All Questions
7
questions
1
vote
0
answers
42
views
How to value 3mo SOFR Spreads one year out, 2yr out
How does one value a 3mo spread spread in the far out future from present if fomc meeting schedule is only published for one year, and even with fomc's dot plot, it just shows the median expectation ...
- 11
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
1k
views
Calculate Bond Price knowing Z-Spread
From my point of view, to calculate the price of a bond, we just need to add the discounted cash flows.
The discount factor calculation is as follows:
In my theory knowing the z-spread of a bond I ...
- 375
0
votes
1
answer
198
views
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 ...
- 59
3
votes
3
answers
8k
views
Why is G spread bigger than Z spread theoretically?
I am checking a few bonds on the YAS page on Bloomberg and I can see that G is higher than Z spread (this applies to bonds with optionality and bullet, too). As Z is stripped from reinvestment risk, ...
- 76
1
vote
0
answers
520
views
Bootstrapping bond spreads as in the standard CDS model
Suppose that we have a spread curve $\boldsymbol{s}:=(s_1, ..., s_n)$, where $s_i$ are CDS par spreads. Moreover, assume the standard ISDA model framework, i.e. piecewise constant forward / hazard ...
- 21