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by wickedwit
January 10th, 2021, 3:06 am
Forum: Technical Forum
Topic: bond futures vs CTD yield conundrum
Replies: 9
Views: 1674

Re: bond futures vs CTD yield conundrum

what is the definition of notional yield?
by wickedwit
January 10th, 2021, 3:05 am
Forum: Technical Forum
Topic: bond futures vs CTD yield conundrum
Replies: 9
Views: 1674

Re: bond futures vs CTD yield conundrum

I'm not seeing anything here about notional yield
by wickedwit
January 9th, 2021, 10:50 pm
Forum: Technical Forum
Topic: bond futures vs CTD yield conundrum
Replies: 9
Views: 1674

Re: bond futures vs CTD yield conundrum

What is this notional yield of -125 bps you mention? Also I believe the conversion factor prices the bond to a 6% yield to maturity not a 6% coupon.
by wickedwit
January 5th, 2021, 12:29 am
Forum: Technical Forum
Topic: bond futures vs CTD yield conundrum
Replies: 9
Views: 1674

Re: bond futures vs CTD yield conundrum

can you show me the DLV screen for that?
by wickedwit
January 4th, 2021, 2:01 pm
Forum: Technical Forum
Topic: bond futures vs CTD yield conundrum
Replies: 9
Views: 1674

Re: bond futures vs CTD yield conundrum

the yield on the future is the same as the ctd. The term structure isn't really relevant.
by wickedwit
January 4th, 2021, 1:37 pm
Forum: General Forum
Topic: Why is there prepayment risk for a TBA?
Replies: 5
Views: 4251

Re: Why is there prepayment risk for a TBA?

The TBA is just a futures contract on loans with prepayment risk. Because worst to deliver is the assumed deliverable, assume the TBA is that loan.
by wickedwit
August 4th, 2019, 6:12 pm
Forum: Student Forum
Topic: SOFR discounting
Replies: 3
Views: 11498

Re: SOFR discounting

Actually an interesting point if they might switch to sofr discounting although i haven't seen anything about it.
by wickedwit
August 4th, 2019, 6:10 pm
Forum: Student Forum
Topic: YTM, Yield Curve, and Bond Valuation
Replies: 4
Views: 8310

Re: YTM, Yield Curve, and Bond Valuation

That's a reasonable valuation measure for say the treasury curve. Basically just return/risk. You could add interesting variations to both parts of the equation. For instance you could do total return (rolldown included, maybe financing too)/duration. Or for the denominator you could use some histor...
by wickedwit
August 3rd, 2019, 2:29 pm
Forum: Trading Forum
Topic: Mid Curve Options VS Swaptions
Replies: 11
Views: 10316

Re: Mid Curve Options VS Swaptions

so have a model calculate it! But that underlying forward swap is also easily calculated by a model but can visualize that duration as the duration of a 20yr swap minus a 10yr swap 1:1 as a long 10y10y is basically short 10yrs and long 20yrs. Mid curves are a bit strange as it's not a walking forwar...
by wickedwit
August 3rd, 2019, 2:24 pm
Forum: Trading Forum
Topic: Swap Portfolio returns
Replies: 1
Views: 6010

Re: Swap Portfolio returns

people generally like log returns for volatility but you could also just use the daily total returns, or convert to basis points change to compare to swaption markets.
by wickedwit
August 3rd, 2019, 2:21 pm
Forum: General Forum
Topic: Correlation estimation between swap rates
Replies: 1
Views: 4395

Re: Correlation estimation between swap rates

ask you're dealer. typically they will tell you their lookback for correlation. You can use your own for relative value but for trading that will be the pricing.
by wickedwit
August 3rd, 2019, 2:19 pm
Forum: General Forum
Topic: MBS and Negative Duration
Replies: 2
Views: 4339

Re: MBS and Negative Duration

Well CMO's can be IO or PO like so that is why. Like an IIO etc.
by wickedwit
August 3rd, 2019, 2:18 pm
Forum: General Forum
Topic: Duration of floaters with a floor
Replies: 4
Views: 4300

Re: Duration of floaters with a floor

Something that you can do is take whatever cap or floor your bond has and go price out that cap or floor using the bonds average life from a model or some vector. That should compare to your structure's pricing.
by wickedwit
August 3rd, 2019, 2:11 pm
Forum: General Forum
Topic: YTM for FRN
Replies: 3
Views: 20577

Re: YTM for FRN

historically it's been difficult to tie to bloomberg numbers exactly for some reason even with their cash flows. For a basic ytm of a frn i would just run the cash flows to the referenced forward curve and discount that.
by wickedwit
August 3rd, 2019, 2:08 pm
Forum: General Forum
Topic: Forward stub pricing
Replies: 2
Views: 4427

Re: Forward stub pricing

What are you trying to do here exactly? For a 1 month forward 1W stub i think that you would need if possible the 1m stub and the 1m +1w stub. if that's what you're asking