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.
1,142
questions
2
votes
1
answer
68
views
Parallel shift in spot yield curve moves the IRR of a bond portfolio in the same direction: Analytical Proof
I am trying to prove that a parallel shift in the spot yield curve will as its effect have the IRR of a bond portfolio move in the same direction and by the same amount.
I have tested this on few ...
- 281
4
votes
3
answers
2k
views
Misunderstanding of 'day counts' and accrued interest
I'm totally new to the fixed income world.
My goal with this question is to gain an understanding how interest is accrued day-by-day for a particular instrument. This will obviously be done by an app ...
- 1
1
vote
2
answers
330
views
Interest rate swaps - if i expect rates to be cut later than market expectations, what swap can I put on?
If I think market expectations are too dovish and I expect rates to stay high for longer i.e. rate cuts by X central bank to happen in September for example (as opposed to whats priced in, e.g. May), ...
CommunityBot
- 1
0
votes
0
answers
18
views
Different CLOB for ONTR securities
I was trying to find the list of all the CLOB for on-the-run UST.
I know the following: BrokerTec, TradeWeb which both have different CLOB for ONTR UST.
I think Virtu Financial also has one, but I am ...
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?
CommunityBot
- 1
1
vote
1
answer
66
views
What's the rate of return on a mortgage?
I'm trying to understand mortgages from first principles, from the perspective of a borrower.
Let $S_t$ be the price of the asset bought with the loan at time $t$ (i.e. house). Let $\alpha$ be the ...
- 525
0
votes
1
answer
38
views
How would one calculate yield to first call for a debt security which is currently and always callable?
If an asset manager has multiple extended warehouse lines outstanding and each one is currently callable (some with penalties, some without), is it simply the case that a ‘to first call’ performance ...
CommunityBot
- 1
0
votes
0
answers
59
views
What are the assumption in the DTS paper
In the original Duration Times Spread paper from Arik Ben Dor
, Lev Dynkin, Jay Hyman
, Patrick Houweling
, Erik van Leeuwen and Olaf Penninga
, the authors define a change in spread as follows:
...
- 11.5k
1
vote
0
answers
40
views
Market Data UST
There a lot of new market data providers for retail algo traders.
For example the famous one for option is Theta Data Net and for Equities it is Polygon IO. You basically get all the greek/price data ...
1
vote
0
answers
72
views
Bond Basis (non CTD)
I had a query regarding the trading of non CTD (but deliverable) basis. Obviously someone can buy non CTD basis (buy cash / sell bond future), with the hopes this widens, clearly I would not want to ...
- 598
5
votes
1
answer
278
views
Recommended Setup for QuantLib-Python AmortizingFloatingRateBond
I am trying to model a term loan in QuantLib-Python that makes quarterly interest payments at CME Term SOFR 3M + 10bps + 525bps paid in arrears with a 2 business ...
- 7,753
-1
votes
2
answers
159
views
Get bonds data in python [duplicate]
Anyone knows a way of getting trustworthy bonds data in python? I know that for stock there is yfinance package but it doesnt include bonds.
Thx
- 294
0
votes
0
answers
85
views
Why is accrued interest prorated linearly?
Cashflows from coupons and principal are discounted using the YTM to get PV of the bond in dirty price.
as shown here in this question
Misunderstanding of 'day counts' and accrued interest
...
0
votes
1
answer
859
views
Relative Value and Z-spreads
I wanted to understand how I can use Z-spreads in the context of gov bond RV.
I understand how to compute Z-spreads although I am having some trouble interpreting the meaning. I am solving for the ...
CommunityBot
- 1
1
vote
2
answers
278
views
Is the "$\textit{theoretical}$" $DV01$ of a bond an accurate estimate?
Dollar duration $DV01$ is defined as negative of the price of the bond wrt yield:
$$DV01 = - \frac{\partial P}{\partial y}.$$
As we know that $P = \sum_{t=1}^{n} \frac{CF_{t}}{(1+y)^{t}}$, then
$$DV01 ...
- 9,154