Questions tagged [yield]
The yield tag has no usage guidance.
66
questions
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Relationship between ROE and IRR
In the textbook I read the following:
We can increase the present value of a share of common stock with a new investment only if $ROE > r$ , where $r$ is a discount rate (capitalization rate). ...
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0answers
41 views
Expected Yield to Maturity & Default Risk Premium
For a corporate bond, which natuarally has a default risk, the expected yield to maturity (EYTM) is defined as the probability-weighted average of all possible
yields. Hence, for a 10-year zero-...
3
votes
1answer
129 views
Hedging EURUSD with negative rates
I was reading an article and i saw this :
Fund managers based outside the eurozone can profit from buying Europe’s negative-yielding government debt thanks to an uplift from hedging the currency. ...
0
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1answer
56 views
Clarification on certain finance terms surrounding bonds
Whilst revising for my upcoming financial mathematics exam I've been struggling to get to grips with certain terms/ phrases used when studying Bonds. I am very new to Finance and get confused very ...
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0answers
14 views
Finding the redemption yield of a bond given a capital gains tax
Let's say a bond has a face value of £$100$ with semi-annual coupons at a rate of $3$% p.a which is redeemable at par in $10$ years.
Assume an investor purchases the bond for £$92$ on the day it is ...
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4answers
1k views
Why does the ultra long-end of a yield curve invert?
The shape of the yield curve (at least in the GBP Rates market) is upward sloping from the front end up to the long end (i.e. 30y), but then begins to become downward sloping as we go beyond 30y and ...
0
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0answers
28 views
How to modify EMSR when capacity for each fare class is different
In the normal EMSRa and EMSRb algorithms (EMSR= expected marginal seat revenue), each fare class is utilizes exactly 1 unit of capacity (for eg. one seat on a plane).
But I have a similar problem for ...
2
votes
1answer
96 views
Why did high yield corporate bond ETFs tank during the great recession
My apologies if this is not mathematical enough for this outlet.
My understanding of the pricing of a bond ETF is that lowering interest rates drive the price up and increased risk of default drives ...
2
votes
4answers
291 views
Par Yield, Bond Yield and Zero Rate
In the Hull's book, chapter 4.4, it says :
The par yield for a certain bond maturity is the coupon rate that
causes the bond price to equal it's par value.
Then for this question (4.18) :
“...
0
votes
1answer
103 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 ...
1
vote
1answer
64 views
Proving that YTM > Current Yield on Discount Bond
I’m currently stuck in proving that for a discount bond: YTM > current yield, with:
$$\text{current yield} = c \frac{100}{P}$$
with $P=100-d$ the price of the discounted bond and $c$ the coupon rate....
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56 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 ...
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0answers
67 views
Duration and yield
I have some basic questions about mainly duration and yield.
1) Almost no-one defines what yield they are talking about when talking about duration and discount rate, I've seen some talk about ...
1
vote
1answer
41 views
Why currencies and futures contracts can be considered as assets with known yields?
I understand why stock index can be considered as assets with known yields due to the dividends.
But why currencies and futures contracts can also be considered as assets with known yields?
In the ...
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0answers
36 views
Is it possible to estimate the average convenience yield on brent crude oil for 2018?
If it is possible to estimate it, how does one do this, and what is it?
3
votes
3answers
151 views
What's the logic behind 3-10 UST yield inversion predicting recession?
Is there causality, behavioral or logical explanation behind this indicator or is it just purely an observation based on correlation? My guess is that there are existing derivatives with clauses that ...
2
votes
2answers
212 views
Why does the YTM equal the coupon rate at par?
I know the YTM of a coupon bond is the interest rate $i$ which verifies
$ P =\frac{C}{(1+i)} + \frac{C}{(1+i)^2} + ...+ \frac{C}{(1+i)^n} + \frac{F}{(1+i)^n} $
where $P$ is price, $C$ is the coupon ...
2
votes
1answer
277 views
Duration split: treasury curve vs spread duration
I am looking at corporate bond (FR0013367620) in Bloomberg for which I have these values:
DUR_ADJ_MID (modified duration performed using the yield to worst): 6.649
DUR_ADJ_OAS_MID (security's price/...
