All Questions
Tagged with fixed-income bond
330
questions
1
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1
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102
views
How does historical data from bloomberg interact with timezones?
I'm running analysis on multiple countries bonds over a long stretch of time. I was asked about what determines the date of data in Bloomberg, ex: December 31st in NY will be January 1st in Japan and ...
- 11
2
votes
1
answer
134
views
Pricing bonds using comparables
I have a corporate bond xy that I would like to price looking at comparable bonds,
How do I identify comparables and what matrics should I look at to price my own xy bond? Should i just simply take ...
- 145
2
votes
0
answers
98
views
Pricing Government Bonds use OIS or Gov. ZC Yields?
I am pricing government bonds ranging from JPN, GERMANY, UK, India to NIGERIA, MXN, ARG, Brazil etc.
What is the better approach to use OIS for each currency or build a curve using government zero ...
- 145
0
votes
0
answers
72
views
Is there a relationship formula between Bond YTM, ZSpread ( to OIS ) and OIS rate?
It seems to me that :
$$\begin{aligned}
P_{Dirty} &= \sum_i(\text{cashflow}_i * \exp( - \text{yield} * t_i ) ) \\
&= \sum_i( \text{cashflow}_i * \exp( - ( \text{OIS}...
- 1
0
votes
1
answer
405
views
How do you interpret the portfolio DV01?
I am having trouble understanding the active dv01 of a portfolio? If the active dv01 of a portfolio
is -10,000, what does that mean, all else equal? And what are different ways of increasing dv01 of a ...
1
vote
0
answers
53
views
Can I use Nielson Siegel to 'interpolate' par yield
The NS model initially set a parametric form for forwards and we can get equivalent zero rates. If I have a few par yields, can I simply fit the par yields to the NS form or the NS form of the zero ...
- 91
0
votes
0
answers
151
views
Bond future's roll (and other rolls)
I am missing some intuition on the above subject. Say I am long CTD basis (I.e. short futures):
I may opt to hold onto my position till last delivery for many reasons, say switch, wildcard etc. Why ...
- 598
1
vote
2
answers
756
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TBA - what is and isn't a TBA? (help please)
this is probably a naming issue - but i am totally confused as the documentation is never clear. I understand well what a generic TBA is, what is a "STIP"? is it also a form of TBA? One doc ...
- 31
3
votes
0
answers
175
views
True or false: roll-down return is negative when a bond is trading at a premium
These three sources all say that the bond roll-down effect is negative if the bond is trading at a premium:
https://www.investopedia.com/terms/r/rolldownreturn.asp
https://corporatefinanceinstitute....
- 31
0
votes
1
answer
374
views
Repo/Fwd/Spot/Bond Futures
I have a slight confusion with regards to what price the repo rate impacts.
Assume the repo for a particular bond richens. My current thought process is, spot should also richen (as now that bond ...
- 31
0
votes
0
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62
views
Is there another method besides DCF to evaluate a fixed-rate bond?
I am a beginner who recently found a job in the FICC sector. My superior gave me this question to think about: 'We have a bond with a 5% coupon rate and a maturity of 10 years, and the discount rate ...
- 11
1
vote
0
answers
46
views
Term structure building for credit risky bonds
I am trying to understand how, in practice, bonds (from simple corporate bonds to structured products like CDOs, ABS, MBS, etc.) are valued and marked to market.
-For corporate bonds,
...
- 145
1
vote
1
answer
125
views
PV different from Dirty Price in QuantLib
As far as I understand, dirty price is the sum of clean price and accrued amount and should be equal to the Present Value (PV) of a bond at a certain yield rate. However, I can't replicate this ...
0
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0
answers
106
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How do i use this formula to find the YTM of a step up bond?
I'm trying to find the YTM for a step up bond that trades at par value, how do I use this formula? Since the par value and sale price is the same, and coupon payment is different each payment.
0
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0
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35
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How to compute Bloomberg T-Bill yield in BXT? [duplicate]
could any kind soul explain how are the Discount and Yield computed? Also, do they refer to “Discount Yield (daycount Act/360)” and “Yield (daycount Act/365)” respectively? Thank you!
