All Questions
Tagged with fixed-income bond
330
questions
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349
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Bond Carry calculation
I had a couple of questions about carry:
$-Carry for a bond: Coupon Income - Financing Costs, if I want to convert this to bps running, would I just divide by the fwd Dv01?
My understanding is, the ...
- 31
1
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0
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42
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How can a bond price that follows an Ito process possably have value 1 at maturity? [closed]
Consider the HJM model for instance. According to Wikipedia, the price $P(t,T)$ of a ZCB at time $t$ with maturity time $T$ is of the form
$$
{\displaystyle {\frac {dP(t,T)}{P(t,T)}}=\mu\left(t,T\...
- 61
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votes
1
answer
345
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Bond RV YTM vs maturity or YTM vs duration
I was reading some material online - seems to be a mixed bag of people who analyse yields vs maturity and yields vs duration.
To me, looking at yield vs maturity is slightly misleading - as, for a ...
- 31
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72
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Coupon/Financing adjustments to bond prices
I have seen similar questions asked although didn't really understand the answers. If i have bonds of similar duration why is it problematic for me to adjust for coupon differentials and for financing ...
- 31
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votes
1
answer
859
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Relative Value and Z-spreads
I wanted to understand how I can use Z-spreads in the context of gov bond RV.
I understand how to compute Z-spreads although I am having some trouble interpreting the meaning. I am solving for the ...
- 31
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102
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UST bootstrapping (coupon bearing or strips)
how common is it to use the US STRIP market directly to bootstrap a par yield curve? I am having quite a few problems using cubic (peicewise) splines on coupon bearing yield curve, but I see a fair ...
- 31
1
vote
2
answers
474
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Different maturities but same tenor to obtain the yield
My question is in regards to obtaining the yield of a specific tenor at any date (for example, when constructing the yield curve). For example, when calculating the yield for a specific zero-coupon (...
- 21
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96
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Bond approximations
I was wondering where a couple of bond math approximations came from (aside from just 'feel'):
Pull to par impact:
I've seen this as (Coupon - YTM) / Yrs to Maturity which is approximately the ...
- 31
2
votes
1
answer
118
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Credit Spread Replication by Long/ Short Bonds
I am trying to derive the credit spread using an hypothetical portfolio of a long corporate bond plus a short treasury bond, which have the exact cashflows. I should be able to get the credit spread ...
2
votes
1
answer
472
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Incorporating the I-Spread and Parallel Shift for Accurate Bond Pricing
I am currently working on pricing bonds and intend to utilize the S490 curve sourced from Bloomberg. This curve is constructed exclusively using swap rates. However, I have encountered challenges when ...
- 375
2
votes
1
answer
177
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Days to settlement for US corporate bonds
This question may be not be very relevant to quantitative finance, but I guess fixed-income modellers may encounter this some time as well.
The question is about the days to settlement for US ...
- 178
0
votes
1
answer
201
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QuantLib FixedRateLeg cashflow date shifting issue with Unadjusted convention
I'm using the QuantLib library in Python to generate a payment schedule and cashflows for a fixed-rate bond. I added a holiday to the calendar and used the ql.Unadjusted convention in the ql.Schedule()...
- 49
3
votes
0
answers
241
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Futures basis (Bond) optimal delivery
i have a confusion regarding how the basis converges in a couple of scenarios. Lets assume I am long UST CTD Basis
Say the curve is upward sloping:
optimally, i would choose to make delivery of the ...
- 41
2
votes
1
answer
218
views
Strange Market Data YTM for a Zero Coupon Bond
I am trying to compute the YTM of the following Zero-Coupon Bond:
The issue date was 13-01-2022 and the maturity date was 14-01-2023.
For me, it seems strange that the price remains "almost ...
- 179
1
vote
1
answer
345
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How to calculate returns for interest rate futures
Say we have the active German government bond future, RXH3 and we wanted to calculate a series of returns for the active contract.
Would we calculate returns on the daily price difference? And if so, ...
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