Questions tagged [yield-curve]
A yield curve is a plot of yields for various bonds (often government bonds) versus the bonds' maturities. We also often plot swap and other LIBOR rates to get the (related) swap curve.
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Interest rates swap P&L
I heard about different ways of estimating the PnL of an IRS. Say I receive through a 10y swap where fixed is 5%, I hold the position for 1 year time. you pay float and receive fixed so estimate PnL =...
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Why doesn't the libor curve match libor fixings?
Consider the 6M Libor rate (in any ccy). This is a rate that is/was published every day. For every one of those days, we also have 6M swap curves available, which are calibrated based on market ...
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Relative value of bonds
Is it best to measure the relative value of bonds on a z-spread curve or by modified duration?
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How to infer the 1M curve from the 6M curve when I don't have basis swap data
In some markets (e.g., ZAR), most swap quotes are against 3M JIBAR. However, in certain applications a 6M JIBAR projection curve is required. If there were an active 3M–6M basis swap market, one could ...
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2 votes
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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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What is stopping traders from arbitraging HKD-USD?
I observed the yield of HKD goverment bonds is quite materially lower than USD for quite a long time. For example the $10$ year gov yield of HK government bond was $3.174 \%$ versus $4.167 \%$. This ...
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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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Help Constructing a Yield Curve
I want to construct a BBB spot yield curve and am trying to figure out if I am understanding the process and interpretation. Any guidance would be appreciated here. I first gather a list of YTM’s of ...
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Why not fit a par rate curve directly on par rates?
I often see that, in yield-curve construction, practitioners build a forward/spot/discount curve and then price instruments by interpolating within that curve. My question is: why can’t we just take ...
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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. $$\mathrm{Converted\ Price}=\...
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PCA on the yield curve and extremely autocorrelated yields
When performing principal component analysis (PCA) on the yield curve, I've seen people online using different methods. Either you use the directly the yield of the OTR bonds or you use the difference ...
2 votes
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Decomposing 10y yield for Indian G-Bonds using Adrian, Crump, and Moench (ACM)
I am trying to decompose 10 year G-Bonds using ACM methodology, however I am not getting meaningful results. For example, I have used NSS curve data (available from CCIL), my code is not able to fit ...
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Is there any strong logic behind the formula for the slope and curvature loadings in Nelso Siegel model?
The Nelson Siegel model is given as follow: $$ y(\tau) = \beta_0 + \beta_1 \cdot \frac{1 - e^{-\lambda \tau}}{\lambda \tau} + \beta_2 \cdot \left( \frac{1 - e^{-\lambda \tau}}{\lambda \tau} - e^{-\...
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4 votes
1 answer
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Fixed income relative valuation with spreads
When one does fixed income relative (comparables) valuation there are different spreads quoted in markets, while as I know Z spread (add-on swap rate) is used for fixed income with no optionalities, ...
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3 votes
1 answer
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Projection Delta of IRS when only Disc Curve bumps (credit spread / curve-cross-gamma?)
This is related to IRS - sensitivity to estimation (projection, coupon) curve and discounting curve. Assume I have a single ccy receiver IRS, so we pay SOFR flat on the float leg. Assume both fixed ...
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