Questions tagged [yield]
The yield tag has no usage guidance.
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Calculating stub period discount factor when bootstrapping [duplicate]
When building a curve based on for example:
Valuation date: T
FRA 0Dx3M 0.01 (settles T+2)
FRA 3Mx6M 0.02
...
How do you get the discount factor for the settlement date T+2, which is needed when ...
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0answers
29 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?
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3answers
140 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
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2answers
107 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 ...
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1answer
86 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/...
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1answer
53 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 ...
1
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1answer
81 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
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2answers
111 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-...
2
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4answers
139 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
71 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 ...
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1answer
102 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
234 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 ...
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1answer
68 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 ...
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2answers
253 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 ...
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1answer
824 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 ...
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1answer
234 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 ...
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1answer
44 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 ...
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2answers
136 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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1answer
75 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-...
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1answer
111 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....
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1answer
45 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
2k 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 ...
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1answer
139 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.
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1answer
2k 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
297 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 ...
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4answers
624 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 ...
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1answer
117 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
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2answers
121 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
70 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
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1answer
901 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
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1answer
729 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 ...
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2answers
13k 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 ...
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1answer
44 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 ...
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1answer
759 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 ...
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0answers
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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 ...
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0answers
2k views
How to calculate yield spread?
I came across this multiple choice question on yield spread and I can't understand why the reasoning for the selected answer is correct.Can you confirm or clarify ?
(
emphasis in the text is mine)
...
3
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1answer
598 views
Weights Blowing up in PCA
I'm using daily settlement data to get yield levels for a couple of products. From this data I am doing PCA on a rolling collection of the yield levels. I have been using sci-kit learn's PCA function, ...
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2answers
212 views
Using IRR to calculate future value of cashflow
Discounting a cashflow using given forward rates will result in the following present value:
PV = 102.875 = ${5\over (1+3\%)}$ + ${5\over (1+3\%)(1+4\%)}$ + ${105\over (1+3\%)(1+4\%)(1+5\%)}$
where ...
4
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1answer
482 views
Yield for valuation of illiquid corporate bond
I am trying to value a illiquid corporate bond issued at a discount to face value by a privately held company in India. The corporate bond is a sinkable bond (amortizing principle) with coupon rate of ...
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1answer
1k views
Why is my YTM incorrect? How does accrued interest play into Yield to Maturity?
I'm writing some software that includes a feature to calculate Yield to Maturity for a Bond. I'm using an HP 10bii Financial Calculator to double check the answers produced by my software. I'm running ...
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1answer
53 views
Compute bond price with more coupon payments in a year
If I have a 5-year bond, which pays every six months a coupon of 2.5% with a yield of 1.5%, should I split up the yield to compute the bond price?
Or is below the way to compute it?
$\displaystyle ...
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1answer
213 views
Basic questions on the yield curve
When people say "yield curve", do they mean yield/time curve, or yield/price curve?
It seems that most of the time, people refer to yield/time curve, as wikipedia suggests. Though sometimes, people ...
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2answers
319 views
What is the yield on an infinitely lived ZCB?
I guess the price of a Zero-Coupon Bond with infinite maturity should go to zero, what about its yield?
I am asking this because I was dealing with the yield curve and its asymptotic properties when $...
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1answer
409 views
Forward Curves and Par Yield Curves
I'm recently reading a research paper on the yield curve by Salomon brothers and in it it states that when the forward curve is above the par yield curve, it is seen as cheaper. If for example, the ...
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1answer
106 views
Calculating “Market Index Dividend Yield” of the ASX
In attempts to establish an investment portfolio with a long term horizon, the method of relative dividend yield has caught my attention.
I require the Market Index Dividend Yield to proceed. The ...
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1answer
191 views
How is USGG10Y (or any tenor) constructed?
I was wondering how the yield curve for US treasuries are constructed (ex. USGG10Y, USGG5Y, etc.). How to compute for it exactly (what deals/quotes are included in it, what financial institutions are ...
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2answers
520 views
Intuition behind interest rate models
I am modelling the 3M yield of US Treasuries using an ARMA/ GARCH approach. Most interest rate models (e.g. Vasicek) describe the process as follows:
$r_{t}-r_{t-1} = some ARMA+ \epsilon_t $
...
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0answers
254 views
Credit Rating vs Bond Yield
I am looking for some references on quantifying the dependence between credit rating and bond yield. I have some data (found some Bloomberg indices which give average yield based on credit rating), ...
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1answer
70 views
Does YTM represent interest? [closed]
Does a bond's Yield to Maturity represent the amount of interest one gets at maturity even though it's expressed as a percentage? I read that it is a rate of return on a bond at maturity, but what is ...
