New answers tagged fixed-income
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Show that a zero-coupon bond discounted by a bond with mautrity $T$ is a martingale under the $T$-Forward measure
It is true by definition of the $T$-forward measure.
Which is the measure that makes every tradable asset discounted by the $T$-bond a martingale.
For the uniqueness of one of the comments, not all $T$...
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Nomenclature for Swap Spreads
I wouldn't say "flattening" (for the ASW box), but if someone else did this is what I would assume - selling the box. But it's not a good assumption as there is not an official term. When ...
- 12.1k
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How to price the convexity premium on a bond?
The relationship between price and yield is purely mechanical- the yield is just the discount rate that makes the present value equal to the price. There is no judgment about convexity within the ...
- 17.9k
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Backtesting an Interest Rate Swap Strategy
There is no such thing as a rolling 2Y1Y IRS (sure you can plot a rate on a chart but you cant trade it).
If on day T, lets call it Monday 18th Nov 2024, you execute a 2Y1Y swap then that swap will ...
- 12.1k
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Taking into account liquidity risks when calculating volatility
The term liquidity risk is used to mean two different things. There are many books and web pages about liquidity risk in the sense of asset liability management, over-simplifying - the fear that while ...
- 13.2k
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DV01 Neutral Curve Spread
I wouldn't call the bond DV01s bond-spread DV01s unless you really do mean the DV01 of an ASW (?). They are just bond DV01s.
Yes you are correct. The underlying assumption in calculating these DV01s ...
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ctd change bond future
CTD changes do happen from time to time but as opposed to anything to do with switch options etc being excercised, due to very high volatilitly, it's due to more 'boring factors':
Some of these ...
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