fixed-income


fixed income - Calculating the Discount Margin for a FRN

There are two types of discounting approaches of a future payment in your question. Zero rates and forward rates. Let's just briefly consider each in turn. i) ZERO RATES. The zero rate discount facto... Read More


option pricing - Interpretation of OAS on MBS

In fact, OAS reflects none of the factors mentioned in the question. To begin with, the technical interpretation of OAS is that is it is the free money you earn for holding an MBS, for the following... Read More


fixed income - Price of bond future, given a specific interest rate?

Treasury bond futures are surprisingly complicated - this is an attempt at a short explanation, it will obviously gloss over some details, but hopefully gives you a flavour of how they are priced. Th... Read More


fixed income - Roll down Treasury curve (Coupon effects)

To calculate rolldown that accounts for the coupon effect requires a fitted curve. Assuming such a curve is available, then the following procedure is usually followed: First, calculate the z-spread... Read More


fixed income - Why bond (individual or their benchmark index) graphs predominantly display yield rather than price?

You can't show the term structure easily with prices. Say you have 2 bonds, a 5 year at 2% and a 10 year at 3%. If both have coupons of the same, so no premium or discount, they both will trade at $1... Read More


fixed income - Export security description data from bloomberg into excel

If you just need the description you can use =BDP(TICKER,"CIE DES") directly in Excel.... Read More


Which approach is better for modeling option exercise strategies, rational or behavioral?

honestly your question is hard to understand. Are these two questions the same? "Does fitting sub-optimal option exercise strategies to market data yield better option values?" "which modeling appro... Read More


equities - Why is the equity premium not arbitraged away?

Short answer It's complicated. A satisfactory solution is not known. Long answer A satisfactory solution is not known and research is ongoing. That doesn't mean there is nothing interesting to say ab... Read More


fixed income - Is it possible to sell protection on own asset with CDS?

First, I would emphasize that default protection is bought and sold on debt securities , not on assets. To answer your question, you cannot sell protection on your own debt. You can sell protection o... Read More


fixed income - Volatility considerations with interest rate derivatives

Implied vol surfaces are just a convenient way to represent vanilla options (caps, European swaptions) prices in the context of simple models such as normal, log normal or shifted log normal. When us... Read More