All Questions
Tagged with fixed-income bond
330
questions
0
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0
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35
views
Factor model bond futures
I was reading the Lehman Brother Multifactor Futures Model and there are a few things I don't understand in the way they implement their model.
Firstly, they look at the fitted yields. When they look ...
0
votes
0
answers
30
views
Accrued interest need day counts, but day count conventions return year fractions [closed]
As far as I understand, the formula for accrued interest is $acc = couponInterest\cdot \frac{accruedDays}{couponDays}$.
But that fraction: $\frac{accruedDays}{couponDays}$, depends on the day count ...
0
votes
0
answers
39
views
Are there closed formulas for non-callable defaultable floating rates in a reduced form models?
currently, I am evaluating for my company the possibility to price defaultable bonds with stochastic default intensity. Precisely, I am considering using the G2++ model where one factor is the ...
- 1
0
votes
1
answer
80
views
Short bond convexity
Assuming you need to pick a bond to short. Is it better a bond with large or small convexity (all other things being equal)?
- 33
1
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0
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42
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How to value 3mo SOFR Spreads one year out, 2yr out
How does one value a 3mo spread spread in the far out future from present if fomc meeting schedule is only published for one year, and even with fomc's dot plot, it just shows the median expectation ...
- 11
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0
answers
71
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Modified Duration vs. Real-World Bond Price and Yield Changes
We know that modified duration at time $t$ of a bond with maturity $n$ is defined as:
$$
D_{nt} = - \frac{1}{P_{nt}} \frac{\partial{P_{nt}}}{\partial y_{nt}}
$$
And the definition of a derivative is:
$...
3
votes
0
answers
48
views
What is the Italian BTP yield calculation in last period?
I chose this example becuase it highlight two aspects I can't reverse engineer and can't find any official source documentation.
BTP: IT0005518128: 1/Nov/2022 -> 1/May/2033 at 4.4%.
If this bond is ...
- 11k
0
votes
1
answer
76
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Proving that Convexity approx. equals Duration squared but something goes wrong?
I am trying to derive a formula for bond convexity that I saw in a textbook which states that
$$\text{convexity} = \frac{\text{Macaulay duration}^2 + \text{Macaulay duration} + \text{dispersion}}{(1+\...
- 281
1
vote
1
answer
195
views
Estimating the price of an illiquid 5y bond futures contract
Say I know the price of 10y Gilt futures, 10y Treasury futures, 5y Treasury futures, and GBPUSD futures.
I am asked to produce a quote on 5y Gilt futures using only this data. What is a sensible ...
- 13
2
votes
1
answer
68
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Parallel shift in spot yield curve moves the IRR of a bond portfolio in the same direction: Analytical Proof
I am trying to prove that a parallel shift in the spot yield curve will as its effect have the IRR of a bond portfolio move in the same direction and by the same amount.
I have tested this on few ...
- 281
1
vote
0
answers
40
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Market Data UST
There a lot of new market data providers for retail algo traders.
For example the famous one for option is Theta Data Net and for Equities it is Polygon IO. You basically get all the greek/price data ...
1
vote
0
answers
72
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Bond Basis (non CTD)
I had a query regarding the trading of non CTD (but deliverable) basis. Obviously someone can buy non CTD basis (buy cash / sell bond future), with the hopes this widens, clearly I would not want to ...
- 598
5
votes
1
answer
278
views
Recommended Setup for QuantLib-Python AmortizingFloatingRateBond
I am trying to model a term loan in QuantLib-Python that makes quarterly interest payments at CME Term SOFR 3M + 10bps + 525bps paid in arrears with a 2 business ...
- 64
0
votes
0
answers
85
views
Why is accrued interest prorated linearly?
Cashflows from coupons and principal are discounted using the YTM to get PV of the bond in dirty price.
as shown here in this question
Misunderstanding of 'day counts' and accrued interest
...
3
votes
1
answer
226
views
Calculating spread on a par rate curve given bond’s coupon and yield
In Tuckman and Serrat’s Fixed Income Securities, they give an example of a bond and state its coupon and yield.
They also provide an HQM par rate curve and quote the bond’s spread to this curve.
How ...
- 31
0
votes
1
answer
163
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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
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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
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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
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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
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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
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0
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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
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1
answer
131
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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, ...
