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Results tagged with fixed-income
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user 1215
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
Modelling callable bonds in a risk model (historical simulation)
Callable bonds are exposed to interest rates, spreads, and your interest rate model. You could link your spreads to interest rates, but then you will need a systematic spread model. In most pricing mo …
- 539
8
votes
Bond convexity Treasuries futures
I dont think you can see convexity in such a plot, since each of these prices are not observed from a single bond deliverable, but from different coupon bond deliveries. If the delivery was always bas …
- 539
2
votes
Should we apply practical constraints on the distribution of monte carlo paths?
If you start removing some of the paths, then the expectation of the bond prices that you calculate will not fit the market prices.
Since these paths are on the extremes, they should not be affecting …
- 539