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Results tagged with quote
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user 36636
4
votes
Accepted
Yield of a Bond
If you have access to Bloomberg terminal, look for the field 'conventional yield frequency', which contains this frequency (periodicity) conventionally used to quote this bond's yield. …
- 13.2k
5
votes
Is there any source that describes Wall Street quotation conventions for fixed income securi...
Bloomberg has a flag (clean or dirty price) that's usually (not always) correct for today's quote, but doesn't tell you the history. … Rather, the quote type should be part of every quote, some some non-trivial logic to populate the quote type.
However these situations are rare. …
- 13.2k
5
votes
Accepted
Clean vs dirty price for bonds
European bond markets usually quote clean prices (without the accrued) for performing bonds - exactly like U.S., Canadian, and most Latin American bond markets. … The main reason why most markets choose to quote clean price is simply that plotting the dirty price of a performing bond against time displays an annoying zig-zag pattern, rising as the coupon accrues …
- 13.2k
2
votes
Which spread to use to analyse CDS data from Markit
Some people may disagree. it's close to the market standard quote spread anyway.
The msq spread and the upfront really convey exactly the same information. …
- 13.2k