All Questions
Tagged with fixed-income bond
330
questions
0
votes
1
answer
163
views
Securities lending vs repo transactions
I have recently started on a repo/SBL trading desk and I am struggling to understand some theory. Normally, in a secured hard-to-borrow secured transaction, I pledge general collateral, receive the ...
1
vote
0
answers
81
views
Setting up QuantLib to get correct yield for bond with long first payment period
I am dealing with fixed rate bonds. There is one particular bond, 34659UAC0, that caught my eye. This bond has a first coupon period of a whopping 5 years, followed by regular periods of 6 months. My ...
- 11
1
vote
0
answers
243
views
Bond basis arbitrage
The popular media refers to US.bond future basis trades in some contracts as arbitrage..they cite that as the future trades richer to cash hedge funds can buy basis and make money.
I'll assume they'...
- 598
0
votes
1
answer
104
views
Simulating the Term Structure of Interest Rates in the CIR model
I have successfully implemented the CIR model of the short rate, and now want to use these short rate paths to construct distributions of various tenors - 2y, 3y, 5y, 10y for example - across the ...
- 35
1
vote
1
answer
290
views
GBP OIS Curve - Zero Rate Curve Calculation in Quantlib
I am new to Quantlib and I am looking to create a Zero Rate Curve from GBP OIS to then use to calculate the present value of fixed rate bonds.
I have Looked at the documentation:
https://quantlib-...
1
vote
4
answers
200
views
Why are random coupons not priced using risk-neutral evaluation?
Assume a fixed coupon bond has a coupon which, randomly, is 5 % or 4 %, each occuring with a 50 % probability. The issuer flips a coin on payment date to decide which it should be.
I would value this ...
- 141
2
votes
2
answers
477
views
Bond curve fitting, practical question
when fitting gov bond curves, What are different logic's used by traders to set the weight for the different bonds ?
- 33
0
votes
0
answers
72
views
Par Yield vs Spot Rate Term Structure
Using bootstrapping, i can derive spot rate curve from Treasury par yield curve. I added a couple extra maturities to the par curve, 60 year at +10bps to 30 year, then hold flat for the next 50 year. ...
- 1
3
votes
2
answers
273
views
QuantLib calculations for a Canadian corporate fixed rate bond differ from BBG YAS
I am pricing a non-callable, fixed-rate, Canadian corporate bond with the following parameters:
Name
Value
CUSIP
12657ZAT0
Evaluation Date
2/14/2024
Settlement Date
2/16/2024
Bond Issue Date
3/6/...
- 31
0
votes
0
answers
43
views
Bootstrapping annual and semi annual bond [duplicate]
https://www.wallstreetmojo.com/bootstrapping-yield-curve/
a) This is the standard method for bootstrapping:
From the 0.5-year maturity the spot rate or the discount rate is 3% and let us assume the ...
3
votes
2
answers
395
views
Allocating bond PnL in a similar way to swaps
In fixed income trading, a portfolio may have a large number of derivatives (swaps) positions which are typically aggregated into bucketed points on a curve and a PnL estimation is usually derived via ...
- 11k
0
votes
0
answers
85
views
What are the drivers for tapping a bond?
I believe there are several drivers which bring a government to tap a bond:
Reduced issuance in that particular bond line
Liquidity of the bond
Attractiveness of the bond
Price above par
Could you ...
- 59
4
votes
1
answer
241
views
Inflation Bond accrued inflation
Let's say an inflation bond has inflation adjusted coupons and nominal. With respect to dirty and clean price, is the accrued inflation of the nominal usually included in the clean quote? For example, ...
- 143
4
votes
0
answers
131
views
Decomposing a bond's excess returns into duration, volatility, and market-price-of-risk. Discrepancy/confusion with Rebonato text
I am working on deriving the formula for the market price of risk for zero-coupon bonds and the associated formula for the excess returns. I am following the derivation in Appendix 12.6 of Rebonato's ...
- 105
0
votes
1
answer
131
views
QuantLib FittedBondDiscountCurve does not produce expected rates
I am using the QuantLib library to fit yield curves. For a $\\\$100$ face bond, with price equal to $\\\$100$, and coupon equal to $\\\$0$, I would expect it to provide a zeroRate of $0.0\%$.
However, ...
