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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2answers
327 views

How could Renaissance Technologies have near real-time prices on corporate bonds and other debt? [closed]

Julie Segal, What Renaissance Technologies has that you don't..., Institutional Investor, October 17, 2017. Does this just mean they are aggregating data from vendors like MarketAxess? Or is ...
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How to short Turkey? How to get exposure to local currency-denominated debt?

After some research, I decided to open a short position on Turkish Lira (TRY), and I'm also looking to short TRY-denominated debt. To short the TRY-denominated debt, I'd need to short-sell a TRY-...
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41 views

Stale prices: Greek government bond yields

I am analysing the effects of some Central Bank's policies on asset prices. Among others, daily 5y and 10y Greek government bond yields are part of my dataset. Data are fromm Datastream. I know that ...
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1answer
474 views

Bond quotes to EDSF

I am having a hard time understanding what "EDSF" (Eurodollar Synthetic Forward Curve) represents as a bond pricing benchmark. I have seen bonds quoted as spreads to EDSF with maturities < 2 years ...
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1answer
98 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 ...
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112 views

Bond Hedging: PCA and regression based hedge ratios

This is my first question and I would very much appreciate any help. For a project I am trying to compare different hedging techniques for hedging a long portfolio of bonds. I have a history of ...
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2answers
85 views

Bond interest rate, the relationship between a bond's interest rate and its present value, and discount rate [closed]

Consider this equation for calculating the Present Value of Bond that pays a coupon and its face value at maturity: C is the coupon, r is the interest rate on the bond, m is the number of times it ...
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132 views

Quantlib ZeroCurve interpolation

I'd like to check how QuantLib does interpolation on rates if I use ZeroCurve constructor. As it was mentioned here, by using curve.nodes() you can get a list of ...
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Historical data on european corporate bonds [duplicate]

I am trying to run a factor analysis on European corporate bonds and I need historical data since mid - late 90s on : 1.bonds listed 2.spread 3.firm´s total debt at the time 4.Sector of firm 5....
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$E_p(e^{-\int_j^k r(t)dt})=B(0,j)$

Consider $r(t)$ the spot rate of default-free interest where $B(t,T)$ represents the $T$-maturity zero-coupon bond price at time $t$. Also assume, we are taking the expectation under the risk-netural ...
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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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Total Interest Rate Risk of a Fixed Income Portfolio

The classic Markowitz risk is $$f=\boldsymbol{x}^{T} \Sigma \boldsymbol{x}$$ Now say I have a duration vector $\boldsymbol{d}$ for my assets; and also correlation (of say change of yield) matrix $\...
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1answer
141 views

Show that a zero-coupon bond discounted by a bond with mautrity $T$ is a martingale under the $T$-Forward measure

Here's the exact question: Show that for any $s>0$, $\frac{P(t,s)}{P(t,T)}$ is a $Q^T$-martingale. Here's my attempt: Let $t^\prime < t$. First consider the case $s>T$. \begin{aligned} \...
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1answer
77 views

Normalizing with Sum of Zero-Coupon Bond Prices

Suppose you are receiving a payment $K$ at time $t_m$. Let $p(0,t_i)$ be the maturity-$t_i$ zero-coupon bond price at $t=0$. If we consider a discrete time $\{0,...,t_m\}$, what would it mean to ...
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199 views

Zero Curve from a par curve curve QuantLib

I'm trying to understand why pricing a par bond with zero curve, contracted from par bonds themselves doesn't give me par. (Based on examples here) ...
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1answer
166 views

Interpolation for discount curve building QuantLib for bonds

I'm trying to figure out how to build a discount curve to price bonds from spot rates using some advance interpolation methods like PiecewiseLogCubicDiscount. I know I can build this curve with ...
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29 views

How to model the different returns of agents with different information information

For a seminar, I would like to graphically represent the returns made by agents of different information standpoints. In other words, say I have a market tuple $(\Omega, \mathbb{F}, P,S)$ where $S$ is ...
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1answer
135 views

Difference between Price and Value in Forward and Futures

Consider forward and futures contract on a zero-coupon bond. Denote the time $t$ forward (contract) price on a $T_2$-maturity zero-coupon bond with delivery date $T_1$ as $F(t,T_1:T_2).$ Similarly, ...
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83 views

Zero-coupon Bond Price, Yield, and Forward Rate

Consider a discrete-time trading economy with varying maturities of zero-coupon bond. Let $p(t,T)$ be the time $t$ price of a zero-coupon bond maturing at $T$. Similarly, let the time $t$ yield on a ...
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54 views

Handling illiquid bonds in a fixed income index

I am trying to create a fixed-income index for my country's bond market. Among other things, I am interested in extracting the weighted average (by market cap) yield to maturity. In order to do this, ...
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304 views

Duration of forward starting swap

For a spot starting interest rate swap, the duration is calculated as the duration of the fixed rate leg less the duration of the floating leg. Each of these calculations is akin to calculating the ...
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1answer
1k views

Calculating YTM for a floating rate bond

I am trying to understand how YTM's are calculated for floating rate notes. I have had a go at calculating it and I am always a few bps off for every FRN I try to calculate. Does anyone have any ideas ...
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1answer
107 views

Rebalancing Bond Indexes

I am trying to make an index for the bond market in my country, which will be modified daily. For simplicity, suppose that I only have three bonds. Additionally, suppose that I am interested in ...
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46 views

Treasury Bond Futures - last delivery date

When futures stop trading 7 business days before the last delivery date and assume there's no end of month option, what is the benefit for the short futures to hold their basis positions from the last ...
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1answer
112 views

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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185 views

Discounting for XVA

I was thinking that since XVA is on uncollaterized exposure, we should be using LIBOR discounting environment. Why don't we do that?
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92 views

Does it make sense to adjust a bond spread for price/coupon effects?

