Questions tagged [yield]
The yield tag has no usage guidance.
85
questions
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2answers
83 views
Problem with bond.bondYield Quantlib
I'm having issues with a simple FixedRateBond bond yield calculation using QuantLib:
...
0
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0answers
41 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 ...
0
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0answers
83 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 ...
1
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3answers
219 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 ...
0
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0answers
40 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 ...
1
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3answers
130 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:
...
0
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2answers
90 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 ...
1
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4answers
67 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 ...
0
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1answer
52 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 ...
1
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1answer
275 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 ...
0
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1answer
79 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 (...
1
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1answer
788 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:
...
3
votes
2answers
125 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 ...
0
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1answer
42 views
Agency Fixed Rate RMBS Yield Decomposition
I'm trying to find the best way to decompose the yield on an index of fixed residential MBS securities and want to open up the question to the community. The goal is to look at this from a ...
1
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1answer
67 views
reason behind bond yield diverge for bonds with the same maturity during 2008 crisis
I was told that the following two US treasury bonds diverged in yields during 2008 crisis up to 80 bps. what was the reason for it ?
They are both matured in 15th Aug 2015 but has different coupon ...
1
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1answer
46 views
Calculating coupon yield and continous compounding
I need to calculate the yield of a 2 year Coupon Bond. Price = 98, Coupon = 3.5, N = 100.
Now when I try to solve this, I arrive at the equation:
$$
98 = 3,5*e^{-y}+103,5*e^{-2*y}
$$
But I can't ...
2
votes
1answer
266 views
How to get the price of a bond if the yield is given or viceversa in QuantLib
For example
Can u provide with a detailed example please if i have ( maturity, issue date, coupon, frequency, days_countbase, (price or yield) what is the (yield or price given this information.
...
1
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0answers
32 views
Time and asset weighted rate of return of a portfolio
If I have a portfolio with 3 initial assets on day 1 (say, stock 1 with beginning market value of \$100, stock 2 \$150 and stock 3 \$175) and after 10 days the stock 2 is sold for \$200, how can I ...
1
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0answers
69 views
Should the NPV be equal to zero in liquid markets? [closed]
My question is actually very simple. I would like to motivate it by bringing the following example:
suppose we have a (conventional) bond which generates $CF_1;CF_2;...;CF_n$ cash flow (for ...
2
votes
1answer
138 views
Computing T-Bill Yield across leap year boundary
Consider this T-Bill (912796TE9) that was purchased on 2019-10-30 and matures on 2020-02-06:
I'm trying to work through some of the basics of the yield calculation.
The days until maturity is 99. (<...
1
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0answers
320 views
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). ...
0
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0answers
347 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-...
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1answer
347 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
75 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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4answers
2k 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 ...
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0answers
30 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
120 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 ...
3
votes
4answers
9k 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
345 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
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1answer
195 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....
0
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0answers
259 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 ...
1
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0answers
97 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
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1answer
49 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
45 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
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3answers
164 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
1k 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
834 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
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1answer
172 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
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1answer
156 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.
...
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2answers
773 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-...
4
votes
4answers
308 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
366 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
211 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 ...
-2
votes
1answer
464 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
votes
1answer
93 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
364 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
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1answer
2k 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
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1answer
653 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
52 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
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2answers
219 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)
...
