# Questions tagged [relative-value]

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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 ...
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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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### 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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Assuming the market is perfect liquid, the bond price can be replicated and is related as follows: $$\sum_{t=0}^{N}c_ne^{-Y(t_n-t)}=\sum_{t=0}^{N}c_nP_{t_n}=\sum_{t=0}^{N}c_ne^{-Y_{t,t_n}(t_n-t)}$$ ...