fixed-income

Is it possible to construct a central bank meeting date curve, using futures prices & OIS rates, in QuantLib? Specifically, I mean a yield curve with flat (constant) forward rates in between meeting dates, and discontinuous moves on meeting dates (or 1 day after I guess, given that typically the rate change applies the next day). If so, how?

Intercontinental Exchange, Inc., one of the world’s leading providers of financial market technology and data powering global capital markets, announced the launch of ICE Compass, an AI-powered trading analytics platform that gives buy-side fixed income trading desks prioritized trader counterparty rankings and price estimates before executing trades. T. Rowe Price, which provided valuable feedba…

Francesco Castelli, head of fixed income at BANOR CAPITAL, spoke about central bank interest rate decisions.

Intercontinental Exchange, Inc., one of the world’s leading providers of financial market technology and data powering global capital markets, tannounced that ICE Benchmark Administration Limited (IBA), a leading administrator of regulated benchmarks, has launched two new ICE Swap Rate® Inflation Swap benchmarks. The new benchmarks reference the U.K. Retail Prices Index (RPI) for GBP and the Euro…

How do I produce a discount curve to discount AUD cashflows collateralised with USD cash? I have the following data available from Bloomberg: AUD OIS up to 9m AUD 3 month bank bill (3mBB) swaps from 1y - 3y AUD 3mBB/AUD OIS basis swaps from 1y - 30y AUD 6mBB swaps from 4y - 30y AUD 6mBB/AUD 3mBB basis swaps from 4y - 30y XCCY basis quoted AUD 3mBB vs SOFR from 3m - 30y Bloomberg build the AUD OIS…

I'm confused as to why Eurodollar futures prices settle to $100-LIBOR$ at expiration. If at the time of settlement the futures contract was meant to represent a 1,000,000 Eurodollar deposit to mature 3 months in the future, then wouldn't we discount the 1,000,000 back to today to get the settlement price. This would mean the futures contract would settle to $\frac{1,000,000}{1 + LIBOR/4}$ . Where…

It is reasonable to assume that global yields move in tandem to a certain extent, driven by a global and a local component. Are there any ways to separate the two, beyond the obvious (regress the local yield changes onto an average change across all yields)? Any pitfalls, like expected/unexpected changes, credit risk, inflation etc?

Using zero coupon Treasury curve, I discounted a 10% coupon bond. Using the same curve, I discounted a 5% coupon bond. Both these bonds have the same maturity. Since I discount both these bonds using the same curve, I should get two yields where the difference reflects the coupon effect. I put in these two yields into Bloomberg and theoretically the OAS on both of them should match but it doesn't…

The seminal paper Robert Litterman, José Scheinkman (1991) Common Factors Affecting Bond Returns. Journal of Fixed Income, 1, 54-61. https://doi.org/10.3905/jfi.1991.692347 used the history of daily changes in observable par rates. Some people prefer to bootstrap & convert to zero/spot rates. What are the advantages/disadvantages of each approach, abd are there are any choices that one should co…

In emerging markets, some yield curves have observable rates only at a limited set of tenors, for example: 5Y and 10Y, and no quotes between them. But even in developed markets we observe 7Y and 8Y swap rates, and when we need a discount factor for a date with no directly observable quote, for example, 7.5 years, then we need to choose some interpolation/extrapolation method. Decades ago, everyon…

Does anyone know how to get the DV01 of bond forwards from Bloomberg? I used FPA to get the forward price but can't figure out how to get the DV01. Thanks!

Ordinarily, the carry of a bond is computed by keeping 'everything fixed', but moving the bond in time, and then repricing it. However, say there is a certain probability of the bond defaulting. During the carry period, the bond may default with that probability. Therefore, we ought to remove this probability of default (adjusted for loss given default). After all, if you do not do this, you are …

If an asset manager has multiple extended warehouse lines outstanding and each one is currently callable (some with penalties, some without), is it simply the case that a ‘to first call’ performance scenario (for instance, for yield to first call analyses) across the portfolio would show every single line paying off tomorrow?

I deconstructed a bond cash flow today (5%, trading at par). It seems very counterintuitive to me that the principle of a bond going up in "value" over time, the total cashflow going up in value over time, yet the clean price constantly decreases until the coupon payment date. Pricing bonds is based on the fact that money's value decreases over time, which leads to the definition of "bond discoun…

U.S. Treasury futures cleared at CME can now be cross-margined with cash Treasuries cleared at FICC.

This video explores the structural shift in the bond term premium — from a decade of negative compression under QE to a new regime driven by sticky inflation, fiscal deficits, and AI infrastructure supply flooding the long-duration market. 🎥 Video Tutorial 🎥 Watch Video: https://youtu.be/qp4ElDhvLr8 Topics: quantitative finance, investment analysis, financial education, financial education vid…

Large wealth managers and RIAs can access MarketAxess’s institutional fixed income liquidity.

A mathematically rigorous analysis of the bond term premium — from the ACM affine term structure model and its failure modes to the post-2022 regime shift, AI-driven fiscal supply shocks, and actionable portfolio positioning frameworks for navigating duration risk. 📊 Deep Research Topics: quantitative finance, investment analysis, financial education, financial research, market analysis

As we have reported here , UBS's fixed income salespeople and traders have been through some changes. All sorts of people have left the rates team . Others have arrived. Something good seems to have happened.  💥Follow us on WhatsApp for news alerts. 💥 UBS reported today that its fixed income sales and trading revenues rose by 38% year-on-year in the first quarter. This compared to an increase …

I am using python quantlib, according to one of the Quantlib sample code to evaluate the CHT (Canada Housing Trust) Floaters, and the index I am using is CDOR, and somehow the price I got is always higher than the market, so I post my code below, please help me whether I made something wrong. First, the CDOR forward rates I am using in the code was downloaded from this site: https://www.chathamfi…