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Questions tagged [relative-value]

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2 votes
1 answer
49 views

Cross sectional momentum vs time series momentum

What are the advantages/disadvantages of creating quantitative strategies using cross sectional momentum vs time series momentum? From my perspective, time series momentum is a better indicator of ...
Dylan McClish's user avatar
0 votes
1 answer
310 views

Bond RV YTM vs maturity or YTM vs duration

I was reading some material online - seems to be a mixed bag of people who analyse yields vs maturity and yields vs duration. To me, looking at yield vs maturity is slightly misleading - as, for a ...
user67825's user avatar
0 votes
1 answer
746 views

Relative Value and Z-spreads

I wanted to understand how I can use Z-spreads in the context of gov bond RV. I understand how to compute Z-spreads although I am having some trouble interpreting the meaning. I am solving for the ...
user67825's user avatar
2 votes
0 answers
106 views

Cost of Volga & Vanna in Credit Options?

What are the commonly used methods to compare the cost of volga/vanna in credit index options across time and strikes? In practice, is the Vanna-Volga exposure technique used in credit, or are there ...
CreditNecromancer's user avatar
2 votes
2 answers
1k 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 ...
Lepidopterist's user avatar
0 votes
1 answer
101 views

Two commodities which are normal distributed and perfectly correlated

The daily price change in commodity 1 is distributed $N(0,0.15^2)$ and the daily price change in commodity 2 is distributed $N(0,0.3^2)$. The two commodities are 100% correlated. 1) Does the relative ...
Trajan's user avatar
  • 2,532
2 votes
1 answer
271 views

What are the best relative value frameworks for Corporate Credit?

Fixed Income (Credit) fair value models in the literature tend to be variations on cross-sectional regressions. For a recent example in a factor-model setting, see here. My understanding is that this ...
quant_zero's user avatar
2 votes
1 answer
3k views

Measuring bond fair value (richness/cheapness) using basic regression models?

Background Due to the nature of the curve (bond curve, swap curve etc), bond traders typically have some model that allows them to measure the "fair value" (FV) of a bond vs other bonds on the curve. ...
quanty's user avatar
  • 439
1 vote
1 answer
591 views

Credit Spreads and Relative Value : floating vs fixed bond

I would like to study if, in these weeks during the italian credit crisis, floating govy bonds were more resilient than fixed govy bonds. For each floating issue (CCTS) I chose the fixed issue with ...
user25903's user avatar
2 votes
4 answers
1k views

Treasury futures basis & calendar spd [multiple questions]

How do I determine if a bond will become CTD in a futures contract and how likely there a CTD switch is? Also, how do you use implied repo/actual repo to assess richness/cheapness of two calendar ...
VanillaCall's user avatar
3 votes
2 answers
264 views

Bond Valuation and liquidity

Assuming the market is perfect liquid, the bond price can be replicated and is related as follows: $$\sum_{t=0}^{N}c_ne^{-Y(t_n-t)}=\sum_{t=0}^{N}c_nP_{t_n}=\sum_{t=0}^{N}c_ne^{-Y_{t,t_n}(t_n-t)}$$ ...
quallenjäger's user avatar