junior_pm's user avatar
junior_pm's user avatar
junior_pm's user avatar
junior_pm
  • Member for 3 years, 9 months
  • Last seen more than 1 year ago
2 votes
1 answer
5k views

What does the conversion factor for Treasury bond futures do in relation to the 6% coupon specification for the contract?

1 vote
0 answers
100 views

How does negative performance of a portfolio constituent affect its weight?

1 vote
3 answers
2k views

Why does the coupon effect mean that higher yields do not necessarily mean that a bond is more attractive?

1 vote
2 answers
7k views

How does one calculate carry-roll-down theoretically assuming expectations of short-term rates are realised

0 votes
3 answers
512 views

How does the term premium of the 10y20y Treasury forward rate relate to the 30y rate?

0 votes
0 answers
110 views

How do I calculate FX forward hedge ratio?

0 votes
1 answer
185 views

How does this formula for the price of a bond in terms of forward rates work?

0 votes
0 answers
43 views

Why do bonds with a shorter next call dates have shorter extension risk?

0 votes
1 answer
130 views

In the derivation of the Black-Scholes PDE, using delta hedging, how is this linked to the risk neutral valuation? [closed]

-1 votes
1 answer
369 views

Why is carry divided by DV01 to scale it?