<t>For callable bonds Bloomberg calculates a z-spread to next call. Is it ok to assume that this is a measure close to OAS since it's the spread you get assuming the bond will be called? If not could someone please explain what the difference is? On the other hand, is z-spread to maturity the spread...

<t>Hi,I'm looking at a British food retailer Morrison's EUR issuance and its attractiveness. The guidance was MS + 90-95 bps and they issued a 2020 bond with a MS + 88 bps at a yield of 2,35%. Morrison is rated A3 by Moody's.The closest peer to compare Morrison is Tesco which is rated one notch belo...

<r>QuoteOriginally posted by: secondmomentApologies in advance for some shameless self-promotion, but I think this book on rates would be useful for quants to get a more intuitive perspective on fixed income markets. I published this book after working for a few years as a strategist at a top tier i...

<t>Thank you very much for such a detailed explanation freddiemac.And apologies for responding to you after such a long time.I don't know how I overlooked your post,but somehow I did...sorry for that.QuoteOriginally posted by: freddiemacHi! I dont know the situation in Turkey but let me try to expla...

<t>Hi,I know this or variations of this question has been asked before, but I can't calculate the negative carry in the below trading recommendation even after reading them:"We stay neutral local rates in the model portfolio, but with a flattening bias to the curve: Pay 1y xccy, receive 5y xccy at 1...

If anyone has the mentioned spreadsheets could they also send it to me?Many thanks,nicholaihel@gmail.com

yes the quotes are very recent.unfortunately i do not have any data before the crisis

many thanks freddiemac,I'll have a look at the article and will come back if i don't get it.

<t>Well,probably this is a very basic question but I can't seem to figure it out. IRS XCCY Pay Receive Pay Receive1Y 11,55-12,05 10,45- 10,655Y 13,65 - 14,15 11,89 - 12,09Above you can see the Turkish 1 year and 5 year IRS and XCCY rates (against USD).What I wonder is why is the IRS rates are higher...

<r>Very sad news... He has done great things and still had so much to do. Coming from an economics background, he did a great job and became one of the most prominent professors in the quantitative finance world. It's not easy to do so with a phd in economics with so many physicists and mathematicia...

why would you post this in the careers forum....

Unfortunately, Salih Neftci passed away yesterday night in Geneva...

<r>First of all thanks a lot for your reply.I work at asset management and manage mutual funds, however I am not very experienced about risk. I wanted to do a study for our funds and calculate their ex ante tracking errors, however since we change positions almost daily and even change our portfolio...

<t>Are those two the same thing? I want to calculate ex ante tracking error of a fund, however I believe that I need the variance-covariance matrices of all the stocks in the portfolio. Let's assume that I do this now with the current portfolio, a week later stocks will be different. I'm quite confu...

<t>Well, I don't get it because it seems that they short the new index rather than the old index and that's exactly why the spreads of the indices are expected to widen.So it's not about selling the old one and buying the new one and I still don't get the trading idea behind this.QuoteOriginally pos...