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How would one calculate yield to first call for a debt security which is currently and always callable?

The scenario of analyzing YTC across a portfolio with multiple callable extended warehouse lines involves considering the earliest date at which each individual line can be called, but it doesn’t ...
TourEiffel's user avatar
3 votes
Accepted

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
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2 votes

Bonds in a zero interest rate environment

In addition to @dm63's answers, it's worth noting that there won't necessarily be a free, zero-risk alternative. Bank accounts are only insured up to a certain balance (depends on where the bank is ...
Rylan's user avatar
  • 430
2 votes

Bonds in a zero interest rate environment

Couple of possibilities A) at the time, many believed that rates would indeed stay low for a long time and/or would actually go negative. Seems ridiculous now but that is with hindsight. B) many ...
dm63's user avatar
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3 votes
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QuantLib Python: Calculate ZSpread

You can see the interface of zSpread declared at https://github.com/lballabio/QuantLib-SWIG/blob/v1.33/SWIG/bondfunctions.i#L146. It takes a shared_ptr to term ...
Luigi Ballabio's user avatar
-1 votes

QuantLib Python: Calculate ZSpread

The error message suggests that there may be an issue with the number or type of arguments you are passing to the BondFunctions.zSpread function. The ...
Sane's user avatar
  • 212
2 votes

US treasuries TRACE

It is publicly available as of very recently. https://www.finra.org/rules-guidance/notices/24-06
dm63's user avatar
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0 votes

US treasuries TRACE

According to https://www.finra.org/investors/insights/what-is-TRACE U.S. Treasury securities, which represent the latest expansion of the program, are also reported to TRACE though currently aren’t ...
Dimitri Vulis's user avatar
1 vote

Simulating the Term Structure of Interest Rates in the CIR model

A theoretically sound IR process always reflects today's yield curve. Compounding short rates does not sound reasonable, say today's short rate is 1% and the 1 month spot is 2%, you are way off ...
Arshdeep's user avatar
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0 votes

Interest rate swaps - if i expect rates to be cut later than market expectations, what swap can I put on?

The way to trade this is to put on a FOMC swap - where the start and end date is the meeting date, the underlying can be sofr or fedfunds(ff) and the notional can be the pv01 of risk you want to put ...
CurveGamma's user avatar
1 vote
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Approximate 5y swap rate move in 1 tick move in 5y treasury

You'd be assuming swap spreads are constant, but a 1tick change in the 5y otr, is approximately -0.7bps on the swap
user68819's user avatar
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