8 votes

Fastest way to calculate YTM from bond price

I faced this problem trying to price bund yields from Bloomberg ticks. I found the fastest method was to price three static yields from three static prices and determine a quadratic function for those ...
Attack68's user avatar
  • 10.1k
5 votes

US swap spreads

The basic point you are making is correct. The main reason why swap spreads are negative is the large amount of Treasury issuance versus the limited capacity to own them. The scarcity of bank balance ...
dm63's user avatar
  • 17k
4 votes
Accepted

What is the day-count basis of the "true yield" reported by Bloomberg for bonds?

It follows the same day count convention as the original bond (e.g., Actual/Actual for US Treasuries). Let's go through a concrete example. Consider the 4.75% maturing on February 28, 2009, for ...
Helin's user avatar
  • 11.7k
4 votes

How to calculate YTM in case coupon payments are reinvested at a different rate than the bond's coupon rate?

In my opinion it's a flawed argument because there is no reinvestment assumption in the ytm computation. Investopedia is not a reliable source generally. It is a common fallacy to state the ...
AKdemy's user avatar
  • 9,254
3 votes

Yield dependency on bond price

The relationship between bond prices and yields sometimes seems circular, but it's not necessarily problematic. Essentially, bond prices and their yield to maturity (YTM) move inversely. If investors ...
QuantNero's user avatar
  • 233
2 votes

Bond indices : where to find yields and asset swap spreads by rating and average duration?

As always the question for free available, good quality and highly technical data series is a tough one. You can find OAS Spreads for US Corporate Bonds on FRED Database: For HY: https://fred....
DataAdventurer's user avatar
1 vote

Yield curve and bond price

The ultimate goal of any yield curve construction is a zero curve by which you can derive discount factors to price any cash flow at any given time. Market traded bonds will be the source of prices ...
AlRacoon's user avatar
  • 6,377
1 vote

Yield curve and bond price

So when talking about the yield curve, which basket of bond are we choosing to calculate it? There is not one "yield curve". Generally a curve is generated from multiple bonds with a shared ...
D Stanley's user avatar
  • 1,341
1 vote

Pricing bonds using comparables

You can look at the same type of bonds with same rating, same sector, similar tenor and if possible same country, and pay attention on optionalities writen, extract discount margin and apply on your ...
darkuss's user avatar
  • 51
1 vote

Some US AAA Corp are borrowing below UST for 10yr paper. What could be the reasons for this?

I can’t find any today. Johnson and Johnson is rated AAA and the 10yr yield is Treasury +29bp. There may have been a time during the debt ceiling drama where very short dated corporate paper traded ...
dm63's user avatar
  • 17k
1 vote

How does the recent increase in shorting of US Treasury futures explain the spike in yield for US Treasury?

The guys shorting the futures are expressing a view on the basis between the future and its CTD deliverable, they're not trying to predict rates let alone influence them.
Tim W's user avatar
  • 33
1 vote

How to calculate YTM in case coupon payments are reinvested at a different rate than the bond's coupon rate?

The assumption (not a requirement) of the IRR method (which is how yield is calculated) is that all cash inflows and outflows are borrowed/invested at the same constant rate to end up with the same ...
D Stanley's user avatar
  • 1,341
1 vote

Bond RV YTM vs maturity or YTM vs duration

There are many different ways in which you can find RV between bonds. ASW levels is definitely one, another is CAS. Traders use carry+roll to try to assess RV between bonds, which takes into account ...
zarah's user avatar
  • 11
1 vote
Accepted

Mean level of the state variables under the risk-neutral measure in Arbitrage-free Nelson Siegel

The reason for setting $\theta^{\mathbb{Q}}=0$ is that, along with other restrictions, it identifies the parameters of the model uniquely, which means that the model is then well-defined, and there is ...
Hans-Peter Schrei's user avatar

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