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There's different monetary policy tools. The FED decides the policy rate (Fed funds rate) and discount rate. It also trades short term securities through standard open market operations and bonds through quantitative easing. Previously monetary policy was more about changing the policy rate that's why you were told in school that the FED changes the interest ...


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They can also lower the discount window rate. But apparently there's a stigma for banks that use it.


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The Fed announces targets for where they will push prices with their (effectively unlimited) funds. So yes, they do in effect announce rate cuts. Furthermore, they often cut or raise rates on the discount rate, the rate at which they lend to banks, when they cut or raise the Fed Funds rate target. They may also lengthen or shorten the discount window (the ...


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It depends, sometimes dealers will mark to bid-side or where they have comparables to price to. It may be or it may not, it's largely a function of the trader's knowledge. No, CBBT is a valuation service not an actual quote. If you view a bond in BBG using ALLQ you may see where dealers are quoting live prices. The dealer's quote is likely to be close to the ...


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You're 90% of the way there. From here, you just need to set up a bond product, pass your yield curve into a pricing engine, and then you can price the bond using the engine # Create a bond instrument start_date, end_date = ql.Date(8, 2, 2020), ql.Date(8, 2, 2021) coupons = [0.10] coupon_freq = ql.Period(ql.Semiannual) semiannual_bond = ql.FixedRateBond(...


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I saved a file, which has fitted 1-year real yield sampled at monthly frequency. It's my own calculation; feel free to use it. The best alternative sources for this kind of data tend to be bank research portals (e.g., JPMorgan's research website has similar data). I thought I'd provide some unsolicited comments on why this series, IMO, is not particularly ...


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Intuition is just that the bond price by definition is a convex function of the rates, and the expectation of a convex function increases with volatility. Note that this result is model independent.


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