All Questions
Tagged with fixed-income bond
330
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 ...
- 233
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 ...
- 1,484
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, ...
- 123
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 ...
- 263
9
votes
1
answer
512
views
Why can CDS indices be used as a bond market index?
I don't understand why the iTraxx indices family, which are credit default swap indices, are in practice often used to gauge the bond market. How are CDS prices related to bonds prices?
And what other ...
- 808
9
votes
1
answer
1k
views
Bond convexity Treasuries futures
I know that long-duration bonds, on a a single bond basis, exhibit convexity. However, do Treasuries futures prices and the 10 year yield exhibit the same property?
Below is a plot of continuous 10 ...
- 2,108
9
votes
1
answer
1k
views
Issue with OLS Regression for Nelson Siegel Svensson parameters
I have been working on getting input parameters to the Non-Linear Optimization which gives the Nelson Siegel Svensson model parameters and am carrying out the OLS regression as described in this ...
- 845
8
votes
1
answer
7k
views
Pricing a FixedRateBond in Quantlib: yield vs TermStructure
I am trying to price a simple U.S. treasury in QuantLib, using two methods. The first method calls FixedRatebond.dirtyPrice(...), passing in a YTM and other parameters.
The second method involves ...
- 193
7
votes
7
answers
1k
views
Investment Grade Bond vs Junk Bond, whose duration is larger?
Just wondering how to calculate duration when take credit risk into consideration.
I think if duration is calculated as weighted average of cashflow time, and weights are calculated using present ...
- 171
7
votes
1
answer
973
views
Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function
Consider the RQuantLib package function FloatingRateBond().
This takes as inputs gearings ...
- 2,133
7
votes
2
answers
685
views
How can we have negative probabilities in finance? Can we have negative payments in bonds? If not, how else can we have negative probabilities?
In Half of a Coin: Negative Probabilities, the author mentions bond duration.
Suppose we have payments at times $t = 1,2,...,n$ denoted respectively by $R_1, R_2, ..., R_n$ and the discount factor is ...
- 923
7
votes
1
answer
387
views
difference of carry for zero coupon bonds in Pedersen and Ilmanen
I know that carry was discussed broadly on this forum but I can't get my head around the following difference.
If we talk about carry / rolldown I have trouble to see the connection / differences ...
- 157
7
votes
1
answer
617
views
Wrong discount factors when finding Nelson Siegel Svensson model parameters
I am trying to determine the parameters for the Nelson Siegel Svensson model and am solving a Non- Linear Optimization problem to do this. Some of the code I have written is below and this is where my ...
- 845
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
6
votes
1
answer
260
views
Arbitrage with freshly issued bonds
I recently heard someone mention an arbitrage strategy involving selling freshly issued bonds and buying the "old batch" as it has shown that the liquidity in the fresh batch motivates/drives up these ...
- 123