All Questions
12
questions
0
votes
0
answers
71
views
Modified Duration vs. Real-World Bond Price and Yield Changes
We know that modified duration at time $t$ of a bond with maturity $n$ is defined as:
$$
D_{nt} = - \frac{1}{P_{nt}} \frac{\partial{P_{nt}}}{\partial y_{nt}}
$$
And the definition of a derivative is:
$...
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 ...
0
votes
0
answers
106
views
How do i use this formula to find the YTM of a step up bond?
I'm trying to find the YTM for a step up bond that trades at par value, how do I use this formula? Since the par value and sale price is the same, and coupon payment is different each payment.
2
votes
1
answer
218
views
Strange Market Data YTM for a Zero Coupon Bond
I am trying to compute the YTM of the following Zero-Coupon Bond:
The issue date was 13-01-2022 and the maturity date was 14-01-2023.
For me, it seems strange that the price remains "almost ...
1
vote
0
answers
34
views
Why do some TIPS bonds have credit spread < 0 [duplicate]
If we look at the yield spreads on Bloomberg of some TIPS bonds, we see they have credit spread < 0 (i.e. their yield is even lower than their benchmark treasury bonds)
Why is that the case. ...
0
votes
1
answer
230
views
How do I calculate yield and trading margin of an Australian Dollar floating rate note?
I am trying to calculate the yield and trading margin on an AUD FRN in a robust manner. I am hoping someone can help with a few details.
I am forecasting cash flows and solving for the discount rate ...
5
votes
3
answers
2k
views
Carry and Pull to Par of a bond
I am of the understanding the true carry of a bond is yield - repo rate. And not simply coupon + repo cost because this doesn’t ...
4
votes
1
answer
3k
views
How to compute par yield from zero rate curve?
How does one calculate the below two-year par yield given the zero rate curve:
Assume the following two-year zero rate curve, with continuous compounding:
...
2
votes
1
answer
150
views
Why did high yield corporate bond ETFs tank during the great recession
My apologies if this is not mathematical enough for this outlet.
My understanding of the pricing of a bond ETF is that lowering interest rates drive the price up and increased risk of default drives ...
0
votes
0
answers
351
views
Calculating historical volatility and returns from bond yield
I am interested to calculate the historical volatility and returns from a time series of US 3m T-bill yield (see screenshot below), for portfolio optimization. I am not too sure how to bridge the idea ...
0
votes
1
answer
121
views
Bond ETF Dividends
Bond ETFs usually make monthly dividend payments. The ETF manager receives quarterly or semiannual coupons on the underlying bonds in the ETF. What is the time delay between the coupons received and ...
14
votes
4
answers
32k
views
question regarding carry & roll of a bond
I have a simple (and might be a dumb) question regarding the calculation of a bond's carry. If someone doesn't take into account cost of financing (e.g. the repo rate) then the bond's approximate ...