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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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 ...
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Securities lending vs repo transactions
I have recently started on a repo/SBL trading desk and I am struggling to understand some theory. Normally, in a secured hard-to-borrow secured transaction, I pledge general collateral, receive the ...
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How do you interpret this data about corporate bonds? [closed]
If I have a corporate bond portfolio that has the following relative to the benchmark (this was given to me as interview question):
Given an initial portfolio with the following statistics (as of ...
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1
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impact of bond futures conversion factor on calendar spread trading
i have a quick question about conversion factor and his implication in calendar bonds roll trading.
I go short on a calendar roll (short front+long back) which has the same cheapest to deliver.
The ...
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0
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Setting up QuantLib to get correct yield for bond with long first payment period
I am dealing with fixed rate bonds. There is one particular bond, 34659UAC0, that caught my eye. This bond has a first coupon period of a whopping 5 years, followed by regular periods of 6 months. My ...
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How to use exp(-r*t) to calculate tbill price
I wonder why : $1 - \left(\frac{4.91\% \times 358}{360}\right) = 95.1172778 $
and why $\exp\left(-4.91\% \times \frac{358}{360}\right)$ does not give 95.1172778
T Bill Description :
B 0 04/17/25 ( ...
2
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2
answers
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Bonds in a zero interest rate environment
I've been looking at Pension Fund asset allocations. Why would they have any allocation to bonds in an zero interest rate environment?
To make the point, let's assume the interest paid on these bonds ...
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Public exchanges US treasuries
I know the major part of US treasuries is traded OTC through RFQs. I was wondering though if there are public exchanges like for US equities where retail investors can send market and limit orders to ...
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2
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QuantLib Python: Calculate ZSpread
I am trying to use quantlib-python to calculate the z-spread of a fixed rate US corporate bond using a zero curve from swap rates provided.
Here is the provided ...
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Spread Duration of a Fixed Rate Corporate Bond, with offsetting Futures Position
My question is relatively simple with respect to the below scenario:
I take a $5m long position in a vanilla fixed-rate corporate bond with a spread of 1.50% for a YTM of 5%. These coupons are paid ...
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Last look window in us treasuries
Last look window is always discussed for Fx but I was wondering if people analyzed also its effect in other Asset Classes like US treasuries?
Because I think that the holding time of a quote in US ...
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2
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US treasuries TRACE
For all trades on US Treasuries made through RFQs, all the trades should be reported to TRACE to have post-trade transparency.
But is TRACE then available to the public? or is it just for SEC?
If it's ...
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0
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Bond basis arbitrage
The popular media refers to US.bond future basis trades in some contracts as arbitrage..they cite that as the future trades richer to cash hedge funds can buy basis and make money.
I'll assume they'...
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1
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Simulating the Term Structure of Interest Rates in the CIR model
I have successfully implemented the CIR model of the short rate, and now want to use these short rate paths to construct distributions of various tenors - 2y, 3y, 5y, 10y for example - across the ...
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Approximate 5y swap rate move in 1 tick move in 5y treasury
If CT5s (the current on the run 5y treasury) goes from 99-20 to 99-21 - what will be the approx rate move in the 5y swap rate. Just trying to ascertain rule of thumbs for 5y, 10y and 30y.