New answers tagged bond
4
votes
Accepted
How to price the convexity premium on a bond?
The relationship between price and yield is purely mechanical- the yield is just the discount rate that makes the present value equal to the price. There is no judgment about convexity within the ...
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0
votes
Accepted
DV01 Neutral Curve Spread
I wouldn't call the bond DV01s bond-spread DV01s unless you really do mean the DV01 of an ASW (?). They are just bond DV01s.
Yes you are correct. The underlying assumption in calculating these DV01s ...
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Extract yield volatility from bond option prices
You will need a Bond Option Pricing Formula which uses the yield volatility.
There is another question around Bond option on price vs bond option on yield
So, the payoff of your bond option is
$(K_P-...
- 526
2
votes
ctd change bond future
CTD changes do happen from time to time but as opposed to anything to do with switch options etc being excercised, due to very high volatilitly, it's due to more 'boring factors':
Some of these ...
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