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3 votes

Pricing a bond denominated in USD but issued in Europe

You should use the US Treasury yields but this is probably not the only thing you should take into account in pricing that bond. I don't know if the bond you are trying to price would strictly qualify ...
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2 votes

Pricing a bond denominated in USD but issued in Europe

I would say price the bonds using USD yield curve. Many of these USD debt bonds (Sovereign and EM) trade as a spread to UST benchmark bonds.
  • 5,452
5 votes

Pricing a bond denominated in USD but issued in Europe

If this German company already has other similar debts denominated in USD, and you are able to observe the yields at which they trade, then you can just interpolate their yields to the maturity of ...
1 vote

Is there any way to get cashflow amount including cashflow date in QuantLib?

If you check the dates that were generated, you will see 10-06-2020 and not 11-06-2020.. ...
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4 votes
Accepted

Business day convention in fixed income

There is no universal answer. The coupon may or may not be daycounted. You should figure this out from the prospectus, rather than guess. The coupon is less likely to be daycounted if the top of the ...
6 votes
Accepted

Are risk-free-rate bonds and cash fungible?

First of all your statement is not quite correct. If you receive cash as collateral, you have to pay me interest at whatever rate we have agreed to (probably Fed Funds). If you receive bonds as ...
  • 14.3k
0 votes

Are risk-free-rate bonds and cash fungible?

Cash is King. The way I see it is that they are not fungible because they have different market risk profiles, Cash is truly market risk neutral while government bonds are not. In your scenario, what ...

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