I have come across the practice, in the wild, of bond OAS being adjusted for the price of a bond. The idea expressed to me was something like the following. A $\$90$ corporate bond with a 10 yr ...
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156 views

Quantlib - Duration of a Floating Rate Bond with Spread

I've used Luigi Ballabio's workaround to calculate the duration/modified duration of a floating rate bond (which you can find here: https://www.youtube.com/watch?v=r_1wSd0hnN4). However, if I add a ...
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0answers
80 views

Quant valuation of a credit card debt (or flexible loan)

What would you say is the generally accepted quantitative method of valuing an individual credit card, or flexible loan? Is the method very changeable if that were a pool of such loans? Suppose the ...
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1answer
120 views

Implied/Realised Vol ratio for negative rates?

I'm trying to calculate the implied vs realised vol ratio for different swaptions across major currencies. This works fine for the likes of USD and GBP as rates are positive. However I'm struggling ...
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1answer
108 views

Basic arbitrage exercise

In the exercise we are given, possible contracts to buy/sell and possibility to take credits / make deposits money with current market rates. We are asked if its possible to make profit at time T=0 ...
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1answer
1k views

Forward Contract Price on Zero Coupon Bond

I'm trying to calculate the forward contract on a zero coupon bond where the forward contract matures at t=4. The zero coupon bond matures at t=10 and has a face value of 100. The price of that bond ...
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139 views

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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1answer
74 views

How are the notionals on proceeds-weighted bond butterflies calculated?

Most LDI (Liability-Driven Investment) accounts construct bond butterfly (fly) trades by weighting them according to proceeds. This creates two constraints: The fly is duration-neutral (the usual ...
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1answer
130 views

The similarity between a bond's quoted bid price and its clean price?

Is the Best Quoted Bid Price the same as the Clean Price for bonds? I understand that the Clean Price is the Dirty Price less Accrued Interests, however, I am a bit confused of why the Bid Price = ...
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96 views

Bonds are traded and settled at clean price or Dirty price? [closed]

Are Bonds are traded and settled at clean price or Dirty price ?
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879 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 the yield curve? Also, since LIBOR implicitly took into account credit risk of the ...
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1answer
105 views

Repo risk - how the desk operate

I am trying to understand how repo traders are being measured(pnl/risk). I understand the amount of repo that can be done is limited by regulation but want to dig deeper on how the performance is ...
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3answers
254 views

Treasury Futures Wild Card

I am looking at some empirical methods to model the Treasury Futures wild card. I was looking through some sell side reports and found this statement. "Wildcard fair BNOC is the net basis under ...
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1answer
87 views

Is this regression suitable for fixed income products (negative interest rates)?

I am currently looking at a regression which tries to model EWMA volatility in the presence of negative interest rates. The regression is as follows and uses absolute return instead of relative in ...
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1answer
50 views

Compute value of $\mathbb{E}(B_3)$

I wonder would anybody tell me how to calculate $\mathbb{E}(B_3)$ Assuming that $\int_0^{t}r_s\,ds\sim N(0.03t,0.25t)$, then is ===== I have similar problem solved: Assuming that $\int_0^t r_s ds \...
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3answers
1k views

Calculating the Discount Margin for a FRN

I am working with a programming case where there are two methods of calculating YTM / discount margin for bonds and FRNs. Both methods use an iterative approach to find a rate / spread that ...
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122 views

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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63 views

Fed repo operations - Balance sheet constraints

There's been a lot of discussions regarding end-of-year balance sheet constraints as dealers wind down their repo activity. However, the Fed is engaged in open market repo operations in overnight and ...
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1answer
152 views

zero-coupon bond and forward rate

My understanding, in a discrete-time setting, the relationship between a zero-coupon bond price and forward rates is: $$p(t,T)=\frac{1}{\Pi_{j=1}^{T-1}f(t,j)}.$$ where $p(t,T)$ represents the price ...
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1answer
75 views

Bond whose amortization scheme initiates at a later time in its life?

Is there any type of bond whose amortization initiates at a later time in its life? For example the first year we observe interest-only payments and after year 1 there initiates an amortization ...
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1answer
141 views

Payoff of Forward Contract

Consider the following notation: $P(T_j,T_2)$ is the price of a zero-coupon bond at $T_j$ with maturity $T_2$. $F(t,T_h,T_2)$ is the price of a forward contract at time $t$ on the above $T_2$-...
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1answer
72 views

Futures vs Forward (Last Delivery or Last Trading Day)

For all contracts except the 2-year and 5-year, the last trading day is 7 business days before the end of the contract month. If we assume there is no optionality, isn't there a mismatch in carry. ...
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2answers
127 views

What is the price of a bond that settles on its coupon date?

Let's say I have a bond that pays on coupon on 10/03. I buy this bond on 10/01 with settlement on 10/03. Who gets the coupon ? Does it depend if it's paid in the morning, in the afternoon, before/...
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381 views

Hedging the duration and convexity of a bond portfolio

I'm trying to work through this homework question, but not sure how to approach it. You recently took over as the manager of a bond portfolio. Your total assets under management – all consisting of ...

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