2
votes
1answer
84 views
Implied credit spread convertible bonds with negative yield
I’m trying to understand what happens to the credit spread of a convertible bond when yields of the convertible are negative. I’ve heard there is an implied credit spread as spreads can’t really be ...
2
votes
1answer
114 views
Difference between Excel's Rate Function and Paul Wilmott's Goal Seek Method for finding YTM
I'm watching some FRM videos teaching how to find YTM via excel's =rate() function and tried getting the YTM using Paul Wilmott's spreadsheet that uses goal seek. I'm getting different results.
...
2
votes
2answers
267 views
Why do par-yield shifts grow faster across the curve than spot-rate shifts when looking at key-rates?
Consider the following 10y key-rate shifts of bond par yields and its implied shift of bond spot rates:
Assume we have the key-rates for 2y, 5y, 10y and 30y.
The y-axis is in basis points, and the x-...
3
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4answers
170 views
Intuitively, why does liquidity premium contribute to bond yield?
According to the Wikipedia, "The upwards-curving component of the interest yield can be explained by the liquidity premium... Liquidity risk premiums are recommended to be used with longer term ...
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3answers
92 views
Yield To Maturity calculations for risk-free vs risky bonds
For a risk-free bond such as a US treasury bond, the YTM would be solving for $r$ in the denominator of each ($\frac{coupon payment}{(1+r)^n})$ such that the total equals the given price. And such a ...
0
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1answer
158 views
Is it possible to use the YIELD() function in Excel to compute the yield of an Italian government bond?
I'm interested in using the YIELD() function in Excel to compute the yield of an Italian government bond. The bond in question is:
0.750% 15-January-2018
Italian government bonds have special ...
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1answer
324 views
Dividend Yields of the S&P500
Straightforward question;
Is it possible to find dividend yields of the S&P 500 on a daily basis (or at least the dividends of the S&P 500)?
I have been looking everywhere and can't find ...
0
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1answer
81 views
Bond ETF Dividends
Bond ETFs usually make monthly dividend payments. The ETF manager receives quarterly or semiannual coupons on the underlying bonds in the ETF. What is the time delay between the coupons received and ...
2
votes
2answers
320 views
Floating rate note value approximation
I was hoping somebody can assist me with a query. Would it be a valid approach to revalue a frn with a discount margin from a comparable bond as par minus the difference between the quoted margin and ...
0
votes
1answer
1k views
Yield curve: Turn of year effect jump calculation
I'm trying to get the values for the turn of year jumps that can be found at section 4.8 of
Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping But Were Afraid To ...
-1
votes
1answer
370 views
How to calculate the yield of a forward bond price from the zero curve
We want to use the Duration to convert forward price volatility to yield volatility with ...
0
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1answer
46 views
YTM of a Fixed-Income Loan?
I'm quite confused regarding the computation of a YTM.
I got a Portfolio of Single Loans 30Y(like a MBS) which are not traded and hence do not have a market price.
Now I want to compute the YTM in ...
1
vote
2answers
157 views
What yield on T-bills is presented in obtained data from quantmod?
When I try to find, for example 3 months T-bill rate, how that rate is calculated?
getSymbols(Symbols = "DGS3MO", src = "FRED", auto.assign = FALSE) -> t3
tail(t3)
...
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2answers
369 views
Cochrane on Return Predictability
Being a lover of Sir Arthur Conan Doyle's work, I picked up a copy of Cochrane’s 2008 paper, The Dog That Did Not Bark: A Defense of Return Predictability and read:
If returns are not predictable, ...
1
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1answer
85 views
Why should central bank intervention cause inverted yield curve to be less effective as a recession signal?
Pimco's new CIO Dan Ivascyn believes that the inverted yield curve has become less effective as a signal of impending recession.
https://www.bloomberg.com/news/articles/2017-06-22/pimco-s-ivascyn-...
