All Questions
Tagged with fixed-income bond
22
questions
14
votes
4
answers
32k
views
question regarding carry & roll of a bond
I have a simple (and might be a dumb) question regarding the calculation of a bond's carry. If someone doesn't take into account cost of financing (e.g. the repo rate) then the bond's approximate ...
12
votes
3
answers
13k
views
How to calculate US treasury total return from yield?
I'm struggling to understand the meaning of US treasury total return.
What is easily available to get is yield data.
Yield can be directly translated to the bond price at that time.
In other words, ...
12
votes
1
answer
3k
views
Pricing Treasury futures
I've recently learned that at the delivery of Treasury futures the short side can decide which of the $n$ Treasury bonds (with relevant maturities) to deliver. If the short side chooses to deliver the ...
1
vote
1
answer
3k
views
Setting input parameters for Nelson Siegel Svensson model
I am trying to determine the parameters for the Nelson Siegel Svensson model and am solving a Non-Linear Optimization problem to do this.
I am trying to solve:
$$
\min_\theta{\sum{(p_i - \hat p_i)^2}...
3
votes
1
answer
571
views
Cap option on Libor
We denote discount factor $D(t),$ zero coupon bond $B(t,T),$ $E_t[X] = E[X|\mathcal{F}(t)]$ and $T$-forward measure $E_t^{T}[\ ]....
0
votes
1
answer
709
views
What is the value/price of a bond paying floating rate
I am going through J.C.Hull for swaps. Where he says we can value a swap using bonds. Let $B_{fl}$: value of floating rate bond, $L$ notional principal. Why is $B_{fl} = L$ just after a payment ? What ...
11
votes
6
answers
15k
views
What are some of the best textbooks on Fixed Income securities?
I'm looking for something that might be considered the 'Bible' of fixed income.
Ideally it would contain everything from the basics of PV and discounting cash flows all the way up to some of the most ...
3
votes
4
answers
3k
views
How to properly interpret accrued interest of bonds
Ever since I work in finance I was wondering what accrued interest (AI) are good for (see the wikipedia article for a short introduction). I think I have a clear picture in mind now and the usual ...
3
votes
2
answers
395
views
Allocating bond PnL in a similar way to swaps
In fixed income trading, a portfolio may have a large number of derivatives (swaps) positions which are typically aggregated into bucketed points on a curve and a PnL estimation is usually derived via ...
3
votes
1
answer
546
views
Yield of a Bond
If we have a coupon bearing Bond and want to calculate it's Yield then what is the standard practice to determine the ...
3
votes
2
answers
4k
views
Derive Perpetual Bond Price
It is known that a perpetual bond with coupon $c$ has price
$$P=\frac{c}{r}$$
How do you get to this price? Is $r$ stated in discrete or continuous compounding?
2
votes
0
answers
603
views
What are some advanced methods for bond risk transformations?
Consider a portfolio of bonds within a given yield curve (e.g. Gilt curve), consisting of positions in every bond in the curve. I'm looking for ways to transform the risk of the portfolio into ...
1
vote
1
answer
3k
views
Understanding how to calculate Accrued Interest of Bonds
When calculating the accrued Interest of Treasury Bonds, how does one set the settlement date? And, is it possible for certain bonds that there are no coupon payments before the settlement date and ...
1
vote
1
answer
2k
views
Calculating Accrued Interest of Bonds
I am trying to calculate the accrued interest for a set of Treasury Bonds. I am comparing the answer from the code below with that for the 1st Bond(row) over here. In the link the AI is ...
1
vote
1
answer
409
views
Correct Theoretical Discount Factors from Nelson-Siegel-Svensson?
I am calculating the theoretical discount factors associated with a bond that has 30 months to maturity from today with the parameters below obtained from here using the Nelson-Siegel-Svensson Model. ...