# Tag Info

Accepted

### 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 ...
Accepted

### 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-...
Accepted

### Simple QuantLib Bond Math

To begin with, as Student T suggested, you can check that the cashflows are those you expect: ...
Accepted

### 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 ...
Accepted

### 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 ...
Accepted

### Do price approximations lead to arbitrage opportunities?

No. The dirty price is the market's estimate of fair value for the bond. The clean price is just a quoting convention (so that the price doesn't jump when you pass over a coupon date). The market ...

### 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 ...
Accepted

### What happens to accrued interest and coupon payment if coupon date is weekend?

For the vast majority of bonds, as other commenters have pointed out, coupon sizes are generally not affected by bad days (i.e., holidays and weekends), so for a bond with semi-annual coupon payments, ...
Accepted

### BUS/252 accrual - why 252?

Business days are all weekdays excluding holidays under the respective settlement calendar. The "252 business days per year" rule of thumb is quite common not only in Brazil - see e.g. here. The ...
Accepted

### Why does the YTM equal the coupon rate at par?

Let $P$ denote the dirty price, $F$ the face value and $i$ the YTM. Using the geometric sum we get \begin{align} P &= \sum_{j=1}^n \frac{C}{{(1+i)}^j} + \frac{F}{(1+i)^n}\\ &= C\frac{1-\...
Accepted

### reason behind bond yield diverge for bonds with the same maturity during 2008 crisis

Just to elaborate on the comments above to include some visuals. As you pointed out, the high coupon, seasoned 10.625s traded at a steep discount. The first chart below shows the yield spread against ...

### How to compute par yield from zero rate curve?

For simplicity, let us assume continuously compounded zero rates and periodically compounded par yields. If you have to work with continuous rates, you may adapt the formulas accordingly. Using the ...
Accepted

### Construct a zero coupon bond

(Assuming that the two coupon bonds have exactly the same schedules, and that you're settling when the accrueds are 0.) Consider a portfolio consisting of \$7 long 3% bond and$3 short 7% bond. This ...
Accepted

Accepted

### 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 ...

### Investment Grade Bond vs Junk Bond, whose duration is larger?

There are different measures and interpretations of duration. One, as has been pointed out already, has a formula weighting coupons and final contractual cashflow. Other definitions of duration take a ...
Accepted

### Default Probability Implied in Bond Prices?

Assume : $R$ a recovery rate, a continuous payment a flat intensity $\lambda$ i.e $$\mathbb{P}(\tau>t)=e^{-\lambda t}$$ a flat discount rate $r$ With bonds prices Assuming JPM bond pays a coupon ...

### 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....