Quantitative Finance
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quanty
  • Member for 5 years, 8 months
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17 Questions

Score Activity Newest Views
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
780 views

How can we compute the daily drop in gross basis?

3 votes
0 answers
98 views

How does the cryptocurrency market rely on USD Tether?

2 votes
0 answers
340 views

What are some advanced methods for bond risk transformations?

2 votes
2 answers
8k views

Why are FRA/futures convexity adjustments necessary?

2 votes
1 answer
291 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?

2 votes
1 answer
2k views

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

1 vote
2 answers
186 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?

1 vote
1 answer
158 views

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

0 votes
1 answer
151 views

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

0 votes
1 answer
140 views

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

0 votes
1 answer
867 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
187 views

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

0 votes
1 answer
357 views

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

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