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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Different risk neutral measure
I don't understand in the following example how there can be a single risk neutral measure.
The risk free asset price $B$ at time $t = 1$ is $1+R$.
An other asset $S$ at time $t=1$ can take two values:...
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Factor model bond futures
I was reading the Lehman Brother Multifactor Futures Model and there are a few things I don't understand in the way they implement their model.
Firstly, they look at the fitted yields. When they look ...
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Yield Curve Flattening Trade
Relatively simple question, but came upon it in class and have not been able to come up with an answer:
The two-year bond yield is equal to 4% while the 10-year one is equal to 10%. You want to put ...
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How do i change face value of a Zero Coupon Bond in Python rateslib?
I'm currently trying to calculate the effective annual YTM of a Zero Coupon Bond with the following data:
Issue date: 2024/07/01
Maturity date: 2024/09/30
Settlement date (also date of valuation): ...
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Accrued interest need day counts, but day count conventions return year fractions [closed]
As far as I understand, the formula for accrued interest is $acc = couponInterest\cdot \frac{accruedDays}{couponDays}$.
But that fraction: $\frac{accruedDays}{couponDays}$, depends on the day count ...
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Asset swap spread components
Assume that an investor holds a bond and enters into an asset swap with a bank in which the investor pays the fixed coupon and receives Libor + spread
and the following data: 10y bond price 103, bond ...
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IRS Swaps market
I would like to understand who are the major actors in the IRS Swap market and what's the major reason of the volume traded for a certain tenor.
I am not able to find any of this information that ...
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Are there closed formulas for non-callable defaultable floating rates in a reduced form models?
currently, I am evaluating for my company the possibility to price defaultable bonds with stochastic default intensity. Precisely, I am considering using the G2++ model where one factor is the ...
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Short bond convexity
Assuming you need to pick a bond to short. Is it better a bond with large or small convexity (all other things being equal)?
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How can I optimize a Bond Portfolio in Practice?
I'd like to optimize a bond portfolio with different bond classes (government bonds, corporates, ...) and different ratings as well as maturities. Is this even possible to optimize such a portfolio? ...
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How to value 3mo SOFR Spreads one year out, 2yr out
How does one value a 3mo spread spread in the far out future from present if fomc meeting schedule is only published for one year, and even with fomc's dot plot, it just shows the median expectation ...
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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:
$...
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Swap/Bond basis: Bond rates "too high" or swap rates "too low"?
I suppose this question is more of a discussion piece than a question per se, so I apologize in advance.
I've long been fascinated by the large negative basis between government bonds and swaps. These ...
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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 ...
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CS01 implied Var calculation
is there any straightforward way to roughly calculate the daily var from the CS01. Mostly from the corporate bond position. thanks,
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