All Questions
Tagged with fixed-income bond
330
questions
8
votes
1
answer
7k
views
Pricing a FixedRateBond in Quantlib: yield vs TermStructure
I am trying to price a simple U.S. treasury in QuantLib, using two methods. The first method calls FixedRatebond.dirtyPrice(...), passing in a YTM and other parameters.
The second method involves ...
- 193
1
vote
1
answer
2k
views
How to price zero coupon bonds with short term rates model?
I want to find the price of Zero coupon bond given a short rate model.
I think about Merton, Vasiceck, CIR, Ho & Lee models.
1) Given a simulation of $r_t$ how can I calculate $ P(t,T) = \mathbb{...
- 917
4
votes
1
answer
3k
views
What equation will convert implied yield volatility to implied price volatility?
I am trying to figure out how to turn implied yield volatility of a short-term interest rate into implied price volatility. Is there an equation to do this?
I have come across the equation for a ...
- 377
5
votes
3
answers
2k
views
What is the hedging underlying of MBS
I am working on hedging agency MBSs using treasury bonds. So my question raise as which treasury bond should more likely be a hedging underlying of a MBS. What is the matching criteria usually for MBS ...
- 85
1
vote
1
answer
243
views
If we modify duration, should we modify bond price? Options Futures and Other Derivatives
In Example 4.5 of Section 4.8 on Duration of Options, Futures and Other Derivatives (p.92), a bond's price and duration are computed assuming continuous compounding where the bond yield is y = 12%. ...
- 923
1
vote
1
answer
2k
views
Interpolating spot rates given intermittent coupon-bond prices.
I'm trying to bootstrap spot rates given coupon-paying bond data. To simplify my problem, assume we are working with only 3 given data, the price/coupon rate on semi-annual bonds maturing in 0.5, 1, ...
- 463
6
votes
1
answer
260
views
Arbitrage with freshly issued bonds
I recently heard someone mention an arbitrage strategy involving selling freshly issued bonds and buying the "old batch" as it has shown that the liquidity in the fresh batch motivates/drives up these ...
- 123
2
votes
1
answer
1k
views
Pricing credit risky bonds
How do we price credit risky bonds?
If I discount the cash flows using LIBOR/zero rates, it won't take the credit riskiness into account. So should I use a rate based on the issuer's credit spread? ...
- 33
9
votes
1
answer
1k
views
Bond convexity Treasuries futures
I know that long-duration bonds, on a a single bond basis, exhibit convexity. However, do Treasuries futures prices and the 10 year yield exhibit the same property?
Below is a plot of continuous 10 ...
- 2,108
7
votes
1
answer
973
views
Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function
Consider the RQuantLib package function FloatingRateBond().
This takes as inputs gearings ...
- 2,133
2
votes
3
answers
3k
views
RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences?
I'm trying to price a fixed rate bond one year from now on.
The bond is the PEUGOT 7 ⅜ 03/06/18, whose ISIN code is FR0011439975. I'm using such a specific example because in this way everyone can ...
- 2,133
4
votes
0
answers
296
views
RQuantLib: any difference between FixedRateBond() and FixedRateBondPriceByYield() with flat term structure?
Please, consider the following functions from RQuantLib package:
FixedRateBond()
...
- 2,133
2
votes
2
answers
4k
views
CTD and bond futures
I am reading a chapter on bond futures in Fabozzi's book. It states that without CF (conversion factor) the CTD (cheapest to deliver) would be the bond with the longest maturity and highest coupon. ...
- 121
2
votes
3
answers
2k
views
What is the clean price and dirty price of a risky bond?
Following up on this question: Yield of a risky bond, what is the definition of clean and dirty prices for a risky (defaultable, catastrophe, etc.) bond?
I would think the dirty price should ...
- 421
3
votes
4
answers
3k
views
How to properly interpret accrued interest of bonds
Ever since I work in finance I was wondering what accrued interest (AI) are good for (see the wikipedia article for a short introduction). I think I have a clear picture in mind now and the usual ...
- 13.8k