New answers tagged bond
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Difference in interpretation between credit ratings from different agencies
As pointed out in the anwser already posted, If you have the data you can test whether default rates are relatively similar over time, from lectures I remember that the criteria for credit rating ...
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Difference in interpretation between credit ratings from different agencies
From my past experience in credit risk, each credit rating is usually tagged to a PD range forecasted by the PD model itself. For example, AAA in S&P is tagged to 0% to 0.01% PD over the next year....
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Construct a zero coupon bond
To determine the price of a 10-year zero-coupon bond using only cash flow streams and given the prices of two other bonds, you can set up an equation based on the present value of cash flows.
Let's ...
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Construct a zero coupon bond
Your reasoning is correct: starting with your observation that $3.5 × 89- 1.5 × 97= 166$, you simply have to solve $3.5x - 1.5 x = 166$, and you will obtain $x=83$.
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How to calculate the daily carry on a bond future?
Carry is a concept which manifests due to income received. By definition a futures contract has no carry..as there is no income received. A spot starting coupon bond however will have carry, roughly ...
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