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5
questions
1
vote
2
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148
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Bond forward arbitrage relationships
I am trying to see if the following statement is true or not and I would really appreciate your help.
The statement is as follows:
$\forall $ Tradable Asset $V(t)$,
$$ E[\frac{P(t,T_{i})P(T_{i},T_{i+1}...
- 267
1
vote
3
answers
606
views
How does the term premium of the 10y20y Treasury forward rate relate to the 30y rate?
I'm reading recent research on Treasuries and to paraphrase, it says that long term 10y20y Treasury forward rates now have a positive term premium over the long run nominal funds rate (neutral rate).
...
- 59
0
votes
0
answers
288
views
Carry & Roll, roll down current curve valid assumption?
The assumption for calculating the roll of a fixed income instrument is that you roll down the current spot curve. So if 10y rate is 2% and 9.5y is 1.8% the carry for the coming 6 month horizon is ...
- 31
1
vote
2
answers
8k
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How does one calculate carry-roll-down theoretically assuming expectations of short-term rates are realised
I am not asking for an explanation that is hugely quantitative, but rather one that is more intuitive.
I am aware that there are different assumptions that one could take when it comes to carry-roll-...
- 59
0
votes
1
answer
198
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How does this formula for the price of a bond in terms of forward rates work?
I am currently reading Chapter 3 of Tuckman's 'Fixed Income Securities' and it states that we can write the price of a bond using its term structure in terms of forward rates but with periods of ...
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