All Questions
Tagged with fixed-income bond
330
questions
0
votes
1
answer
101
views
Can one compute the total return of a fixed-rate bond without having the coupon? [duplicate]
Say that I have a historical series of yields and no coupon data because these yields come from a generic government bond, hence an constant maturity interpolation.
How would I go about computing the ...
1
vote
0
answers
298
views
Why is Bloomberg showing difference yields than US Dept of Treasury
I am using historical 30yr US treasury rates for a project. When I downloaded the rates from Bloomberg by queuing the history of the USGG30YR index, I found the numbers different from what US ...
1
vote
1
answer
185
views
How to construct a forward exposure portfolio with bonds?
I was asked in an interview to get an exposure to 5Y5Y forward rate using bonds alone. Essentially it is short 5Y bond and long 10Y bond, and I needed to compute the relative weights. Regarding risk:
...
2
votes
0
answers
308
views
Accrued interest on RFR Floating Rate Note
On fixed rate bonds and IBOR based floating rate notes the next cashflow is known definitively in advance, therefore the accrued interest for a given settlement date is a trivial calculation typically ...
0
votes
1
answer
139
views
Defaulted bonds valuation [closed]
How can I value corporate bonds in default?
I have access to both reuters and bloomberg terminals.
0
votes
1
answer
460
views
what is the rationale behind CTD (Cheapest to Deliver) mechanism in bond futures
why doesn't futures contract just stipulate a specific contract to be delivered. Is it because the futures seller cannot readily buy specific bond contracts?
0
votes
2
answers
331
views
Discount factors curve shapes
I have 2 discount factor curves;
DF 1
I expected every DF curve to have the shape of the 2nd one (almost a straight line), what does it mean economically when a DF curve has the shape of the 1st one? ...
1
vote
0
answers
38
views
Comparative statics on $c/r$ using fundamental asset pricing equation
Consider the fundamental asset pricing equation for a perpetual coupon bond:
$$rP = c + \mu P' + \sigma^2/2 P''$$
with standard boundary conditions $P(\bar x) = \bar x$ and $\underset{x\rightarrow \...
2
votes
1
answer
134
views
Definition of continuously compounded yield for perpetual defaultable coupon bond
In continuous-time asset pricing, the price of a defaultable perpetual coupon bond is given by
$$P(V) = \frac{c}{r}\left[ 1- \left(\frac{V}{V_b}\right)^{-\gamma}\right] + (1-\alpha)V_b \left(\frac{V}{...
0
votes
1
answer
272
views
1
vote
1
answer
333
views
Business day convention in fixed income
I have a question regarding the business day convention. Suppose I have a bond that matures on the 17th of September 2023 and pays an annual coupon of $1%$. It has a $30/360$ day-count convention and ...
0
votes
2
answers
111
views
Are risk-free-rate bonds and cash fungible?
I had a thought experiment: suppose you wanted to borrow an equity security from me (perhaps to short sell it). I ask you for collateral and a borrow fee, and in exchange you get the stock.
If you ...
1
vote
0
answers
117
views
Stripped treasury bond prices
I saw this paragraph in the SHV prospectus
The Underlying Index is market valueweighted based on amounts
outstanding of issuances consisting of publicly issued U.S. Treasury
securities that have a ...
1
vote
2
answers
148
views
Bond forward arbitrage relationships
I am trying to see if the following statement is true or not and I would really appreciate your help.
The statement is as follows:
$\forall $ Tradable Asset $V(t)$,
$$ E[\frac{P(t,T_{i})P(T_{i},T_{i+1}...
0
votes
1
answer
779
views
Negative Accrued for treasury bonds?
I am looking at some spreadsheets that show the US treasury bonds have some negative accrued. Why would that be the case? Shouldn't bond accruals always be positive?