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Results tagged with fixed-income
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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.
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Mismatch of periods with numeraire compared to the forward rates
In Joshi's The Concepts and Practice of Mathematical Finance Page 323--324 I believe that there may be a mismatch of periods with forward rates:
Consider time partition $t_{0} < ... < t_{n}$ where $f_ …
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2
votes
1
answer
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If 10s20s steepener have equal DV01 weighting on each swap then why does convexity play a ro...
Receiver Swap 10yrs
Notional: 1,000,000
DV01: +1,300
Tenor: 10yrs
Rate: 4%
Payer Swap 20yrs
Notional: 500,000
DV01: -1,300
Tenor: 20yrs
Rate: 5%
Looking at this fictitious example, I want to …
- 469
1
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1
answer
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How would this 10s/20s steepener work
Say I'm interested in a trade that wants to execute a 10s/20s steepener
This is done via a receiver leg on the 10s and a payer leg on 20s
Look at the following example (the figures are all indicativ …
- 469
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votes
2
answers
1k
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How exactly are corporate bonds priced at issue
I am interested in Debt Capital Markets but I am struggling to understand how bonds, particularly corporate bonds, are priced initially. I know that a company will tap an investment bank as book runne …
- 469
5
votes
2
answers
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Best topics to begin Quantitative Finance Research/Programming
I have a background in mathematics (Functional Analysis and Probability Theory) and am looking to acquaint myself with research in quantitative finance, particularly with a programming component.
Ba …
- 469
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2
answers
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How do the following aspects lead to U.S. Repo shortfalls
A major theme in the markets this past week has been the repo rate hikes and the sudden disappearance of liquidity. Although most are confused as to the main reason, there seems to be a consensus on t …
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