Questions tagged [treasury]
The treasury tag has no usage guidance.
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Gross Basis - Bond Futures
Just want to confirm - Gross Basis for Bond A, deliverable into a Future:
Gross Basis [A] = Clean Price [A] - Futures Price x CF [A]
where CF [A] = Conversion factor of Bond A.
Is this due to:
Gross ...
- 31
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Treasury Bill Yield calculation [duplicate]
I am trying to identify best practices when it comes to Treasury Bill yield calculations. Without getting too granular, our calculation will use 365 days unless Feb 29 is between settlement date and ...
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Why is Bloomberg showing difference yields than US Dept of Treasury
I am using historical 30yr US treasury rates for a project. When I downloaded the rates from Bloomberg by queuing the history of the USGG30YR index, I found the numbers different from what US ...
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what is the rationale behind CTD (Cheapest to Deliver) mechanism in bond futures
why doesn't futures contract just stipulate a specific contract to be delivered. Is it because the futures seller cannot readily buy specific bond contracts?
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Bloomberg FWCM vs FWCV
I'm helping my team to project 90-day T-bill forward rates. I have two options: using FWCM or FWCV in Bloomberg. My team has used FWCM. Today I opened FWCV and found that the rates for the same curve (...
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US Treasury: Calculating Price from Yield [closed]
I'm trying to get the basics of bonds by going from yield to price (and vice-versa hopefully).
What I want to do is from publicly available source go from the treasury bond yield to the price. So for ...
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Where can I find a historical overview of countries' Benchmark 10Y Government Bond ISINs? [duplicate]
For my analysis I need an overview of 10Y Benchmark Government bond ISINs of many countries. For instance, the format could be:
Country, ISIN, active_from_date, active_to_date
For example, for Denmark ...
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Negative Accrued for treasury bonds?
I am looking at some spreadsheets that show the US treasury bonds have some negative accrued. Why would that be the case? Shouldn't bond accruals always be positive?
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Treasury Bond Clean Price - Quantlib
The clean price of the Treasury 10 year bond on 6/30/22 is 98.8046 according to Bloomberg. The settlement day for treasury bonds is 1 day. I think this still means the clean price of bond is 98.8046 ...
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high coupon and low coupon treasury
for treasury off the run bonds, in general, does the market prefer high coupon or low coupon bonds ?
How about for credit bonds ?
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Difference between US FED interest on reserve and EFFR?
Can anyone explain the difference between THE US Federal reserve interest on reserve balances (IRRBIOER) and effective fed funds rate (EFFR)?
IRRBIOER is currently at 0.9% and EFFR 0.83%. There seems ...
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Is High Treasury yield a bullish signal to stock market?
Conventionally, when 10Y T yield is up, investors run away from growth stock, and vice versa, as it affect the risk free rate, and caused changes to their DCF model.
I am here trying to breakdown the ...
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What can be used to replace the Libor - OIS indicator in assessing fear in money markets?
Libor is dead and used to be uncollateralised. Libor-OIS was a useful indicator to measure the spread between risk free (central bank e.g. Fed funds) rate and the interbank lending rate. For example ...
- 15.5k
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Is there anyone trading Then-Current Treasury Forward?
The treasury forward traded for those on-the-run or off-the-run makes sense. You simply trying to hedge the treasury bond already issued by calculating the forward price of the bond.
I was wondering ...
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