VanillaCall
  • Member for 4 years, 5 months
  • Last seen more than 1 year ago
1 answers
12 votes
2k views
14 bookmarks
Pricing Treasury futures
3 answers
11 votes
3k views
7 bookmarks
Deriving Interest Rates
3 answers
10 votes
10k views
10 bookmarks
How to calculate US treasury total return from yield?
2 answers
10 votes
8k views
5 bookmarks
Why using the swap curve as riskfree rate and no longer gov bonds?
2 answers
9 votes
12k views
10 bookmarks
Best method for interpolating yield curve? [Multiple questions]
1 answers
9 votes
2k views
5 bookmarks
Is trading mean reversion of small principal components of prices profitable?
3 answers
8 votes
6k views
4 bookmarks
Why do we discount in ois and not treasuries
2 answers
7 votes
2k views
6 bookmarks
Why is there a price difference between 30 year principal and interest STRIPS?
2 answers
6 votes
484 views
2 bookmarks
Principal components in treasuries: spot vs futures
1 answers
6 votes
13k views
8 bookmarks
How do I calculate yield from a bond futures contract?
1 answers
5 votes
3k views
3 bookmarks
How to compute the yield on the Ultra-Bond Treasury Futures
1 answers
5 votes
3k views
2 bookmarks
Pricing an interest rate swap using Eurodollar futures
1 answers
4 votes
18k views
8 bookmarks
Conversion factor for bonds
1 answers
3 votes
2k views
4 bookmarks
Price of bond future, given a specific interest rate?
1 answers
3 votes
4k views
7 bookmarks
Cost of Carry Bear Flattener
2 answers
3 votes
493 views
2 bookmarks
What does the yield spread between an inflation linked treasury bond (TIPS) and a comparable treasury bond represent?
2 answers
3 votes
5k views
5 bookmarks
Determine the carry of a treasury bond futures contract?
2 answers
3 votes
2k views
2 bookmarks
Pricing an american style option on a bond future
1 answers
2 votes
2k views
5 bookmarks
How to trade interest rate futures calendar spread?
4 answers
2 votes
720 views
4 bookmarks
Treasury futures basis & calendar spd [multiple questions]
1 answers
2 votes
3k views
5 bookmarks
Principal Component Analysis and Yield Curves
1 answers
2 votes
5k views
6 bookmarks
Yield curve trading
2 answers
2 votes
650 views
2 bookmarks
Who determine Sport rate curve (Yield Curve)
2 answers
2 votes
913 views
2 bookmarks
Why AREN'T forward rates what the market expects of the spot rates?
2 answers
2 votes
3k views
2 bookmarks
Carry and Rolldown of a Premium bond
3 answers
2 votes
1k views
3 bookmarks
How does one price the market value and estimate the fair value of a bond futures roll?
1 answers
2 votes
329 views
2 bookmarks
Funding Treasury net basis trades and balance sheet
1 answers
2 votes
205 views
1 bookmarks
When a particular bond is delivered, why there is the need to define a conversion factor? What is its utility?
2 answers
1 votes
876 views
1 bookmarks
treasury bond cash future net basis
1 answers
1 votes
347 views
2 bookmarks
Quarter-end repo spike (Why not lock in longer repo)