# 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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### Dealing with day counts that span a weekend

Consider the following security: CUSIP: 3130A3GE8 Federal Home Loan Bank Maturity: 2024-12-13 Coupon: 2.75 % (CPN) Previous Coupon Date: 2019-06-13 Today is ...
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I need help with estimating market price of risk. Assume money market account and two risky assets which exposed to same two sources of risks follow process: $dM(t)=rM(t)dt$ $dS_1(t)=S_1(t)(\mu_1dt+\... 0answers 354 views ### Using Python Quantlib's FittedBondDiscountCurve as Evaluator of Parametric Curve - Errors I am using Quantlib's FittedBondDiscountCurve in Python 3.7 and setting MaxIterations to 0, and giving a guess_solution, which then turns the routine into an evaluator for the parametric form I choose,... 0answers 46 views ### Quesion about the VBA function of continuous cap look up [closed] Here is the VBA function to calculate the cap price Can anyone tell me what is N and t0? From the textbook, N = the number of reset (or payment) dates and t0 = time until the first reset date. But ... 2answers 2k views ### Calculating the Macaulay duration of a floating-rate bond I am new to the pricing of bonds: Suppose that I would like to price a floating-rate bond with par value \$100, with maturity at $T$ years from now, paying coupons semi-annually. Suppose that $r_{n-0.... 0answers 142 views ### pca for yield curve I used Principe component analysis on yield curve data this was the result ... 2answers 715 views ### Misunderstanding of 'day counts' and accrued interest I'm totally new to the fixed income world. My goal with this question is to gain an understanding how interest is accrued day-by-day for a particular instrument. This will obviously be done by an app ... 2answers 75 views ### Is there any difference between “shorting a bond” and “selling a bond” concepts? [closed] Shorting a bond means borrow it form other and sell. It seems to me that this operation is the same as just simply issue a bond. Am I right? If yes, then why do we use "shorting" terminology for bonds?... 0answers 39 views ### To price Municipal Bonds and risks I want to know the percent of unfunded pension liabilities ($3.8T) to total state and local gov liabilities

Unfunded pension liabilities keep growing and this seems alarming to both pension holders but also Municipal Bond holders. I would like to know how large this problem is to better price Munis and ...
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### Extract list of tickers bloomberg api [closed]

Does anyone know what is the python equivalent to the BQL.Query/BSRCH functions from the Excel API? I am essentially trying to get a list of tickers for all government bonds from a certain country ...
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### Why do some mutual funds or indexes have an average effective maturity that is way larger (2-4 times larger) than the average effective duration?

I would like to know if this difference occurs when the coupon payments are very large and/or if there are other reasons.
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### Nelson & Siegel model (Fixed Income Securities)

I am well aware of the basic model formula and for what it is used, theoretically speaking, however I cannot find any concrete, problem solving exercises. Soon, I will have to deal with this problem ...
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### Stochastic Processes (Applying Ito's Lemma on Ho-Lee Model )

I seek a basic form (SDE) to understand the Ho-Lee model. I already understand the models from Vasicek, Merton and Cox-Ingereoll-Ross, etc.. For example, \begin{align*} dX_t &= -1/2 \alpha X_t ...
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### Markovian short rate in HJM framework

In Bjork it is proven in proposition 20.5 that a forward rate dynamics: $$f(t,T) = f(0,T) + \int_0^t\alpha(s,T)ds + \int_0^t\sigma(s,T)dW(s)$$ imply a dynamics for the ...
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### Carry vs Roll-Down on a zero-coupon IRS

I am trying to understand the differences between carry vs roll-down on a zero-coupon interest rate swap. Lets say we have a 10 day ZC IRS, meaning we will only swap once on maturity. We are a payer ...
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### What is Yield To Convention?

I know what gross redemption yield of a bond is. I am unaware of "Yield To Convention". It is a Bloomberg ticker code (multiple in fact) YLD_CNV_MID, YLD_CNV_ASK & YLD_CNV_BID The term "Last ...
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### How do Repo traders use OIS and Fed fund rates

I would like to know how do Repo traders use FED Fund rates and OIS to cover themselves. For example assuming the repo trader bought paper(borrwed paper/lent cash) in the 1 year. How do they cover ...
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### Collecting historical coupon data on sovereign generic bonds in Bloomberg

In the Bloomberg terminal, a generic bond (e.g. GGR >> Australia >> 5Y bond) has a coupon rate stated in the Security Description (DES). I have daily historical yield data for the generic bonds, and ...