# Questions tagged [yield]

The tag has no usage guidance.

63 questions
Filter by
Sorted by
Tagged with
51 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 ...
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 ...
97 views

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 ...
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 ...
27 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 ...
85 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 ...
111 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) : “...
59 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....
42 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 ...
300 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 ...
357 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, ...
63 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 ...
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 ...
34 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?
150 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 ...
175 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 ...
250 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/...
17k 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 ...
78 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 ...
99 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. ...
213 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-...
164 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 ...
85 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 ...
611 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, ...
155 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) ...
130 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 ...
149 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 ...
505 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 ...
954 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 ...
304 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 ...
343 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 ...
80 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 ...
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 ...
45 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 ...
83 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-...
125 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....
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 ...
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 ...
875 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 ...
163 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.
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 ...
438 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 ...
214 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 ...
138 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-...
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 ...
74 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" ...
45 views

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 ...
879 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 ...