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Results tagged with fixed-income
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user 13480
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.
3
votes
0
answers
132
views
Fed Funds Rate: longer maturities
FFR published by Fed Bank of NY is the average rate US banks charge each other for the overnight loans of their reserves required by the Fed regulations. Since Fed acts similar to a clearing house her …
- 1,494
2
votes
1
answer
175
views
Forward parity in fixed income
In stock and index we have a beautiful forward-spot parity
$$
F(t,T) = S(t)\cdot B(t,T) \tag{1}
$$
which tells us that to price a forward contract at time $t$ with expiry $T$ we can just borrow mon …
- 1,494
13
votes
1
answer
4k
views
Pricing Treasury futures
I've recently learned that at the delivery of Treasury futures the short side can decide which of the $n$ Treasury bonds (with relevant maturities) to deliver. If the short side chooses to deliver the …
- 1,494