Questions tagged [fixed-income]
Securities which obligate the borrower/issuer to make payments on a fixed schedule. Fixed income securities include sovereign, corporate and municipal bonds, corporate loans, and securitized lending (e.g., ABS). "Fixed" refers only to the schedule of obligatory payments, not the amount, and may include inflation linked bonds, variable-interest rate notes, and the like.
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Dealing with day counts that span a weekend
Consider the following security:
CUSIP: 3130A3GE8
Federal Home Loan Bank
Maturity: 2024-12-13
Coupon: 2.75 % (CPN)
Previous Coupon Date: 2019-06-13
Today is ...
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Compute I-spread from ASW-spread (or vice versa)
The I-spread ("mid swap spread" or yield-yield spread) is a standlone measure of credit risk, a security against matched maturity vanilla swap rate. Consider a package in which the investor receives ...
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Discount margin on FRN - widening but bond price increasing?
Why would a bonds discount margin widen but its price increase? Shouldn't the price be falling when margins are widening?
Looking at the bond pricing formula, if the price is higher doesn't the rate ...
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Simple arbitrage pricing of bond option
This is Tuckman fixed income security textbook. The text here is trying to price a 990 six month call on a six month zero bond. When we replicate the portfolio, where is the F_.5 coming from?
My ...
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GBP OIS Curve - Zero Rate Curve Calculation in Quantlib
I am new to Quantlib and I am looking to create a Zero Rate Curve from GBP OIS to then use to calculate the present value of fixed rate bonds.
I have Looked at the documentation:
https://quantlib-...
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Modified duration in multi-currency portfolio
I was thinking about how to figure aut duration for portfolio of bonds denominated in different currencies… I would like to compare sensitivity of portfolio to shift of yield with competitive ...
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Calculating swap rolldown using the RatesLib Python Library
The code I am using is below, pulling in swap curves from BBG and then using RatesLib to price the swaps.
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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/...
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What is the Italian BTP yield calculation in last period?
I chose this example becuase it highlight two aspects I can't reverse engineer and can't find any official source documentation.
BTP: IT0005518128: 1/Nov/2022 -> 1/May/2033 at 4.4%.
If this bond is ...
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Product Control Fixed Income - Interview Question
This was asked to me in my product control interview. What factors contribute to the daily pnl of a bond, if you exclude daily carry, price change and interest rate change? There would still be a pnl, ...
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Interview question on interest rate spread trade
Consider this interview question:
Tell me how you'd construct a risk neutral cross country trade on the 2 year – 10 year interest rate spread in Germany and the U.S.
What does "risk neutral" mean ...
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Rates Curve 'Realising' vs 'Rolling'
Just saw an exchange on X and would appreciate if anyone could try their hand at going into a bit more detail (and even maybe using an example) to breakdown the conceptual difference of rates curves '...
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Treasury zero coupon curve for discounting two bonds but OAS different on Bloomberg
Using zero coupon Treasury curve, I discounted a 10% coupon bond. Using the same curve, I discounted a 5% coupon bond. Both these bonds have the same maturity. Since I discount both these bonds using ...
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Proving that Convexity approx. equals Duration squared but something goes wrong?
I am trying to derive a formula for bond convexity that I saw in a textbook which states that
$$\text{convexity} = \frac{\text{Macaulay duration}^2 + \text{Macaulay duration} + \text{dispersion}}{(1+\...
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Estimating the price of an illiquid 5y bond futures contract
Say I know the price of 10y Gilt futures, 10y Treasury futures, 5y Treasury futures, and GBPUSD futures.
I am asked to produce a quote on 5y Gilt futures using only this data. What is a sensible ...
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