I don't have enough repuation to commnet, but I think it is a general cashflow discount model for bond pricing, and the formula looks wrong. The last item should be discounting of principal and last period coupon, which should be like this:
PER here refers to coupon payment frequency. FV definitely cannot be divided by frequency.
Yes. Repo trades are funding source for long bond, while reverse repo trades are security borrowing source for short bond.
Issues 1. In reality, you cannot just fund your long bond A by repo trade with A only, because there will be haircut in repo. For example, you can only borrow 85% cash for high yield bonds, maybe 95% for investment, and 98% for treasury ...
Clarity suggestion: "Yield" on a callable bond is ambiguous. You should specify yield to call, yield to maturity, or yield to worst (often YTW=YTC).
A callable bond has a price that consists of the noncallable bond less the premium (n.b. option premium, not bond premium!) paid by the borrower for the option to call in the bonds. Options have a ...
Please correct me if I am wrong.
In the US market, there are pricing differences between TRACE trade prices versus Lehman quotes data.
From one side, TRACE prices equal quotation midpoints (), where most academics would use the midpoint of the spread as the fair price.
From the other side, Lehman quotes bid prices, where bids reveal the preferences from the ...
You can look at the answer I gave here: https://quant.stackexchange.com/a/61025/40827 which is based on potentially irregular cashflows. Ie you pass the exact dates or periods and amounts, you don't specify, say, a bond paying 5% every semester for the next 3 years.
This is not exactly what you asked for, but an intermediate step to get there.
It is easy enough to put together a simple function that calculates the Macaulay duration of a set of cashflow, taking as inputs the pv rate, the cashflow amounts and the periods - not the dates, just the periods, ie period 1, 2, 3, etc.
Below I have a toy example of a bond ...
The prices of most coupon-paying bonds (not only corporates, but treasuries, munis, etc) are quoted "clean" (without the accrued coupon) rather than "dirty" (with the accrued coupon).
If you agree to buy a bond for a (clean) price $P$, then on the settlement date (generally 1-3 business days after your trade date, depending on the kind of ...
"How should I define the transaction price of a bond? and how to calculate it?"
"The Trade Reporting and Compliance Engine is the FINRA-developed vehicle that facilitates the mandatory reporting of over-the-counter transactions in eligible fixed income securities" (my emphasis) - https://www.finra.org/filing-reporting/trace.