0
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1answer
131 views
Curve to curve hedging for treasury
Please correct my conceptual understanding if needed, but I'm trying to calculate the mod duration of treasury curve pieces when the curves are DV01 hedged.
For example:
DV01 of 10 Year Note is 896....
1
vote
1answer
51 views
Discretizing the conditional variance in the Arbitrage Free Dynamic Nelson Siegel model
for my thesis I am trying to fit the correlated factor arbitrage free dynamic Nelson Siegel model to yield data. I use the Kalman filter to model this but since the model is in continuous time, I need ...
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2answers
3k views
Do all bonds of the same maturity have the same yield to maturity?
We've been using this formula to price Bonds.
c/y + (100-(c/y))/(1+y)^m
where
c=coupon
y=yield to maturity
m=time to maturity
Let's take a 10 year U.S treasury for example.
Price of existing bonds ...
1
vote
1answer
169 views
Does the YTM for a zero coupon treasury equal the treasury yield curve value for it's maturity?
The title is my question. I think the answer is yes, but I am unsure about it.
1
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1answer
3k views
What are Generic government treasury bonds? (Bloomberg terminal)
I have a project at school were we are supposed to find the generic series for US treasury bonds, and then download daily data for 3 years. I have found the bb ticker, but i don't understand the ...
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1answer
482 views
Why we need compute the clean price
First, is the yield of dirty price is same as the yield of this bond at beginning?
If they are same, then the dirty price is ...
2
votes
4answers
920 views
Yield-to-Maturity and its assumption
Reading about Yield-to-Maturity (YTM) I found out that two assumptions have to be made:
the bond holder must keep the bond until maturity;
coupons must be reinvested at the same YTM.
Violating those ...
1
vote
1answer
144 views
Yield curve PCA vs real life frequency
The yield curve can be explained using a PCA, where the cumulative proportion explained for many practical purposes is high enough with three factors.
For one set of data, used at https://www.r-...
2
votes
2answers
131 views
Roll Yield on Options?
I have only recently started looking into options trading, so the question may come off as ignorant.
My thought was that for an underlying security that has no special event like earnings. Could we ...
0
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1answer
76 views
yield/price of treasury bonds
I tried to calculate treasury bonds YTM from their clean prices through different formula on excel ("yield" or "rate") and found the same result. However, I do not know whether using the "yield" ...
0
votes
1answer
1k views
Constructing yield curve directly from yield-to-maturity data
I'm trying to use Bloomberg yield-to-maturity data for sets of sovereign bonds of different maturities to fit to a yield curve. I looked into using the QuantLib library (the FittedBondCurve ...
2
votes
1answer
1k views
Constructing Swap Curve from LIBOR
Say I'm considering a long maturity fixed rate swap, for instance 20 years paid semi annually. Now I want to find the fixed rate for this hypothetical swap. I understand that this fixed rate is going ...
8
votes
2answers
18k views
question regarding carry & roll of a bond
I have a simple (and might be a dumb) question regarding the calculation of a bond's carry. If someone doesn't take into account cost of financing (e.g. the repo rate) then the bond's approximate ...
1
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1answer
45 views
Indexes and return spreads
First and foremost thank you for reading my question, I hope all if you have a Happy Holiday this weekend.
On to my question:
I am completing an assignment on global sovereign bonds, I've been ...
3
votes
1answer
931 views
Are there any opensource C# libraries for calculating bond duration and other FI Analytics?
I'm doing some Fixed Income analytics work and wanted to know if there where any opensource C# libraries that I could use in order to avoid writing functions for generic calculations like YTM and ...
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0answers
74 views
How was this probability of negative U.S rates by end 2017 calculated?
http://www.bloomberg.com/news/articles/2016-01-26/bets-on-negative-u-s-rates-by-end-2017-jump-above-10-chance
Options markets show some investors are taking out protection in case
rates instead ...
1
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0answers
133 views
Moody's seasoned corporate bond yields
The Fed publishes Moody's seasoned corporate bond yields here.
These yields are not broken out by maturity.
According to this website, the yields represent "long-term" bonds, with minimum and ...
