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How do you calculate the YTM of a multi-currency portfolio?

I would like to know how to calculate the aggregate YTM of a portfolio with bonds of different currencies
Dario's user avatar
  • 11
0 votes
0 answers
72 views

Modified Duration vs. Real-World Bond Price and Yield Changes

We know that modified duration at time $t$ of a bond with maturity $n$ is defined as: $$ D_{nt} = - \frac{1}{P_{nt}} \frac{\partial{P_{nt}}}{\partial y_{nt}} $$ And the definition of a derivative is: $...
Tomas da Nobrega's user avatar
3 votes
1 answer
234 views

Calculating spread on a par rate curve given bond’s coupon and yield

In Tuckman and Serrat’s Fixed Income Securities, they give an example of a bond and state its coupon and yield. They also provide an HQM par rate curve and quote the bond’s spread to this curve. How ...
akrylic's user avatar
  • 31
0 votes
1 answer
38 views

How would one calculate yield to first call for a debt security which is currently and always callable?

If an asset manager has multiple extended warehouse lines outstanding and each one is currently callable (some with penalties, some without), is it simply the case that a ‘to first call’ performance ...
slothish1's user avatar
0 votes
0 answers
39 views

India 10yr Government security/bond yields

Which sites can provide historical data for India 10year government security which is monthly. Im assuming yield implies total return data (including dividends/interest) reinvested. Im a newbie so pls ...
nandonachi's user avatar
1 vote
1 answer
391 views

Arbitrage Free Nelson Siegel Model Python

I am currently trying to implement the Arbitrage Free Nelson Siegel (AFNS) model in Python. However, I am encountering the problem that my results do not match the current yield curve at all. Is there ...
Marc157's user avatar
  • 55
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0 answers
80 views

Is z spread always ‘better’ than nominal spread?

If nominal spread is the addition to the treasury yield at the WAL of the risky bond cashflows (to worst) necessary to make the npv of the cashflows equal to a given price, and z spread is the ...
slothish1's user avatar
0 votes
2 answers
184 views

Mathematical meaning of an inverted yield curve

I am currently working on rates model. I would like to understand, mathematically, what does it mean to have an inverted yield curve? And I am asking myself for a certain model, how can I generate an ...
StochasticMan's user avatar
1 vote
1 answer
62 views

Aggregate Yield to Maturity with Stochastic Interest Rate Paths

Suppose I am valuing a callable bond using stochastic interest rate paths (LMM generated for example) and I wish to express yield to maturity as a single value. Would it be appropriate to average the ...
JoeBass's user avatar
  • 103
1 vote
1 answer
422 views

What is the day-count basis of the "true yield" reported by Bloomberg for bonds?

Plenty of sources the web, including Bloomberg's CFA pararation pages, state that the "true yield" reported by Bloomberg for bonds uses business adjusted payment dates for computation. ...
Rodolfo Oviedo's user avatar
0 votes
1 answer
146 views

Unexpected negative roll yield on USD/EUR forward?

on June 1st 2023, 1 EUR was buying 1.0762 USD spot. In the forward market, one could sell EUR 3m forward for 1.0816 USD. Forward rate was greater than the spot rate, therefore EUR was trading at a ...
tweedi's user avatar
  • 527
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0 answers
176 views

DV01 of 10-Year vs 1-Year Zero-Coupon Bond at 0% Flat Interest Rate Curve

As the title suggests, what are the DV01s of a 1 million principal zero-coupon bond with 10-year and 1-year TTM with an assumed 0% flat interest rate curve. I understand that the duration for both ...
KaiSqDist's user avatar
  • 1,592
0 votes
0 answers
108 views

How do i use this formula to find the YTM of a step up bond?

I'm trying to find the YTM for a step up bond that trades at par value, how do I use this formula? Since the par value and sale price is the same, and coupon payment is different each payment.
user68809's user avatar
0 votes
2 answers
1k views

How to calculate YTM in case coupon payments are reinvested at a different rate than the bond's coupon rate?

I know that calculations of yield to maturity(YTM) assume that all coupon payments are reinvested at the same rate as the bond's current yield and take into account the bond's current market price, ...
catGPT's user avatar
  • 101
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2 answers
263 views

Computing treasury note/bond prices from yield

I wanted to make sure my calculation of the US treasury note/bond price is correct. Since T-notes and bonds pay coupons twice a year, let \begin{eqnarray} F &=& \rm{face\_value} = 100 \\ y &...
user46652's user avatar
  • 111
2 votes
1 answer
928 views

Does the rolling of bond payments from non-business days to the next or previous business day affect the calculation of accrued interest and YTM?

