Search Results
| Search type | Search syntax |
|---|---|
| Tags | [tag] |
| Exact | "words here" |
| Author |
user:1234 user:me (yours) |
| Score |
score:3 (3+) score:0 (none) |
| Answers |
answers:3 (3+) answers:0 (none) isaccepted:yes hasaccepted:no inquestion:1234 |
| Views | views:250 |
| Code | code:"if (foo != bar)" |
| Sections |
title:apples body:"apples oranges" |
| URL | url:"*.example.com" |
| Saves | in:saves |
| Status |
closed:yes duplicate:no migrated:no wiki:no |
| Types |
is:question is:answer |
| Exclude |
-[tag] -apples |
| For more details on advanced search visit our help page | |
Results tagged with fixed-income
Search options answers only
not deleted
user 35546
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
Calculating the Discount Margin for a FRN
Clearly the first one assumes that all periods are of equal length, whereas the second one adjusts for the fact that the number of days covered by each period will be different(assuming dcf stands for …
- 6,242
6
votes
How can a deep discount bond with a longer time to maturity have a LOWER duration than an ot...
Probably easier to see with the $Dur, which can be expressed as follows (assuming principal=1):
${\rm Dur}=\frac{c}{y^2}\left(1-{\frac { yT+y+1}{ \left( 1+y \right)^{T+1} }}\right)+\frac{T}
{\left( …
- 6,242
1
vote
Fixed Income VaR: Yield Vol vs Cash Flow Mapping
The first approach like you said is simplistic, and the second is just a generalisation to multiple factors/assets. Note sensitivity and PV01 represent same concept. If you use 1 for multiple assets/f …
- 6,242
2
votes
Accepted
zero-coupon bond and forward rate
I will try a simplified approach:
Let $P(t,T)$ represent the price at time t of a zero coupon that pays 1 at time T. If you divide the period between t and T into n sub-intervals, assume $F \left( t; …
- 6,242
2
votes
Accepted
understanding carry for Fixed Income Securities in Pedersen
As per the definition:
$C_t:=\frac{S_t-F_t}{F_t}$
Per the article, it should actually be: (tomorrow minus today ) divided by today:
$C_t=\frac{F_{t+1}-F_t}{F_t}$
but they assume price does not change …
- 6,242
2
votes
Accepted
Calculate forward discount factors and forward reference rate when discount factors are known
Let $df\left(t_1, t_2\right)$ represent the discount factor between the two periods. You then have:
$df\left(t_0, t_2\right) =df\left(t_0, t_1\right) \,df\left(t_1, t_2\right) $
So
$df\left(t_1,t_ …
- 6,242
2
votes
Origin of the $-\frac{1}{P}$ in Macaulay Duration?
Here is some historical context.
Macaulay introduced the duration concept as in the ‘duration of cash flows’ sense, in a way to measure the effective term of the loan. For the weights, he considered …
- 6,242
2
votes
Nelson & Siegel model (Fixed Income Securities)
Here is a nice survey of how this model and its alternatives are used by the central banks:
https://www.bis.org/publ/bppdf/bispap25a.pdf
- 6,242
1
vote
Floating rate note value approximation
Reading your question and the comment, it could at at best be an approximation. There is a basis between the FRN and the bond because they are different products and subject to different supply and de …
- 6,242
1
vote
How to understand interest rate bid/ask and apply client mark-up in Tom/Next Rollover Swap P...
It boils down to what the quote represents. Let's ignore the swap points for now, and analyse what the bid forward price represent - the price at which the market maker buys the base currency forward. …
- 6,242
2
votes
Accepted
what are the underlying transactions for SOFR?
Repo is essentially collateralised lending/borrowing, but it is executed via sale and repurchase. The repo rate works the same way as the deposit rate, so would be annualised. General collateral means …
- 6,242
2
votes
Libor to SOFR transition Yield Curve Construction
Like any curve construction, you would use the prices of traded assets to construct the curves. For example, in the standard LIBOR, people use FRA, futures, and swaps referencing LIBOR to construct t …
- 6,242
1
vote
Accepted
Why Arent There Long Rate Models?
It comes down to what is meant by long rate.
I will approach the problem as follow: Would a 5 year rate be called a long rate? How about 10 years rate then? How about 2 years rate? It won’t be easy …
- 6,242
0
votes
YTM of "very-seasoned" bond issues
1.994% yield would correspond to mid(ish) clean price of 101.223. Adding accrued interest of about 2.9103 to the clean price gives a settlement price of 104.1333. Feeding this price into the calculato …
- 6,242
2
votes
Accepted
Swap Curve and Forward Libor Rates
Swap rate can be viewed as a weighted average of the forward rates. The forward rates would incorporate expectations of future rates, so should a swap rate then. Now a swap paying/receiving LIBOR agai …
- 6,242