A bond is a fixed-income instrument generating cash flows at some specific dates in the futures. These cash-flows depend on the interest rate of the bond, which can either be fixed or variable. It is a debt instrument acting as a loan made from the buyer to the seller.
Questions tagged [bond]
696 questions
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What happens when bond price is less than the recovery rate
I am simulating various price path of bonds, and one issue that came up is the recovery rate.
When a bond defaults, the amount you get back recovery rate * principle. This creates a problem if the current bond price is less than the recovery…
Sam Li
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YTM and current yield
Which of the following statements is correct?
a. If a bond’s yield to maturity exceeds its coupon rate, the bond’s current yield must also exceed its coupon rate.
b. If a bond’s yield to maturity exceeds its coupon rate, the bond’s price must be…
Ong Junjie
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How do I determine the maturity date from a T-bill's CUSIP?
Is there a way to determine a government bill's or bond's maturity date by looking at its CUSIP?
For example, the CUSIP for US T-Bills with a maturity of 12/1/11 is 9127953V1. As you probably know, the first six characters of a CUSIP represent the…
Chad Decker
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Compare the IRRs of two bonds
Say i have two 3 year bonds, which pay an annual coupon of 8% (1st bond) and 10% (2nd bond) respectively. Also, let's assume, that the spot curve is the same for both bonds. Other things equal, how can i compare the IRRs of these 2 bonds? (Only…
iNarek94
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When would a bond be traded flat?
when would a bond trade flat. I.e, accrual is not taken into account in the dirty price?
For example US040114HR43 is currently being traded flat.
Peaceful
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Yield of a risky bond
When working with risky bonds, i.e. corporate bonds, what is usually defined as the yield of such a bond? Is it the yield calculated as if the bond was riskless, or is it calculated by properly taking into account the default risk in this case? And…
Grzenio
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carry for a sovereign bond
For sovereign bond, I saw two carry calculations: one would be forward yield - spot yield, the other would be spot yield - repo rate. I would assume these 2 methods result in same or very close result. But that is not the case. Did I misunderstand…
tennisboy
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How can I interpret US treasury?
I try to understand US treasury in the bond markets provided by bloomberg:
In this webpage, I have a few questions, for instance taking 12month-Bill:
(1) What is the maturity date? I find that it stays always 12 month everyday. Does it mean US…
kenneth
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Regress the changes in a bonds YTM against the changes in YTM of a bond index?
does it make sense to regress the changes in a bonds YTM against changes in the YTM of a bond index to get som measure of a bonds beta?
TheNarsisisst
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What is the difference between sovereign bond and government bond?
what is the difference between sovereign bond and government bond? Can I assume that both are the same? Thank you very much in advance!
user25215
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The Difference between Notional and Par Value of a Bond
I have reached a confusing dilemma regarding the par and notional values of a bond.
I have been told that the par value of a coupon bond is $100. However, the notional value of the bond is 1,000,000.
Do they not represent the same thing; the face…
Gustavo Louis G. Montańo
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Pricing bonds of float coupon rate by stochastic interest rate
So I am not sure whether the following pricing of the bond is possible. Given the stochastic interest rate, one wants to price the bond with the floating coupon rate or the coupon rate being unknown. How should one price this bond if both forward…
user45765
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Implied rate of a bond question
A 2 year bond, yield 6%. A 1 year bond, yield 4%. What's the implied rate for the bond that starts one year from now?
Jojo
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How are bond prices quoted in the financial press related to bond yields quoted?
For example in the FT this month a 10 year US bond with redemption date 05/24, coupon 2.50 has a bid price of 99.52 and a bid yield of 2.56.
Can one calculate the bid yield from the bid price, red date and coupon?
I thought that the bid yield should…
quee0849
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Is this linear interpolation for clean bond price an approximation?
Consider the attached discussion from Berk and Demarzo's Corporate Finance.
I am confused about the calculation of a bond's "clean price". It seems that the procedure described above seems to tacitly "linearly discount" the accrued interest, rather…
EE18
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