All Questions
11
questions
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
1
vote
1
answer
102
views
How does historical data from bloomberg interact with timezones?
I'm running analysis on multiple countries bonds over a long stretch of time. I was asked about what determines the date of data in Bloomberg, ex: December 31st in NY will be January 1st in Japan and ...
- 11
0
votes
0
answers
35
views
How to compute Bloomberg T-Bill yield in BXT? [duplicate]
could any kind soul explain how are the Discount and Yield computed? Also, do they refer to “Discount Yield (daycount Act/360)” and “Yield (daycount Act/365)” respectively? Thank you!
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 ...
- 31
2
votes
3
answers
165
views
How do I derive a blend of a 3Y future and 10Y future risk?
So I have a portfolio of Govt. bonds that I'm trying to hedge with futures. Let's take one of the bonds out of the portfolio as an example.
In bloomberg, every bond and its future counterparts has a ...
- 25
0
votes
3
answers
4k
views
Definition of the field YAS_RISK for bonds on Bloomberg terminal
The Bloomberg terminal has the following definition for the field YAS_RISK (SP190): "Indicates the price sensitivity given shifts in interest rates." It does not specify, however, what currency is ...
- 13
-1
votes
1
answer
680
views
How to compare bonds in terms of volume traded in Bloomberg Excel Add-in?
I want to compare how much bonds of a handful of companies have been traded over the last years and pick the most traded bond for each company via the Excel add-in.
One example of what I have tried ...
- 133
0
votes
1
answer
3k
views
Generic bond yields
I was looking on historical sovereign bond yields for a project.
I was wondering what is meant by "generic bond yields" mentioned on bloomberg. Somewhere else i found data about the same country but ...
- 45
2
votes
1
answer
843
views
Sovereign bond CDS data
Does anyone know where I can download from historical data for sovereign bond CDS (credit default swaps) rates?
preferebly free?
- 45
1
vote
1
answer
2k
views
How does Bloomberg arrive at stub rate for swaps/floaters?
I'm trying to interpolate initial stub rate ( 'Index to' in the image ) for the following FRN pricing example.
Fixes on 2016/11/30
1m : 0.623670
2m : 0.742500
3m : 0.93417
Please be as specific as ...
- 46
2
votes
3
answers
3k
views
RQuantLib, Hoadley and Bloomberg YAS: fixed rate bond pricing differences?
I'm trying to price a fixed rate bond one year from now on.
The bond is the PEUGOT 7 ⅜ 03/06/18, whose ISIN code is FR0011439975. I'm using such a specific example because in this way everyone can ...
- 2,133