All Questions
Tagged with fixed-income bond
90
questions with no upvoted or accepted answers
7
votes
0
answers
139
views
Predicting bond auction result. Should I train separate models for different maturity in face of Data deficiency?
Problem Statement
Trying to predict how bond auction result ( in terms of yield ) is different from its forecast (the when-issued yield ).
More info:http://www.mortgagenewsdaily.com/mortgage_rates/...
- 71
4
votes
0
answers
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
4
votes
0
answers
296
views
RQuantLib: any difference between FixedRateBond() and FixedRateBondPriceByYield() with flat term structure?
Please, consider the following functions from RQuantLib package:
FixedRateBond()
...
- 2,133
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
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
3
votes
0
answers
241
views
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
3
votes
0
answers
3k
views
Bond spreads - SQASW
I posted this question in the finance/economics arm but someone suggested this would be a more relevant place.
I have attached a photo of a list of bond issuance's in Australia. Could someone please ...
- 81
3
votes
0
answers
685
views
Modified duration and convexity of a bond in R
A soft question:
Are there any existing packages in R that allows one to compute the modified duration and convexity of bonds in R? If there isn't, how can one go about doing so (with formulas) with ...
- 205
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
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 ...
- 11k
2
votes
0
answers
62
views
The price of liquidity
We are currently in the US Treasury roll period when investors are rolling from the previously issued notes and bonds into the currently issued notes and bonds, aka "Rolling from Off-The-Runs to ...
- 6,642
2
votes
3
answers
480
views
How can I optimize a Bond Portfolio in Practice?
I'd like to optimize a bond portfolio with different bond classes (government bonds, corporates, ...) and different ratings as well as maturities. Is this even possible to optimize such a portfolio? ...
- 49
2
votes
0
answers
129
views
Holding cost of risky sovereign debt in Europe
I am trying to better understand the sovereign bond market in the eurozone. In particular is it costlier for some institutions to hold periphery country bonds that contain more credit risk than say ...
- 1,727
2
votes
0
answers
150
views
Pricing kernel representation
I am reading this paper https://mpra.ub.uni-muenchen.de/4969/1/MPRA_paper_4969.pdf pp.6-7 on discrete-time bond pricing. The model adopted is a a common affine model,
the short rate follows
\begin{...
- 21
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 ...
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