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Results tagged with fixed-income
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user 1128
Securities which obligate the borrower/issuer to make payments on a fixed schedule. Fixed income securities include sovereign, corporate and municipal bonds, corporate loans, and securitized lending (e.g., ABS). "Fixed" refers only to the schedule of obligatory payments, not the amount, and may include inflation linked bonds, variable-interest rate notes, and the like.
1
vote
1
answer
367
views
"Friendly" papers about maximum smoothness yield curve modelling
I'm currently looking to implement some version of the yield curve modeling techniques in the maximum smoothness framework. The papers I have found so far explains the theory pretty well, but I find t …
- 395
1
vote
1
answer
3k
views
Need to match my bond price calculation to that of Bloomberg, currently failing hard
I have a fixed-coupon bond with the following characteristics:
Settlement: 11 July 2013
Maturity: 4 April 2022
Face Value: 100
YTM: 4.24403 %
Coupon: 4.08 %
Coupon Frequency: Annual
Day Count Convent …
- 395
3
votes
1
answer
13k
views
Duration of a floating rate note
I have the following C# code for calculating the modified duration of fixed coupon bonds:
public Double duration(Bond bond, DateTime dtSettle)
{
double duration = 0.0;
double …
- 395