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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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 ...
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Do Fed Funds futures have a reset cut-off functionality?
I understand that an OIS with FF as the reference rate will by convention have a 1-day reset cut-off funcionality (i.e. the final fixing is repeated for the last 2 days of the swap), however I have ...
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OAS adjustment for bond specific call structures
I’m trying to perform a relative valuation for a bond by comparing it to other bonds from the same issuer. bonds are callable, but they have different call structures
As I understand that the Option-...
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rateslib curves: Why does changing day count convention affect discount factors?
I'm using the rateslib Python package to build a yield curve from Brazilian DI1 futures using piecewise/spline interpolation. My expectation was that changing the day count convention of the curve ...
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Overnight Rates (SOFR/EFFR) on holidays after FOMC decision (Juneteenth edge case)
From my understanding, we rarely have an FOMC rate decision (Wednesdays) followed directly by a holiday on Thursday. Right now, we do, however. This is of consequence because typically the Wednesday ...
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Do Bond-flies trade?
A simple question: do G10 or at least G5 government bonds trade as flies, or only as individual bonds?
I know for a fact that swaps for G5 currencies are quoted by brokers as various strategies, i.e. ...
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Issuer credit curve construction methods
I'm trying to understand how to properly build an issuer credit curve (e.g., for a bank or corporate) specific to a given currency and seniority level (e.g., EUR senior unsecured).
My main questions ...
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Derivatives pricing in Trading Desks [closed]
Good morning,
Maybe a dumb question but why trading desks do derivatives pricing?
Is this for accounting purposes in order to write the fair value on the balance sheet? Or aimed at discovering ...
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Simplified Cross Currency and Interest Rate Swap Method - USD YTMs to BRL Floating-Rate YTMs
Good afternoon,
I work in the financial markets and I am trying to better understand how to convert USD bond yields of Brazilian companies into BRL yields, so that I can compare them with local ...
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Difference in YTM and calculated risk metrics between QuantLib and Bloomberg for Fixed Coupon Bonds
I'm trying to get the yield for a given bond as well as other metrics to align with the YAS page on Bloomberg, but they are all sufficiently off to be slightly concerning, i.e. somewhere in the 4th ...
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Why is z-spread of bond at par value not equal to interest rate spread over benchmark?
Bond: \$1,000 outstanding principal, pays SOFR 1M + 2.00% monthly (i.e. divide by 12), matures in 5 months, is worth \$1,000 today.
If the bond's benchmark curve is the same curve as its coupon is ...
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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
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Optimal Delivery Date of Treasury Futures
I have been reading some questions on deciding which is the optimized delivery date for treasury futures recently. And from most sources, the optimal delivery date is said to be based on the carry of ...
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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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