<we><edit> <!-- questions and answers -->
finance-mathematics
no-arbitrage-theory
finance
data
r
fixed-income
sharpe-ratio
option-strategies
simulations
portfolio
derivatives
garch
market-making
swaps
market-data
monte-carlo
matlab
optimization
brownian-motion
spread
currency
factor-models
models
portfolio-optimization
time-series
fixed-income
How to calculate FX hedged bond yield?
fixed-income
fx
hedging
volatility adjustment on momentum
volatility
fixed-income
momentum
Derivation of convexity formula
fixed-income
bond
convexity
Proxying historical bond futures duration
fixed-income
bond
bond-futures
Duration vs. Convexity Contradiction
fixed-income
finance
duration
convexity
Choosing a proxy for asset credit event correlations
fixed-income
simulations
credit-risk
Floating rate note value approximation
fixed-income
pricing
valuation
yield
Calculating expected loss using actual probabilities
fixed-income
derivatives
Wrong discount factors when finding Nelson Siegel Svensson model parameters
fixed-income
bond
yield-curve
python
I need liquidity metrics of a portfolio (2-5 bonds) that takes into consideration difference in size of bonds and maturity profile
fixed-income
finance-mathematics
mathematics
Bond Fair Value
fixed-income
present-value
The ambiguity of the term "duration"
fixed-income
bond
soft-question
How do I calculate the daily return for a U.S. Treasury Note
fixed-income
bond
treasuries
Product Control Fixed Income - Interview Question
fixed-income
Why would borrowing rates for repurchase agreements be negative
fixed-income
bond
Deriving the Forward Rate Formula from the Expectation Hypothesis
fixed-income
yield-curve
forward-rate
Interest rate model with external variables
fixed-income
stochastic-processes
econometrics
rates
Why do Fama French's "Common risk factors in the returns on stocks and bonds" use data starting in 1963? Availability or convenience for results?
equities
fixed-income
interest-rates
returns
fama-french
Question about using binomial interest rate tree to value callable bonds
fixed-income
Bank discount yield and money market yield
fixed-income
bond
bond-yields
Interpretation of OAS on MBS
option-pricing
fixed-income
spread
mbs
Key Rate Duration for MBSs greater than Key Rate Tenor
fixed-income
duration
exotics
mbs
Z-Spread vs Discount Margin
fixed-income
pricing
self-study
discounting
How can I break down the change in value for an inflation-linked bond
fixed-income
inflation
Is it possible to sell protection on own asset with CDS?
fixed-income
cds
default-probability
default-risk
sovereign-cds
Issue with OLS Regression for Nelson Siegel Svensson parameters
fixed-income
programming
bond
Modified duration and convexity of a bond in R
fixed-income
programming
bond
duration
convexity
What is the difference between Option Adjusted Spread (OAS) and Z-spread?
fixed-income
Sovereign bond CDS data
fixed-income
bond
swaps
How do traders determine when points in a yield curve are at 'fair value'?
fixed-income
interest-rates
yield-curve
rates
Returns on actively trading bonds compared to equity?
fixed-income
expected-return
active-investing
$R^{2}$ Measure for Functions (Yield Curves)
fixed-income
forecasting
Data sets - Inter-dealer order flow for OTC products
fixed-income
data
market-data
fx
tick-data
How are short rate models used to construct the whole of the yield curve?
fixed-income
yield-curve
short-rate
Anyone have good literature on buying bullet vs barbell returns?
fixed-income
Best python library for loan portfolio analytics?
fixed-income
python
bond-portfolio
library
Convexity for historical bond data
fixed-income
bond
python
bond-yields
convexity
Turning time series of continuous bond interest rates into a total return index
fixed-income
bond
bond-yields
What are some of the best textbooks on Fixed Income securities?
fixed-income
bond
bond-yields
bond-futures
Definition of carry
fixed-income
Proof of the convexity adjustment formula
fixed-income
bond
expected-return
convexity
Is return required by a bond investor a function of base interest rate and credit worthiness of the issuer?
fixed-income
interest-rates
What is the best alternative of Quantlib library
fixed-income
programming
quant-trading-strategies
risk-management
quantlib
Using PCA model to capture Risk on a box trade on Swap spread
fixed-income
risk
swaps
interest-rate-swap
Pricing a fixed rate bond in Quantlib Python
fixed-income
python
quantlib
What's a covered bond?
fixed-income
Why bond (individual or their benchmark index) graphs predominantly display yield rather than price?
fixed-income
Two-factor Interest rate binomial tree
fixed-income
interest-rates
american-options
term-structure
Is there a way to price a prepayment penalty using Derivagem?
