All Questions
34
questions
0
votes
1
answer
80
views
Short bond convexity
Assuming you need to pick a bond to short. Is it better a bond with large or small convexity (all other things being equal)?
- 33
0
votes
1
answer
104
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Simulating the Term Structure of Interest Rates in the CIR model
I have successfully implemented the CIR model of the short rate, and now want to use these short rate paths to construct distributions of various tenors - 2y, 3y, 5y, 10y for example - across the ...
- 35
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
0
votes
0
answers
43
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Bootstrapping annual and semi annual bond [duplicate]
https://www.wallstreetmojo.com/bootstrapping-yield-curve/
a) This is the standard method for bootstrapping:
From the 0.5-year maturity the spot rate or the discount rate is 3% and let us assume the ...
-2
votes
1
answer
514
views
Why is carry divided by DV01 to scale it?
If I understand correctly, 6M carry in a fixed-floating interest rate swap should be the difference between the fixed and floating leg.
When I read this on Page 2:
https://corporate.nordea.com/api/...
- 59
1
vote
1
answer
146
views
Why did Ginnie Mae MBS Net issuance decrease significantly in 2020-2021?
Net Issuance of Agency MBS can be thought of as driven by Existing Home Sales, New Home Sales, Cash out Refis, Amortization and Non-Agency MBS runoff. Based on this definition of net issuance, is ...
0
votes
4
answers
1k
views
Does IRR (and therefore YTM) assume that all cashflows are reinvested at the IRR (or YTM)? If so, how does IRR the formula show this?
There are many articles I have read recently that say the reinvestment of interim cashflow idea in the IRR is a fallacy though I am not sure who to believe since so many resources, for example ...
0
votes
0
answers
726
views
Why is an FRN price equal to par on every reset date?
In the book "The money markets handbook" by Moorad Choudhry, it says that "on the coupon reset date an FRN will be priced precisely at par".
Why is this? Would it not discount the ...
- 59
0
votes
0
answers
456
views
A list of the 01's in the corporate bonds
I have frequently heard terms like DV01, CV01, PV01. Where can I get a list of these glossaries to study? I am not looking for a detailed explanation, just really a list.. Once I have the list, I can ...
- 775
2
votes
0
answers
150
views
Pricing kernel representation
I am reading this paper https://mpra.ub.uni-muenchen.de/4969/1/MPRA_paper_4969.pdf pp.6-7 on discrete-time bond pricing. The model adopted is a a common affine model,
the short rate follows
\begin{...
- 21
0
votes
0
answers
67
views
Euribor + margin
I have this bond assigment where I have to calculate the CF each quarter, given a constant EURIBOR3M rate of -0,539%. There is also a 1,6% margin per annum that I have to take into account. The ...
-3
votes
1
answer
58
views
Using compound interest rate in wrong way
I will explain the problem with an example.
Today (14/03/2021) y agree a Zero-Coupon Mortgage with a nominal of a milion dolars an with an annual interest rate compounded annualy and with an ACT/360 ...
- 179
0
votes
1
answer
166
views
Can both good buying and good selling cause a bond to go special on repo?
A bond is known to go special when its repo rate gets particularly low relative to the GC (General Collateral) repo rate.
In my mind, this can be caused by two scenarios:
1. Institutional interest to ...
- 439
2
votes
1
answer
411
views
What are the practical costs of repo for a bond trading desk?
I appreciate what a repo/reverse repo transaction is, but I'm struggling to understand exactly how the cost of funding trades via repo works from a practical point of view for a bond trader.
Current ...
- 439
1
vote
1
answer
114
views
How can the face value of a bond not be a round number?
I'm reading Bruce tuckman's "fixed income securities" and I'm at the section that is explaining arbitrage. In the chart below, the cash flows are based off the biannual interest rates * the ...
- 135