Questions tagged [bond-yields]
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215 questions
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QuantLib: Correct compounding argument for `ZeroCouponBond` when computing Yield, Duration, zSpread, etc
When computing figures for a ZeroCouponBond in QuantLib, a number of the methods in BondFunctions expect a ...
- 137
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Currency swap conversion
This snippet of a paper (MOODY’S MARKET IMPLIED RATINGS: DESCRIPTION AND METHODOLOGY LINK ) describes a currency swap calculation to convert the yield of a non-USD bond to USD.
Ultimately, the authors ...
- 101
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YTM computation for a bond portfolio [duplicate]
Given a list of bond and the relative YTM, i have to compute the YTM of the equally weighted portfolio.
Should i use the market value of each security or the face value is correct enough?
Thank you
- 21
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Price and Yield Calculations for Municipal Bonds with QuantLib
I'm currently trying to calculate yield to maturity for a given municipal bond using quantlib for maven, and am comparing the result to the calculated yield listed on EMMA. However, I keep ending up ...
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The most common Greeks for a Bonds and how do they work? [duplicate]
I'm currently working on sensi (Greeks) for Bonds.
I'm trying to understand how the Greeks are working for Bonds because the parameter used is the interest rate.
I have learned that the Delta IR is a ...
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Z-Spread vs I-Spread for Govies - Does moneyness have an effect?
When calculating the z-spread of a government bond; we find matched zero rates for coupons and maturity, and then calculate the yield by adding/subtracting a spread and then calculate with present ...
- 11
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How to show that the present value will be approximately the same for two different cashflows
Assume you have an interest $t$ and a value $V$, define $x_1$ as
$$\sum\limits_{i=1}^N\frac{x_1}{(1+t)^i}=V\rightarrow x_1=\frac{V}{\sum\limits_{i=1}^N\frac{1}{(1+t)^i}}.$$
Assume you have a ...
- 127
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603
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Asset swap on US treasury bond?
I'm thinking through the asset swap spread between a US Treasury bond and a matched maturity swap rate (ATM) and had a question.
I've heard that the asset swap spread is a measure of the bond's ...
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2
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168
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Questions regarding Treasury Futures CTD Search
I am reading The Treasury Bond Basis by Burghardt. In chapter 2, it states that the bond with lowest converted price net of Carry is the CTD which I am a little confused.
$$\mathrm{Converted\ Price}=\...
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Bonds with coupon "pay only at maturity" - coupon fraction calculation
How is coupon fraction calculated for bonds that pay coupon only once at maturity? How those coupons work.
Example:
Face Value 100$
Coupon: 10%
Frequncy : Fixed pay only at maturity
Issue Date 01/01/...
- 41
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238
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Bond rv metrics/measures
I'm looking at some bond yields, varying coupons and maturities, same issuer (g3 govies) and non-callable. I have compared these by maturity and duration to get a sense of some rv opportunities and vs ...
- 943
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Quantlib yield does not equal coupon for a par US Treasury bond
Not having a lot of luck wiht quantlib for US Treasuries. The following code should return 100. but it is a bit off
...
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86
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Do default risk implied by bond yield actually predict it?
AFAIU in perfect market difference between risk-free rate and corporate bond yield should be only influenced by default risks.
How well do they actually predict defaults? Are there any calibration ...
- 131
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267
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Derive historical price of a corporate bond using current market quotes
I have a corporate bond, and current broker dealer quotes, I want to determine the price for that bond say 10 days in the past, what would be the best method?
Considering there are no historical trade ...
- 95
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Money market yield calculation convention for bonds with multiple outstanding coupon payments
[Note: The original question was edited to focus on bonds with multiple outstanding coupon payments]
Certain investment grade securities would switch to trading in Money Market Yield towards the end ...
- 131