bond


bond - YTM and current yield

(a) is false Consider a zero coupon bond. Yield to maturity clearly exceeds the coupon rate, but $$ Y_\text{current} = 0 = \text{Coupon} $$ while the question asks about a strict inequality.... Read More


credit - Intuitively, why does liquidity premium contribute to bond yield?

For clarity, I'll use two expressions, "liquidity premium" and "illiquidity premium": "Liquidity premium" arises when investors value the liquidity profile of an instrument so much that they are wil... Read More


Compare the IRRs of two bonds

Given no specific information about the term structure, no definite answer can be given. As you found out yourself, different term structures lead to different yield-to-maturities for the second bond... Read More


carry for a sovereign bond

Ah, but the 0.284% ‘carry’ is expressed in units of yield on a 4yr bond. The value of this in upfront terms is approximately 4*0.284% which is in the same ballpark as the 1% number.... Read More


fixed income - Cost of Carry Bear Flattener

In this context, I believe carry refers to the sum of "pure" carry + roll down. Carry, in the most general sense, is the return of a position in a static world; i.e., assuming time is the only variab... Read More


Pricing a bond contract from the yield curve

I think what you wrote is correct. I'll rephrase everything according to my way to give you another point of view. The price of a coupon bond at time $t = 0$ is the sum of the discounted cashflows gi... Read More


bond - Bootstrap yield curve with QLNet / Quantlib

While @Baruch Youssin answers correctly in the general sense, the first part of his answer isn't what happened in the example code. While QLNet is a port of QuantLib, it's not a direct port. Your quo... Read More


What happens when bond price is less than the recovery rate

To add to emcor's answer, if a bond defaults, you do not automatically get the "recovery" amount immediately, you get some unknown amount at some unknown time in the future, possibly years later, and... Read More


fixed income - yield concept for a short maturity zero coupon bond

(1) corresponds to simple interest and (2) to compound interest. For instance, Canadian treasury bills are based on simple interest (see Broverman's book Mathematics of investment and credit ).... Read More


fixed income - How can we have negative probabilities in finance? Can we have negative payments in bonds? If not, how else can we have negative probabilities?

The answer is NO, with very few exceptions There might be bonds with negative coupon(s), and the Bloomberg search even finds some, but there are plenty of reasons why negative coupons are impractical... Read More