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VanillaCall
  • Member for 5 years, 1 month
  • Last seen more than 2 years ago
12 votes
3 answers
3k views

Deriving Interest Rates

  • 587
12 votes
3 answers
11k views

How to calculate US treasury total return from yield?

  • 123
12 votes
1 answer
2k views

Pricing Treasury futures

  • 1,474
10 votes
2 answers
8k views

Why using the swap curve as riskfree rate and no longer gov bonds?

  • 5,669
9 votes
2 answers
13k views

Best method for interpolating yield curve? [Multiple questions]

  • 335
9 votes
1 answer
2k views

Is trading mean reversion of small principal components of prices profitable?

  • 1,080
8 votes
3 answers
6k views

Why do we discount in ois and not treasuries

  • 701
7 votes
2 answers
2k views

Why is there a price difference between 30 year principal and interest STRIPS?

7 votes
1 answer
15k views

How do I calculate yield from a bond futures contract?

  • 859
6 votes
2 answers
517 views

Principal components in treasuries: spot vs futures

  • 1,533
5 votes
1 answer
3k views

Pricing an interest rate swap using Eurodollar futures

  • 587
5 votes
1 answer
3k views

How to compute the yield on the Ultra-Bond Treasury Futures

  • 931
4 votes
2 answers
6k views

Determine the carry of a treasury bond futures contract?

  • 118
4 votes
1 answer
18k views

Conversion factor for bonds

3 votes
1 answer
2k views

Price of bond future, given a specific interest rate?

  • 31
3 votes
1 answer
4k views

Cost of Carry Bear Flattener

3 votes
2 answers
542 views

What does the yield spread between an inflation linked treasury bond (TIPS) and a comparable treasury bond represent?

  • 133
3 votes
2 answers
2k views

Pricing an american style option on a bond future

  • 233
2 votes
2 answers
687 views

Who determine Sport rate curve (Yield Curve)

  • 423
2 votes
1 answer
2k views

How to trade interest rate futures calendar spread?

  • 335
2 votes
4 answers
840 views

Treasury futures basis & calendar spd [multiple questions]

2 votes
1 answer
4k views

Principal Component Analysis and Yield Curves

  • 63
2 votes
1 answer
6k views

Yield curve trading

  • 21
2 votes
2 answers
928 views

Why AREN'T forward rates what the market expects of the spot rates?

2 votes
2 answers
3k views

Carry and Rolldown of a Premium bond

  • 25
2 votes
3 answers
2k views

How does one price the market value and estimate the fair value of a bond futures roll?

  • 409
2 votes
1 answer
356 views

Funding Treasury net basis trades and balance sheet

2 votes
1 answer
227 views

When a particular bond is delivered, why there is the need to define a conversion factor? What is its utility?

  • 133
1 vote
2 answers
1k views

treasury bond cash future net basis

  • 301
1 vote
1 answer
359 views

Quarter-end repo spike (Why not lock in longer repo)