All Questions
6
questions
3
votes
1
answer
226
views
Calculating spread on a par rate curve given bond’s coupon and yield
In Tuckman and Serrat’s Fixed Income Securities, they give an example of a bond and state its coupon and yield.
They also provide an HQM par rate curve and quote the bond’s spread to this curve.
How ...
- 31
2
votes
1
answer
472
views
Incorporating the I-Spread and Parallel Shift for Accurate Bond Pricing
I am currently working on pricing bonds and intend to utilize the S490 curve sourced from Bloomberg. This curve is constructed exclusively using swap rates. However, I have encountered challenges when ...
- 375
0
votes
1
answer
933
views
Coupon Adjusted Spread vs Z-Spread
Hi so I'm trying to figure out how to adjust for the coupon value in the Z-Spread of a given bond. For example we can take UKRAIN 9.75 11/28. The coupon is 9.75 which is quite a bit higher than the ...
- 25
2
votes
1
answer
191
views
Fair price of a coupon paying bond
Consider a coupon paying bond with a maturity of $3$ years, that pays coupon annually. Let $c$ be the coupon rate (percentage) and let $F$ be the face value. This means that the holder of the bond ...
- 165
1
vote
0
answers
142
views
Can someone suggest some good reads on OAS and Spread Duration?
I have been through the CITI Yield book paper and the OAS by Barclays. Is there is anything else that tackles this topic?
Any help would be much appreciated.
Cheers!
- 11
0
votes
1
answer
199
views
Calculate historical duration based on current duration & historical prices
Suppose I have today current duration of a bond and it's historical daily prices. How from that I can calculate the historical duration? e.g. the value of duration I would saw if yesterday, week ago, ...
- 257