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quanty
  • Member for 6 years, 3 months
  • Last seen more than a month ago
5 votes
4 answers
2k views

Why does the ultra long-end of a yield curve invert?

3 votes
2 answers
1k views

Why do par-yield shifts grow faster across the curve than spot-rate shifts when looking at key-rates?

3 votes
3 answers
877 views

How can we compute the daily drop in gross basis?

3 votes
2 answers
10k views

Why are FRA/futures convexity adjustments necessary?

3 votes
0 answers
104 views

How does the cryptocurrency market rely on USD Tether?

2 votes
1 answer
437 views

Can PCA be used to transform a ladder of interest rate risk?

2 votes
0 answers
578 views

What are some advanced methods for bond risk transformations?

2 votes
1 answer
3k views

Measuring bond fair value (richness/cheapness) using basic regression models?

2 votes
1 answer
378 views

What are the practical costs of repo for a bond trading desk?

2 votes
3 answers
2k views

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

1 vote
2 answers
195 views

Why do constant maturity bonds account for modified duration?

1 vote
0 answers
3k views

Why is the annuity factor proportional to the CV01?

0 votes
1 answer
910 views

Why is it desirable to receive fixed on a zero coupon swap, and undesirable to pay fixed on a zero coupon swap?

0 votes
1 answer
216 views

How are the notionals on proceeds-weighted bond butterflies calculated?

0 votes
1 answer
517 views

Why do increasing spot rates have to be equal to or larger than the corresponding par rates?

0 votes
1 answer
164 views

Can both good buying and good selling cause a bond to go special on repo?

0 votes
1 answer
156 views

Why can't central bank reserves ever leave the Fed's balance sheet?