Questions tagged [relative-value]
The relative-value tag has no usage guidance.
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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 ...
CommunityBot
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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 ...
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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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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 ...
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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 ...
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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 ...
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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 ...
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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. ...
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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 ...
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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 ...
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Bond Valuation and liquidity
Assuming the market is perfect liquid, the bond price can be replicated and is related as follows:
$$\sum_{t=0}^{N}c_ne^{-Y(t_n-t)}=\sum_{t=0}^{N}c_nP_{t_n}=\sum_{t=0}^{N}c_ne^{-Y_{t,t_n}(t_n-t)}$$
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