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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Show that a zero-coupon bond discounted by a bond with mautrity $T$ is a martingale under the $T$-Forward measure
Here's the exact question:
Show that for any $s>0$, $\frac{P(t,s)}{P(t,T)}$ is a $Q^T$-martingale.
Here's my attempt:
Let $t^\prime < t$. First consider the case $s>T$.
\begin{aligned}
\...
CommunityBot
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Does switching between Bond and Equity closely tracking Interest rate generate more returns?
Is there an evidence to suggest that we buy bond during high interest regime and when interest rates goes down , we sell the bond and buy Equity Index .. Repeat this by closely following the central ...
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How long to hold a bond fund to be guaranteed a certain return? (mathematical proofs)
Is there a mathematical proof of how long one must hold a bond fund or ETF to be guaranteed a positive return? And of how long to be guaranteed a certain return?
For simplicity:
let's consider ...
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Why are random coupons not priced using risk-neutral evaluation?
Assume a fixed coupon bond has a coupon which, randomly, is 5 % or 4 %, each occuring with a 50 % probability. The issuer flips a coin on payment date to decide which it should be.
I would value this ...
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Bond curve fitting, practical question
when fitting gov bond curves, What are different logic's used by traders to set the weight for the different bonds ?
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I-Spread vs G-Spread
I am trying to build some intuition what information does I-spread provide? G-Spread and I-Spread differ as to what curve they use to evaluate the spread to. In the former it is Treasury curve and in ...
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A TIPS that matures in less than a month from now should trade like a treasury...Why can't I get the YTM's to match?
If a TIPS bond matures soon, lets say 4/15/24...we should know all the payments. I would think that if we calculate the YTM on that after adjusting for inflation it should have the same YTM as a 4/15/...
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G spread in bbg for callable
As I understand OAS is the credit metric of choice for credit risk. And it is computed by subtracting option value from z-spread.
My question is: in BBG screen I see G-spr listed for callable bonds, ...
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Two types of hedge : impacts on position carry
Think of an IG bond purchase, financed at 3M Euribor, in an inverted curve environment.
The yield on the bond, Y, is below the 3M Euribor, at purchase.
The investor is looking to lock in a spread over ...
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CallableFloatingRateBond in QuantLib: just a matter of multiple inheritance?
I would like to know what are the issues related to a possible CallableFloatingRateBond class in QuantLib and to have some hints on implementation.
My (very ...
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Value the fair price of a 20y Bond
The on the run treasury bonds can only have the following maturities: $2,3, 5, 7, 10, 30$.
With a $4$ year bond it's "easy" to evaluate it since we can compare it to the price of the $3$ and ...
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Yield curve and bond price
I am confused about how the yield curve is built and how it relates to the pricing of bonds.
First what I don't understand is that when people talk about the yield curve, which yield curve are they ...
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Hedging a trade for PCA component neutrality
Suppose I am given a set of financial instruments, e.g. {1Y, 2Y, ..., 30Y} interest rate swaps or {Barclays, Lloyds, .. } FTSE100 companies. It doesn't matter which so let's go with IRS.
I have ...
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Switch and wildcard option in WN
I am trying to get a better understanding on the switch option for the WNM4 contract. Usually the wildcard is the only option that’s important for WN but now it’s complicated by the wildcard option. ...
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How is the fixed income market organized
For equities it's very simple, exchanges maintain an order book of the limit orders sent and the mid-price of the order book can be considered as the fair value of the stock.
For Fixed Income market I ...
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