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8 votes
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Recommended Setup for QuantLib-Python AmortizingFloatingRateBond

A few things before creating the bond: 1) You can delegate to the library the calculation of the dates. Your code is equivalent to: ...
Luigi Ballabio's user avatar
5 votes
Accepted

Is the "$\textit{theoretical}$" $DV01$ of a bond an accurate estimate?

Question 1: Not that often, usually finite difference is use to compute it (bump and reprice). See for example this complete step by step explanation of Bloomberg's DV01 computation in SWPM. ...
AKdemy's user avatar
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3 votes
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How to use exp(-r*t) to calculate tbill price

It's just a quote convention that likely comes from tradition before computers were prevalent. Calculating a "yield" from simple addition and multiplication/division is easier to do without ...
D Stanley's user avatar
  • 1,441
3 votes

Calculating spread on a par rate curve given bond’s coupon and yield

Z-Spread or OA-Spread (with no optionality) In Python's rateslib you can make the following calculation: Define a bond and a <...
Attack68's user avatar
  • 10.5k
2 votes

Is the "$\textit{theoretical}$" $DV01$ of a bond an accurate estimate?

A few thoughts: At time $t$, in this setup, price and yield to maturity (which I assume we're talking about as there's no time "attached" to $y$) are "equivalent" in the sense ...
Rylan's user avatar
  • 540
2 votes

Securities lending vs repo transactions

Repo and Reverse Repo transactions are basically collateralized loans. As with any loan, the interest can be quoted as a fixed percent, or a spread to a reference rate. In a Repo transaction, one is ...
AlRacoon's user avatar
  • 6,612
1 vote

Get bonds data in python

For US treasuries, treasurydirect.gov provides a rest API: https://www.treasurydirect.gov/legal-information/developers/web-api-security/ For corporates and everything else, you need either Bloomberg ...
Dimitri Vulis's user avatar
1 vote
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How do you interpret this data about corporate bonds?

Based on the given data, you are quite bullish on the short-term bonds, moderately bullish on the medium-term bonds, and bearish on the longer time duration bonds. Since the portfolio spread is wider ...
Mahavir Bhattacharya's user avatar

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