Questions tagged [fixed-income]
Securities which obligate the borrower/issuer to make payments on a fixed schedule. Fixed income securities include sovereign, corporate and municipal bonds, corporate loans, and securitized lending (e.g., ABS). "Fixed" refers only to the schedule of obligatory payments, not the amount, and may include inflation linked bonds, variable-interest rate notes, and the like.
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Modified Duration vs. Real-World Bond Price and Yield Changes
We know that modified duration at time $t$ of a bond with maturity $n$ is defined as:
$$
D_{nt} = - \frac{1}{P_{nt}} \frac{\partial{P_{nt}}}{\partial y_{nt}}
$$
And the definition of a derivative is:
$...
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IRS Swaps market
I would like to understand who are the major actors in the IRS Swap market and what's the major reason of the volume traded for a certain tenor.
I am not able to find any of this information that ...
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1
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Swap/Bond basis: Bond rates "too high" or swap rates "too low"?
I suppose this question is more of a discussion piece than a question per se, so I apologize in advance.
I've long been fascinated by the large negative basis between government bonds and swaps. These ...
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1
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Simple arbitrage pricing of bond option
This is Tuckman fixed income security textbook. The text here is trying to price a 990 six month call on a six month zero bond. When we replicate the portfolio, where is the F_.5 coming from?
My ...
4
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1
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229
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Calculating swap rolldown using the RatesLib Python Library
The code I am using is below, pulling in swap curves from BBG and then using RatesLib to price the swaps.
...
- 103
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What is the Italian BTP yield calculation in last period?
I chose this example becuase it highlight two aspects I can't reverse engineer and can't find any official source documentation.
BTP: IT0005518128: 1/Nov/2022 -> 1/May/2033 at 4.4%.
If this bond is ...
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124
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Rates Curve 'Realising' vs 'Rolling'
Just saw an exchange on X and would appreciate if anyone could try their hand at going into a bit more detail (and even maybe using an example) to breakdown the conceptual difference of rates curves '...
- 103
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Proving that Convexity approx. equals Duration squared but something goes wrong?
I am trying to derive a formula for bond convexity that I saw in a textbook which states that
$$\text{convexity} = \frac{\text{Macaulay duration}^2 + \text{Macaulay duration} + \text{dispersion}}{(1+\...
- 281
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Estimating the price of an illiquid 5y bond futures contract
Say I know the price of 10y Gilt futures, 10y Treasury futures, 5y Treasury futures, and GBPUSD futures.
I am asked to produce a quote on 5y Gilt futures using only this data. What is a sensible ...
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Parallel shift in spot yield curve moves the IRR of a bond portfolio in the same direction: Analytical Proof
I am trying to prove that a parallel shift in the spot yield curve will as its effect have the IRR of a bond portfolio move in the same direction and by the same amount.
I have tested this on few ...
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Different CLOB for ONTR securities
I was trying to find the list of all the CLOB for on-the-run UST.
I know the following: BrokerTec, TradeWeb which both have different CLOB for ONTR UST.
I think Virtu Financial also has one, but I am ...
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1
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What's the rate of return on a mortgage?
I'm trying to understand mortgages from first principles, from the perspective of a borrower.
Let $S_t$ be the price of the asset bought with the loan at time $t$ (i.e. house). Let $\alpha$ be the ...
- 525
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What are the assumption in the DTS paper
In the original Duration Times Spread paper from Arik Ben Dor
, Lev Dynkin, Jay Hyman
, Patrick Houweling
, Erik van Leeuwen and Olaf Penninga
, the authors define a change in spread as follows:
...
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Market Data UST
There a lot of new market data providers for retail algo traders.
For example the famous one for option is Theta Data Net and for Equities it is Polygon IO. You basically get all the greek/price data ...
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Bond Basis (non CTD)
I had a query regarding the trading of non CTD (but deliverable) basis. Obviously someone can buy non CTD basis (buy cash / sell bond future), with the hopes this widens, clearly I would not want to ...
- 550