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Results tagged with fixed-income
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user 4729
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.
9
votes
1
answer
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Bond convexity Treasuries futures
I know that long-duration bonds, on a a single bond basis, exhibit convexity. However, do Treasuries futures prices and the 10 year yield exhibit the same property?
Below is a plot of continuous 10 ye …
- 1,046
2
votes
Basic question about bonds pricing
Yea, I just started work at a fixed income shop. We accrete the value of zero coupon bonds based on the coupon rate the bond would have paid if it were an interest/bullet bond. The value of the coupon …
- 2,138
0
votes
0
answers
119
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DCF of Arbitrary Dates Cash Flows
I am having a problem understanding discounted cash flows. I appreciate your patience and help.
Lets say I have a bond that I want to price.
Par: $1000
Coupon Rate: %5.0
YTM: %5.0
Frequency: Semi-Ann …
- 2,138
1
vote
2
answers
3k
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Valuation of a Sinking Bond Fund
What would the schedule of payments be for a bond with a sinking fund? I know how to price a bond but how does the sinking fund play into it?
Semi-Annual Pay Bonds
Maturity 12/31/2033
Original …
- 623
0
votes
2
answers
3k
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30360 Daycount Count Convention to find NPV for Bonds
Using a 30/360 day count convention, how can you value the NPV of these cash flows and the discount factor? I know how to discount cash flows but how does it differ using a 30/360 approach? What is th …
- 3,719
-2
votes
1
answer
576
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DCF Zero Coupon Bond
Using a 30/360 day count what is the exact formula to discount this single zero coupon bond?
DayCount: 30/360
Start Date 6/25/2013
End Date 1/1/2020
Discount Rate 3.50%
Present Value
Endi …
- 5,268
3
votes
Accepted
What is lagged interest rate?
Lagged means past values. The lag can be by as long as you want. If Interest Rates today are 0% and yesterday they were 0.25%. Yesterdays value is what we call the lagged value.
Let's say its now 20 …
- 2,138