All Questions
63
questions
0
votes
0
answers
71
views
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
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
0
votes
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
2
votes
1
answer
134
views
Pricing bonds using comparables
I have a corporate bond xy that I would like to price looking at comparable bonds,
How do I identify comparables and what matrics should I look at to price my own xy bond? Should i just simply take ...
- 145
0
votes
0
answers
72
views
Is there a relationship formula between Bond YTM, ZSpread ( to OIS ) and OIS rate?
It seems to me that :
$$\begin{aligned}
P_{Dirty} &= \sum_i(\text{cashflow}_i * \exp( - \text{yield} * t_i ) ) \\
&= \sum_i( \text{cashflow}_i * \exp( - ( \text{OIS}...
- 1
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
0
votes
0
answers
106
views
How do i use this formula to find the YTM of a step up bond?
I'm trying to find the YTM for a step up bond that trades at par value, how do I use this formula? Since the par value and sale price is the same, and coupon payment is different each payment.
0
votes
0
answers
349
views
Bond Carry calculation
I had a couple of questions about carry:
$-Carry for a bond: Coupon Income - Financing Costs, if I want to convert this to bps running, would I just divide by the fwd Dv01?
My understanding is, the ...
- 31
0
votes
1
answer
345
views
Bond RV YTM vs maturity or YTM vs duration
I was reading some material online - seems to be a mixed bag of people who analyse yields vs maturity and yields vs duration.
To me, looking at yield vs maturity is slightly misleading - as, for a ...
- 31
0
votes
0
answers
72
views
Coupon/Financing adjustments to bond prices
I have seen similar questions asked although didn't really understand the answers. If i have bonds of similar duration why is it problematic for me to adjust for coupon differentials and for financing ...
- 31
0
votes
0
answers
96
views
Bond approximations
I was wondering where a couple of bond math approximations came from (aside from just 'feel'):
Pull to par impact:
I've seen this as (Coupon - YTM) / Yrs to Maturity which is approximately the ...
- 31
2
votes
1
answer
218
views
Strange Market Data YTM for a Zero Coupon Bond
I am trying to compute the YTM of the following Zero-Coupon Bond:
The issue date was 13-01-2022 and the maturity date was 14-01-2023.
For me, it seems strange that the price remains "almost ...
- 179
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
1
vote
0
answers
34
views
Why do some TIPS bonds have credit spread < 0 [duplicate]
If we look at the yield spreads on Bloomberg of some TIPS bonds, we see they have credit spread < 0 (i.e. their yield is even lower than their benchmark treasury bonds)
Why is that the case. ...
- 147