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Treasury futures wild card option (Monte carlo simulation)

I’d say you have the right ideas, and I’ll make a few comments: A) yields have been very volatile for the last couple months, and might be expected to be volatile for the next few cycles also. ...
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How can I optimize a Bond Portfolio in Practice?

You can use a mean variance optimizer such as Portfolio Visualizer to include different bond assets with various durations and yields, and backtest the historical returns based upon risk tolerance and ...
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How to calculate the yield of a perpetual bond that pays a floating coupon payment?

Let's stick with first principles and assume a single-curve world. Assume a discount factor curve $D_i\equiv D(t_i), t\geq 0, D(0)=1$. The risk-neutral expected forward rate from $t_i$ to $t_{i+1}=t_i+...
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How to calculate the yield of a perpetual bond that pays a floating coupon payment?

Projecting what the the market thinks the 3Mo LIBOR will be in 50 years is a little iffy. USD and EUR swap curves are liquid to 30 years. People mark swap rates up to 50 years but they don't print ...
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How to break down yield to maturity to different components?

I think I understand. You are trying to calculate the IRR of the a-cash flows and the b-cash flows individually ? But there are multiple solutions: you can partition the PV into PV(a) and PV(b) and ...
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