fixed-income
hullwhite
Adjust a bond for PIK option
fixed-income
Negative correlation between interest rates and credit spreads - Why?
fixed-income
interest-rates
spread
credit
How to compare the value of bank Certificates of Deposit (CDs) with brokered CDs?
option-pricing
fixed-income
Valuation of Fixed-Income Securities
fixed-income
What is the "maturity" of an "investment option"?
fixed-income
convertible-bond
Question on pure carry for two bonds
fixed-income
Riding the Yield Curve
fixed-income
Auction roll liquidity premium - why use ASW?
fixed-income
fixed
How do bond traders get all the different moving parts?
fixed-income
How do you quantify the impact on bond if it becomes special?
fixed-income
fixed
Is there a way to adjust a bond for a PIK option?
fixed-income
Receiver Swaption and Callable Bond - Literature Proof?
fixed-income
bond
swaption
Treasury Bill and Treasury Bond : Quoted Price VS Cash Price VS Value of Bond
fixed-income
interest-rates
bond
Interest rate risk using copulas
fixed-income
interest-rates
risk
yield-curve
covariance
Machine Learning for Matrix Completion: The Case of a Sparse Credit Rating-Yield Matrix for Non-Liquid Corporate Bonds
fixed-income
interest-rates
optimization
regression
machine-learning
What does Buying 5 year and hedging with 2 year and 10 year mean?
fixed-income
Daily amortization of bond issuance commission on a yield basis
fixed-income
bond-yields
fees
Bond ETF Dividends
fixed-income
bond
etf
dividends
yield
Black model for indices
options
black-scholes
fixed-income
bond
black
How is Bloomberg's fixed-equivalent yield on a floater calculated?
fixed-income
bloomberg
floating-rate
Do price approximations lead to arbitrage opportunities?
fixed-income
bond
arbitrage
Carry calculation on an interest rate swap
fixed-income
interest-rate-swap
irs
theta
Compare the payoff of two investment with same initial capital
fixed-income
bond
forward
forward-rate
spot-rate
Can OASD be different from OAD for a fixed income corporate bond?
options
fixed-income
bond
spread
duration
Cash-settled swaptions
fixed-income
derivatives
swaption
annuity
A predictive tool signaling when to move between different short-term instruments
fixed-income
interest-rates
modeling
yield-curve
excel
Short-rate models: Risk-premium of $T$-bonds
fixed-income
interest-rates
bond
short-rate
risk-premium
Importance of z-spread in CDS-Bond Basis trading
fixed-income
bond
cds
credit
credit-derivatives
How can I measure the performance of a debt porfolio against a benchmark over a certain period of time?
fixed-income
portfolio-management
bond
bond-portfolio
Roll down Treasury curve (Coupon effects)
fixed-income
treasuries
Carry and roll (upfront vs running)
fixed-income
Tree representation of BDT model in John Hull's note
fixed-income
derivatives
How to roughly estimate long term term premia?
fixed-income
Why Hull White 2 Factor model can't capture vol skew?
fixed-income
interest-rates
calibration
hullwhite
A very simple question about convexity of a bond
fixed-income
bond
bond-yields
convexity
Where can I find historical daily term repo data?
fixed-income
bloomberg
treasuries
Does the FED lend directly to commercial&investment banks or is there an intermediary
fixed-income
interest-rates
central-banking
Alternate explanation of Duration
fixed-income
bond
duration
bond-yields
How can a rise in real yields raise borrowing costs
fixed-income
bond
bond-yields
What is a bank's shadow rate
fixed-income
interest-rates
bond-yields
central-banking
What curve are you shifting when you calculate DV01 for a swap?
fixed-income
swaps
yield-curve
duration
discount-factor-curve
Duality of callable bond price
fixed-income
bond
Discounted cash flows for bond valuation: exponential and simplified
fixed-income
bond
valuation
What exactly is a deposit futures contract?
fixed-income
futures
derivatives
Literature on credit risk premia
fixed-income
quant-trading-strategies
credit
algorithm
strategy
Arbitrage in HJM framework
fixed-income
bond
arbitrage
forward-rate
heath-jarrow-morton
Appropriate approach to calculate duration for a loan fund (still in reinvestment period)
fixed-income
duration
US Treasury foreign buying/selling data
fixed-income
bond
treasuries
Valuing the floating leg of a swap
fixed-income
swaps
interest-rate-swap
Duration of perpetual bond
fixed-income
bond
duration
Finra Trace example
fixed-income
market-data
historical-data
tick-data