All Questions
11
questions
1
vote
4
answers
200
views
Why are random coupons not priced using risk-neutral evaluation?
Assume a fixed coupon bond has a coupon which, randomly, is 5 % or 4 %, each occuring with a 50 % probability. The issuer flips a coin on payment date to decide which it should be.
I would value this ...
- 141
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
1
vote
0
answers
80
views
Tree Pricing FRN Implementation
When pricing a bond via a short rate model on a tree, it seems natural to include intermediate time steps in addition to those corresponding to cashflow dates (i.e. for bonds with American style ...
- 11
2
votes
2
answers
611
views
If I have the present value of an amortizing bond's cashflows, how do I figure out price?
Say that I correctly compute the sum of the cash flows of a given bond. How does this relate to the quoted price that most people understand? For example, based on the stream of cashflows of a bond ...
- 23
4
votes
2
answers
436
views
How could Renaissance Technologies have near real-time prices on corporate bonds and other debt? [closed]
Julie Segal, What Renaissance Technologies has that you don't..., Institutional Investor, October 17, 2017.
Does this just mean they are aggregating data from vendors like MarketAxess? Or is ...
1
vote
1
answer
573
views
Bonds are traded and settled at clean price or Dirty price? [closed]
Are Bonds are traded and settled at clean price or Dirty price ?
- 11
0
votes
1
answer
133
views
Interest rate equation from bond price?
If a zero coupon bond price at time $t$, with maturity $T$ ($t<T$), is denoted by
$B(t;T) = B(T;T) e^{(-\int_{t}^{T} r(s) ds)}$
where $r(t)$ is a known interest rate.
How does this transform ...
- 55
0
votes
1
answer
709
views
What is the value/price of a bond paying floating rate
I am going through J.C.Hull for swaps. Where he says we can value a swap using bonds. Let $B_{fl}$: value of floating rate bond, $L$ notional principal. Why is $B_{fl} = L$ just after a payment ? What ...
- 201
1
vote
1
answer
363
views
What discount rates should I use to price a municipal bond with unknown market price?
I have a payoff structure but I do not know the price of the bond. The bond is municipal. What discount rates should I take for each period in order to calculate its fair price?
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