(1) Does the rolling of bond payment from non-business days to the next or previous business day affect the coupon payment and the accrued interests within the coupon period? In other words, are the <...
Rodolfo Oviedo's user avatar
2 votes
1 answer
218 views

Strange Market Data YTM for a Zero Coupon Bond

I am trying to compute the YTM of the following Zero-Coupon Bond: The issue date was 13-01-2022 and the maturity date was 14-01-2023. For me, it seems strange that the price remains "almost ...
david.t_92's user avatar
0 votes
1 answer
187 views

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 ...
rate_newbie's user avatar
0 votes
0 answers
147 views

What is the maximum yield that can be received from owning an equity?

Suppose I lend you an equity security for ten years, interest-free, and you have to return it to me at the end of term (which means little-to-no risk-taking). What is the maximum (near-)riskless yield ...
actinidia's user avatar
  • 196
1 vote
0 answers
39 views

How does one get exposure to stock borrow rates?

Suppose I am long equity borrow rates, but I don't know exactly when borrow will increase. What is the most effective way to trade this? The naive strategy of borrowing the stock now and then lending ...
actinidia's user avatar
  • 196
2 votes
1 answer
3k views

What is the difference between Discount Yield and Yield on US Treasury Bills

I would like to understand the fundamental difference between yield and discount yield, specifically relating it to zero coupon treasury bills. Please see image below: For those who are terminal ...
pirloe's user avatar
  • 41
2 votes
3 answers
670 views

Pricing a bond denominated in USD but issued in Europe

I need to price a USD bond using yield-to-maturity from the yield curve (YC). The bond is issued by a German company. My question is what yield curve should I use: the US Treasury YC or the EUR YC of ...
Rad's user avatar
  • 21
3 votes
1 answer
248 views

How to interpret YTM of FRN when interest rates change?

Say I have a FRN. If rates go up, then my cashflows are discounted more, but my coupons also go up, so in the end, my bond may be worth the same. However, if rates go up, then since my price is ...
DeMarcusJohnson's user avatar
0 votes
1 answer
154 views

Estimating Zero Coupon Curve using only Fixed-Coupon bonds available

Today I have been struggling with something that someone here for sure has already encountered. I have a corporate issuer with a set of fixed coupon bonds (maturities between 1.5 to 20+ Years, luckily ...
Monchinga's user avatar
1 vote
0 answers
34 views

Why do some TIPS bonds have credit spread < 0 [duplicate]

If we look at the yield spreads on Bloomberg of some TIPS bonds, we see they have credit spread < 0 (i.e. their yield is even lower than their benchmark treasury bonds) Why is that the case. ...
Taylor Fang's user avatar
0 votes
0 answers
95 views

Reverse Repo and Yield to maturity

there is one question I got wrong that I am confused about and that is the following : If you believe that yield will increase in the future which of the following should you choose? the two ...
XY0's user avatar
  • 127
1 vote
1 answer
94 views

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 ...
VHanded's user avatar
  • 123
0 votes
0 answers
54 views

Does tail risk disappear in the long horizon in any rolling over strategy with shorter frequency?

Say I am investing to gain weekly yields ${y_{i}}$ for over a year, gaining the overall yield: $\prod_{n=1}^{52} (1+y_i) -1$ The most dominant term in the above product is the sum of all yields, which ...
Arshdeep's user avatar
  • 2,461
1 vote
2 answers
2k views

How do you construct a zero coupon curve from the current market yield curve?

If I was to take the current market yield to maturity and tenor for all bonds for a particular issuer how can I convert this curve into a zero-coupon curve? For example if we were to get the yield and ...
JPI's user avatar
  • 21
0 votes
1 answer
264 views

Data on historical, cross-country nominal yield curves

Various central banks publish their fitted nominal yield curve estimates: the Fed, BOE, SNB, BOC, ECB (cf: Bundesbank), RBA, Russia, RBI. (I couldn't find for BOJ; Brazil; BOK; or PBOC. Links for ...
bhalperin's user avatar
  • 113
0 votes
1 answer
232 views

How do I calculate yield and trading margin of an Australian Dollar floating rate note?

