4 votes

Is there a word or phrase with similar meaning to bond yield, but meaning yield on the actual price paid for a bond some time ago?

You are specifically not considering the fair market price of the bond now, but only what you paid for it, and how much coupon/amortization it has paid out so far, no matter when. This ratio could be ...
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2 votes

Is there a word or phrase with similar meaning to bond yield, but meaning yield on the actual price paid for a bond some time ago?

You may be looking for "book yield" or "book yield-to-maturity". For a non-par bond, yield-to-maturity includes accretion to par over life, while current yield (i.e., coupon rate / ...
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1 vote

ML/AI in fixed income vs equity

These techniques are more popular for the equity market, especially in simple book examples, likely because: There are thousands of stocks just for the US market alone and the techniques can be ...
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  • 1,347
1 vote
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Convert UST Yield Curve to Spot Curve (Zero Coupon) using bootstrapping

I'll keep your simplifying assumptions that these bonds have exact 1y, 2y, etc. terms, annual coupons, and no accrued interest. For the 2y bond, you calculated correctly that the price of the 1st year ...
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1 vote
Accepted

Ten Year Note Futures Implied Repo Rate calculation from CME Understanding Treasury Futures Document

Inclined to say that if CME uses the same methodology as Burghardt, then the IRR is wrong (assuming all the inputs are correct in that table, which they seem). Using Bloomberg this is what we get: ...
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  • 895

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