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
1
vote
1answer
156 views

Zero-coupon bond price under Rendleman-Bartter Model

let's say that I have simulated the interest rate using the Rendleman-Barttermodel, (which is not the best for rates I know) and then I want to simulate paths for the bond paying 1 at maturity: $$...
0
votes
1answer
3k views

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 ...
0
votes
1answer
124 views

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 ...
1
vote
0answers
197 views

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 ...
1
vote
2answers
279 views

Roll Returns vs Total Returns

Very basic question I'm confused about : Is there a formula that relates total return of a bond as a function of yields and its roll down returns? I mean ignoring reinvestment risk, would the ...
1
vote
1answer
659 views

Treasury Futures Basis Trade - Funding enhancement

In a basis trade, if you short the Treasury futures and buy the underlying bond and hold it to maturity, is funding the only source of risk assuming there no CTD switches. You have locked in the ...
0
votes
0answers
60 views

Factor Loading with multiple exposures?

How do I decompose portfolio exposures when assets may have exposure to a few of my risk factors? For instance I have some sector and state specific risk factors. If I have a bond with exposure to ...
0
votes
0answers
66 views

Poisson distribution and counting process

Let $\begin{Bmatrix} N_t \end{Bmatrix}_{(t\in[0,T])}:=\mathbb{I}_{(\tau \leq T)}:=k, \forall t \in [\tau_{k}\leq \tau_{k+1})\sim \mathrm{Po}(\lambda_{t}:=\int_{0}^{t}\lambda_{s}ds<+\infty)$ a ...
1
vote
1answer
53 views

Add a country OAS to a government bond model? (modelling returns of the bond price)

when modelling the % returns on a government bond, I use a model like this: $$\Delta P_t / P_{t-1} = \sum_i KRD_i (-\Delta y_i)$$ Does it make sense at all to add the following "country oas" ...
2
votes
0answers
55 views

Pricing bond backed by collateral

I'm new to quantitative finance, and trying to derive an interest rate for a collateralized bond. Imagine there are two parties, Alice and Bob. Alice wants to lend $X$ units of an asset to Bob. The ...
0
votes
1answer
330 views

Yield Curve Flattening Trade

Relatively simple question, but came upon it in class and have not been able to come up with an answer: The two-year bond yield is equal to 4% while the 10-year one is equal to 10%. You want to put ...
2
votes
1answer
160 views

what are the underlying transactions for SOFR?

Recently I am reading about SOFR (Secured Overnight Financing Rate), which is projected to replace LIBOR to be the reference for risk-free rate in the market. But I still don't understand or imagine ...
1
vote
2answers
627 views

Fixed Income Portfolio Optimization

I'm trying to solve for a maximum sharpe ratio portfolio in the fixed income space. To do so, i use CVXPY in python. I use this Paper as reference. This is my "setup": ...
1
vote
0answers
121 views

Valuation of Callable Bonds

Is there any way to price American Callable Bonds (those which can be called on any date before expiration) other than basic CRR interest rate trees, since they won't be accurate enough to give ...
3
votes
1answer
341 views

When to use which zero curves

I have a very basic question. Why are there many different zero curves for a given currency/market? For example, there are zero curves constructed using gov bonds, swaps, STIR futures, OIS, Inflation, ...
1
vote
0answers
32 views

Retrieve SYC from Par yields

Currently studying about fixed income and the construction of the Spot yield curve, but I do not know whether my intuition is right. Suppose we have a firm that has traded Bond for different ...
1
vote
2answers
1k views

Treasury futures cost of carry and P&L

I'm looking to understand the P&L implications of holding 2YR treasury futures. Assuming no movement in interest rates through to maturity (i.e., no capital gains or losses due to interest rate ...
1
vote
2answers
336 views

CDS, default probability and bond price

When we calculate the implied default probabilities from CDS, can we use that information to price bonds? I am getting familiar with Fixed Income. I saw textbooks using implied default probabilities ...
1
vote
0answers
47 views

Determine same issuer from a list of ISINs?

I have a list of ISINs for all the securities that make up a fixed-income fund. Is it possible to tell from this which securities are from the same issuer? I have securities of which I know they are ...
4
votes
2answers
128 views

Optimal investment mix of equity and debt in a single company, HY vs IG

What is the optimal mix of equity and debt that an investor should invest in a single company? If an investor invests in both the debt and equity of a company, they are in effect de-levering the ...
1
vote
0answers
72 views

Extracting Risk Neutral Default Probabilities using Option Adjusted Bond Prices

I am currently in a project trying to quantify default risk premia for US Corporate Bonds. The data I have consists of bond prices, and other information (i.e. YTM, OAS, Effective Duration, Maturity ...
0
votes
0answers
253 views

Calculating historical volatility and returns from bond yield

I am interested to calculate the historical volatility and returns from a time series of US 3m T-bill yield (see screenshot below), for portfolio optimization. I am not too sure how to bridge the idea ...
1
vote
0answers
103 views

How to apply multiplicative price seasonality to bond prices in quantlib?

Can someone please give a brief or any link which explains how to apply multiplicative price seasonality to inflation linked bonds in Quantlib using python modules. Have gone through most of the ...
1
vote
1answer
510 views

Cross currency basis swap for bonds

Running a cross currency swap on a GBP issued 2.75% 7yr bond (i.e a bullet), with funding in USD so need to determine the equivalent in USD. The GBP bond trades at circa 180bps over the Gilt. ...
0
votes
1answer
437 views

Treasury Futures Wild Card Option equation

I am confused about the equation on page 13 (upper right) from the CME: https://www.cmegroup.com/education/files/treasury-futures-basis-spreads.pdf The equation calculates the move in the CTD that ...
0
votes
0answers
92 views

Negative vega on IR swaptions mid curve

Why do IR bermudan options have negative vega on midcurve? Does it have something to do with mean reversion and a way of lower the price vs market prices?
1
vote
1answer
115 views

Why are KRDs calculated by shifting the par curve?