I am trying to calculate the yield and trading margin on an AUD FRN in a robust manner. I am hoping someone can help with a few details. I am forecasting cash flows and solving for the discount rate ...
JPI's user avatar
  • 21
1 vote
0 answers
929 views

Definition / convention of statements receive 10s30s and boxes

I have a very practical question regarding the terminology of swap / rates trading. What is the exact definition of statements like receive 10s30s. I know that it is the spread between 30y and 10y ...
swissy's user avatar
  • 157
0 votes
0 answers
64 views

Building a yield curve out of YTM's with different coupon periodicities

I want to graph a yield curve using the yield to maturity of my bonds. However, my coupon rates have different periodicities. Financial Mathematics for Actuaries by Wai-Sum Chan Yiu-Kuen Tse give the ...
Shambhala's user avatar
  • 113
1 vote
1 answer
327 views

YTM calculation of a portfolio

Should I take in count future which are used to lower the duration to calculate the portfolio's YTM ? (Bloomberg calculate portfolio's YTM without Future) Im currently doing the weighted average. I ...
TourEiffel's user avatar
2 votes
0 answers
318 views

Yield to maturity of amortized bond

I have an amortized bond with maturity at 30.04.2023, a semiannual frequency, 10% coupon rate, 30Е/360 day convention, and a clean price of 104.9367. Also, there are two amortization payments: 300 at ...
Igor Igor's user avatar
  • 193
0 votes
1 answer
308 views

Long Breakeven inflation

I want to go long bei by going long individual 10 year tips and short individual 10 year treasuries. How do I calculate and match the duration?
JamieC113's user avatar
1 vote
0 answers
1k views

Schedule, Yield-to-Maturity, and NPV of Fixed Rate Bond from QuantLib Python

I would like to price a fixed rate bond using QuantLib Python. The pricing is fine, however I would like to understand how to extract the Yield-to-Maturity (YTM) of the fixed rate bond, that is, the ...
ql.user2511's user avatar
1 vote
2 answers
271 views

Problem with bond.bondYield Quantlib

I'm having issues with a simple FixedRateBond bond yield calculation using QuantLib: ...
Elvis Espinal's user avatar
0 votes
1 answer
163 views

Bond Future and Bond Yield relation

I recently read, that yield changes during a short time window can be approximated by dividing the returns of futures on the bond by its Duration. Has anybody heard this before and can shed some light ...
mindandfields's user avatar
0 votes
0 answers
252 views

How to bootstrap zero coupon rates and what is the relationship with par yields

I understand the basic logic of bootstrapping zero coupon rates (take a bond, discount each cashflow at the prevailing/previously solved zero rate, and solve for the last rate at the last cashflow). I ...
Em1989's user avatar
  • 1
5 votes
3 answers
2k views

Carry and Pull to Par of a bond

I am of the understanding the true carry of a bond is yield - repo rate. And not simply coupon + repo cost because this doesn’t ...
anon1234's user avatar
0 votes
0 answers
70 views

TNote Futures contract YTM vs yield on bought notes? [duplicate]

I understand how to calculate the yield on a 10 yr TNote based on face, price & coupon. I don’t understand why the yield (and price) on a futures contract about to expire is so different than the ...
RiskIt's user avatar
  • 1
2 votes
3 answers
1k views

Interpolating a yield from two yields (giving more weight to one of the two)

I would like some guidance with the following please. Suppose I have two yields: ...
F0l0w's user avatar
  • 326
0 votes
2 answers
333 views

Hull's book par yield example [closed]

In Hull's book (9th edition), on page 83, there is a simple example of par yield: I am a bit confused when it says "this has semiannual compounding because payments are assumed to be made every ...
Xiaohuolong's user avatar
1 vote
4 answers
103 views

corporate bonds - general questions [closed]

Newbie here and not trading IRL but for a school assignment. I want to buy corporate bonds because they are a safe bet from what I read. I have a few questions though, I hope I will find an answer ...
uma guma's user avatar
0 votes
1 answer
432 views

Calculating the cumulative probability of default from recovery rate, yield and coupon rate

I have the following details: A 10-year U.S.Treasury strip has a yield of 6% and a 10-year zero issued by XYZ Inc, rated A by S&P and Moody's, has 7% (semi-annual compounding). Assuming a recovery ...
May's user avatar
  • 15
1 vote
1 answer
2k views

ICVS 133 Bloomberg Curve

This could be a very dumb question but as I'm making my debuts as a Quant and some things have to be clarified as I'm mostly on my own and no way of asking questions to more experienced quants. I'm ...
Hilbert's user avatar
  • 63
0 votes
1 answer
125 views

Which relation stands between IRR and the cumulative profits?

In the graph below you can see an irregular Cash Flow. The graph is cumulative, on the y axes there are moneys, on the x the dates. In the second graph the IRR (...
Revious's user avatar
  • 103
4 votes
1 answer
3k views

How to compute par yield from zero rate curve?

How does one calculate the below two-year par yield given the zero rate curve: Assume the following two-year zero rate curve, with continuous compounding: ...
SayMyNameHeisenberg's user avatar
3 votes
2 answers
130 views

FED rate cuts don't exist

I would just like to confirm my understanding of how the FED controls interest rates. In my view there's no such thing as changing an interest rate. Because rate/yield is just an effect of price ...
Ansjovis86's user avatar