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3

The difference is that they are completely different things. Let's start with gold futures. Gold futures, if held to delivery, delivery spot gold -- say 100oz gold bars out of NY. So if you sell front gold, roll to next, and so on, you effectively are short a future against the "same gold". Or you can think of it like that because being short Feb ...


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first of all, I guess you mean coupon rate is 14%? which means it pays 7 after 6 months and then 107 after another 6 months? then your formula should be 100 = 7/(1+z/2)+ 107/(1+z/2)^2 this gives you the Yield to Maturity, assuming the current bond price is at par(i.e. 100)


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Because exchahnge-traded FX futures have standard monthly dates, it's very unlkely that you can use FX futures to replicate exactly the bond's coupons. However you can use a series of OTC FX forwards or a cross-currency swap to swap some bond's coupons into another currency (fixed or floating). Look up "cross-currency asset swap". For example, you ...


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You might be able to trade CDX NA IG to hedge your North American investment grade credit spreads, CDX HY to hedge high-yield credit spreads, etc. Here are the Markit indices https://ihsmarkit.com/products/markit-cdx.html , https://www.markit.com/markit.jsp?jsppage=indices.jsp - note that some indices listed here are not liquid. There are some ETFs linked to ...


4

I don't think you can make a such a statement. As a simplification let's assume that there is only one bond eligible for delivery into the futures (hence the CTD does not change, and the short's switch option value is 0). Carry of a long basis trade (i.e., long cash bond and short futures now, deliver bond into the futures at delivery) is decomposed into $$...


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Short answer: Gamma is computed differently; price is quoted by the exchange in a way QuantLib does not compute Long answer: BBG's DES page computes Gamma as 1% chg in underlying - there is also no flexibility with the DES page and frequently this is not the best calc they offer. However you can load any listed option in their OTC pricers to get listed ...


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Some categories of bond issuers, particularly some financial institutions, have regulatory requirements to jump through some mildly annoying liquidity hoops when they have outstanding bonds with less than 1 year left to maturity. Such issuers often find it more convenient to issue bonds that have a call date 1 year (or sometimes more) before maturity. You ...


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Zero-coupon bonds are sold at a price that's the fair value of their face value. When interest rates are positive, this means pricing at discount. When an existing bond issue is tapped (re-opened), more bond with the same coupon and maturity is sold at whatever price is considered fair in the secondary market, not necesarily par. Newly issued coupon bonds ...


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Actually you can use the swaps curve to price such bond for forwarding and discounting if you only assume that the bond has the same credit risk, liquidity risk as the swaps curve. In practice this is almost never the case - in practice the floating payments are forwarded from swaps curve but we consider credit spread in discount factors. But let's assume ...


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