# Tag Info

## Hot answers tagged bond-yields

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### What are some of the best textbooks on Fixed Income securities?

If I were to recommend one, it would be: Bruce Tuckman's Fixed Income Securities. This is by far my absolute favorite. It is extremely well written and discusses complex concepts in very easy-to-...
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### Do we use the Nelson-Siegel model to calculate the yield curve?

In the beginning, we had a plot of yields of individual bonds against time to maturity, the crudest form of "yield curve." Years later, people began hand-drawing a smoothed line through these yields ...
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### Determine the carry of a treasury bond futures contract?

Based on the your comments, I believe the issue lies with what you consider to be "carry." The reality is that there's no consensus. So let's take mini steps. We'll start with what rates guys ...
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### What is a central bank's shadow rate

It looks like it's referring to Wu and Xia (2016) shadow rates. Some more media coverage is here. The core idea of a shadow rate goes back at least to Fischer Black. Black (1995) Fischer Black's ...
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### Derive Perpetual Bond Price

A Consol Bond is a bond that pays an annual coupon of c every year. Therefore its price is $P=\frac{c}{1+r}+\frac{c}{(1+r)^2}+\cdots$. Factoring out the c and using the known formula for a geometric ...
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### Why is the duration of a bond important?

It is useful in risk reports because it tells a trader the interest rate risk of each bond in his portfolio. A trader then only needs to multiply the duration by the expected yield change to calculate ...
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### Making mathematical sense of the expression for realized bond return

Let's go back to basics. In terms of its yield $y$, the price of a bond maturing in $n$ years is $$P_n(y) = \sum_{i=1}^n\frac{c}{(1+y)^i} + \frac{100}{(1+y)^n}$$ One year later, the yield is now ...
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### Why is G spread bigger than Z spread theoretically?

Tough to answer specifically because I don't know what bonds you're looking at, but my guess is it has less to do with the spread-building blocks and more to do with the base curve. G spread is based ...
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### How to compute the yield on the Ultra-Bond Treasury Futures

I think you have a little misunderstanding about treasury futures. I would get this book: http://www.amazon.com/Treasury-Bond-Basis-Depth-Arbitrageurs/dp/0071456104?ie=UTF8&psc=1&redirect=...
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### Interest rate vs bond yield

The Federal Funds rate is an overnight rate. It may move differently from longer term rates such as the yield on 10yr notes. Possible reasons why 10yr yields might move down when the Fed raises the ...
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I do not know Python but this is what I would do in Excel (I am assuming you are familiar with Excel and can then translate the steps into Python: Pick a time series of Bond Yields which has $n$ ...