When we compute Key Rate Duration, why is the par curve the right curve to shift instead of the spot curve?
1
vote
1answer
3k views

Calculate forward discount factors and forward reference rate when discount factors are known

I am trying to learn how to value interest rate swap through portfolio of FRA's(forward rate agreement).But I have got stuck in calculation of floating leg. Here is the scenario as given below for ...
1
vote
2answers
75 views

Possible first rate cut by Fed - spot vs forwards

This may be my first rate cut since I joined the industry. I've only see rate hikes and I've been reading through literature from back in 2007 when the Fed last cut rates to get a general feel for how ...
2
votes
1answer
146 views

Fair price of a coupon paying bond

Consider a coupon paying bond with a maturity of $3$ years, that pays coupon annually. Let $c$ be the coupon rate (percentage) and let $F$ be the face value. This means that the holder of the bond ...
0
votes
3answers
2k views

Definition of the field YAS_RISK for bonds on Bloomberg terminal

The Bloomberg terminal has the following definition for the field YAS_RISK (SP190): "Indicates the price sensitivity given shifts in interest rates." It does not specify, however, what currency is ...
1
vote
2answers
1k views

CDS Credit Default Swap PnL

I estimate daily pnl on a CDS position using the spread change times the CS01. However I would like to estimate the PnL for a longer trade that has gone from a 5Y CDS to a 4Y with associated coupon ...
1
vote
1answer
66 views

Fixed Income Attribution

Q: In the passage below, is the implied forward rates (expect return) considered the same as the market implied return from forward rates (unexpected return)? For instance, Expected return = Implied ...
1
vote
1answer
109 views

Calendar roll terminology (buy vs sell)

I am trying to get the direction/terminology correct in futures calendar trading. Let's say I have two calendar futures contract where the prices are 100 and 102 reflecting the front and back ...
0
votes
1answer
364 views

pricing deliverable vs non-deliverable fx forwards

I am trying to link these two questions together Pricing a regular FX forward This is a contract (say USD vs JPY) where you exchange 2 currencies at maturity at a pre-determined rate, while no ...
0
votes
1answer
284 views

Calculation of Bond returns [closed]

Given that I have a portfolio of High yield bond with USD 50.
1
vote
2answers
198 views

Is there an inverse relationship between (future-spot) price and yield?

If the difference between futures and spot prices rises will the yield for the current bond increase as well?
0
votes
1answer
58 views

How much senior debt could be issued? [closed]

Is there a limit on how much senior debt could be issued? If a company issues a small amount of debt relative to its assets and wants to issue more could it still be called "senior" or it would have ...
3
votes
0answers
822 views

Bond spreads - SQASW

I posted this question in the finance/economics arm but someone suggested this would be a more relevant place. I have attached a photo of a list of bond issuance's in Australia. Could someone please ...
2
votes
0answers
46 views

bond yield forecasting

About the problem of interest rate forecasting I find various paper that address the problem from the perspective of risk premia and affine term structure model. For example Cochrane and Piazzesi (...
0
votes
1answer
933 views

How to quantify the coupon effect?

I'm reading Moorad Choudhry's book "Advanced Fixed Income Analysis" The first chapter briefly touches on the coupon effect which I understand from other sources is the effect of pricing an annuity (...
2
votes
1answer
304 views

Funding Treasury net basis trades and balance sheet

I am trying to extend my understanding of Treasury futures net basis trading by understanding the funding markets. If net basis is cheap, an investor can buy the basis. This means that the investor ...
1
vote
1answer
485 views

How to compute the Carry + Roll-down of a bond with QuantLib?

I’m new using QuantLib (I have no idea how to use it) and I would like to know how to calculate the C+R of a bond, say the current 30Y. The textbook definition of C+R is the P&L due to the ...
-2
votes
1answer
101 views

Why is Plain-Vanilla Bond most common bond in the market? [closed]

I have very straigtforward question (in my perception): Is there any study/research/evidence that provides insights on the following question(s): Why is plain-vanilla most common bond in the market? ...
1
vote
1answer
331 views

Quarter-end repo spike (Why not lock in longer repo)

There has been a lot of discussion regarding quarter end repo spikes as dealers reduce their balance sheet. I've been reading it all over Bloomberg and I saw overnight GC as high as 3.6% on my screens....
1
vote
0answers
208 views

Credit default swap replication by corporative bonds

I want to get literature or information related with the topic of CDS replication for those counterparties that do not hold. But that have traded bonds (with different degree of liquidity). What could ...
1
vote
1answer
110 views

Interest Rate Futures Question from Hull, 8e

There is this question 6.16 in Hull, 8e: Suppose that it is February 20 and a treasurer realizes that on July 17 the company will have to issue \$5 million of commercial paper with a maturity of 180 ...
13
votes
2answers
2k views

Quantitative strategies in the Fixed Income space

I'm looking to learn more about systematic strategies in the the fixed income space, particularly in Rates products (anything from simple cash to inflation or vol). I've been reading a couple of ...
2
votes
1answer
627 views

What is the intuitive explanation for the spot risk in an FX swap?

I am familiar with FX swap and the basis/IR risk they carry. However, know that they have a very small spot risk component which arises from the present value of future cash flows different from the ...
0
votes
1answer
242 views

stress testing zero coupon yield curve

i'm currently trying to stress test the zero coupon yield curve using daily observations from 2003 to 2019. Each Zero coupon yield curve originate from an actuarial curve with 37 tenors that range ...

1
4 5
6
7 8
18