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Results tagged with fixed-income
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user 42110
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.
0
votes
1
answer
152
views
How to use exp(-r*t) to calculate tbill price
I wonder why : $1 - \left(\frac{4.91\% \times 358}{360}\right) = 95.1172778 $
and why $\exp\left(-4.91\% \times \frac{358}{360}\right)$ does not give 95.1172778
T Bill Description :
B 0 04/17/25 ( 912 …
- 407
0
votes
1
answer
1k
views
Calculate Bond Price knowing Z-Spread
From my point of view, to calculate the price of a bond, we just need to add the discounted cash flows.
The discount factor calculation is as follows:
In my theory knowing the z-spread of a bond I ca …
- 407
1
vote
1
answer
334
views
YTM calculation of a portfolio
Should I take in count future which are used to lower the duration to calculate the portfolio's YTM ?
(Bloomberg calculate portfolio's YTM without Future)
Im currently doing the weighted average. I al …
- 407
1
vote
1
answer
633
views
Constructing a Custom Schedule in QuantLib for Long/Short Coupons
I am currently using QuantLib for some bond pricing tasks and I have run into a problem which I hope someone here can help me with.
In my current project, I am required to model bond schedules that in …
- 407
2
votes
1
answer
1k
views
Understanding SOFR Fixing Rate Retrieval for Future Dates in QuantLib
I am using QuantLib to calculate the SOFR index for a bond's (ISIN : US025816CL12) cash flows. My objective is to understand how QuantLib computes the SOFR fixing rate for future dates. Here is my cod …
- 407
2
votes
1
answer
766
views
Using Yield Term Structure for Bond Pricing in QuantLib: Is a Zero-Coupon Curve Necessary?
I've been using QuantLib for constructing a yield curve and pricing a bond. I am wondering if I'm using the correct method to create my yield term structure (yts) for the pricing process.
Here is the …
- 407
0
votes
1
answer
775
views
Discrepancy between Bootstraped Zero Rates: Gaps between Bloomberg and My Calculated Zero Rates
I have been attempting to bootstrap zero rates using quantlib, but I am perplexed by the significant discrepancies between my calculated zero rates and those obtained from Bloomberg's bootstrapping pr …
- 407
2
votes
1
answer
559
views
Incorporating the I-Spread and Parallel Shift for Accurate Bond Pricing
I am currently working on pricing bonds and intend to utilize the S490 curve sourced from Bloomberg. This curve is constructed exclusively using swap rates. However, I have encountered challenges when …
- 407
1
vote
1
answer
561
views
Convert UST Yield Curve to Spot Curve (Zero Coupon) using bootstrapping
Having the following UST Active Curve :
Tenor
Tenor ticker
bid_yield
Coupon
1M
912796XM Govt
1.891
0
2M
912796XV Govt
2.225
0
3M
912796V6 Govt
2.52
0
6M
912796XS Govt
3.026
0
1Y
912796 …
- 407
1
vote
1
answer
730
views
How does Bloomberg bootstrap CASH Instruments?
Given the following datas :
If we do the bootstrap methodology for CASH Instrument we gotta :
Calculate the DF associated to the Market Quoted Rate (2.91157). For the 3M Fixing we have :
T = 0.26115. …
- 407
4
votes
1
answer
595
views
Yield curve bootstrapping not producing expected cash flow start date
I'm currently working on building a yield curve using OIS swaps. However, I'm encountering an issue with the cash flow start date that I'm struggling to understand. Here's a simplified version of my c …
- 407