is the replicating portfolio of swaptions for a constant maturity swap (CMS)?

How do you replicate the payoff of a constant maturity swap rate? That is, if the payoff of a contract pays the 5-year swap rate every year for 10 years, how would you replicate this payoff using ...
0 votes
0 answers
39 views

Jarrow and Turnbull (1997) Discrete time forward rate confusion

I'm reading Jarrow and Turnbull (1997). They defined $p(t,T)$ as the time $t$ price of a default free zero coupon bond paying a sure dollar at time $T$ where $0\le t \le T$ (in year). They also ...

1
2 3 4 5
20