# Tag Info

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### Formula for forward price of bond

Amazingly, there are several different methods for computing bond forward price – the underlying ideas are the same (forward price = spot price - carry), but the computational details differ a bit ...
• 11.8k
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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-...
• 11.8k
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### Simple QuantLib Bond Math

To begin with, as Student T suggested, you can check that the cashflows are those you expect: ...
• 7,808
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### Callable bonds with very short call period. Purpose?

It's because of a bank regulation called the Liquidity Coverage Ratio. This says that if you have liabilities of less than 30 days, you have to hold liquid assets against it. To avoid that , you ...
• 17.5k
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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 ...
• 11.8k
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• 201
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### Proof of the convexity adjustment formula

Well, you need to know what is the stochashtic model you are using for $y_T$, if you assume it's a geometric brownian motion you have this process : $y_T = y_0 e^{\sigma W_T - \frac{1}{2} \sigma^2T}$...

### How can we have negative probabilities in finance? Can we have negative payments in bonds? If not, how else can we have negative probabilities?

The answer is NO, with very few exceptions There might be bonds with negative coupon(s), and the Bloomberg search even finds some, but there are plenty of reasons why negative coupons are impractical....
• 2,935
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### How to Compute Dates for Bond

To compute the cash flow dates you need to know the maturity date, the tenor, the payment frequency, the business day convention and the holiday calendar. The cash flow dates step backward from the ...
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