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READING 60: RETURNS, SPREADS, AND YIELDS #70

Open Grefer opened 4 years ago

Grefer commented 4 years ago

https://www.melonsblog.cn/2020/02/reading-60-returns-spreads-and-yields.html#more

Grefer commented 4 years ago

The coupon rate is less than the market interest rate, the bond is a discount bond and trades less than par.

Grefer commented 4 years ago

Semiannual-pay YTM refers to bond equivalent yield (BEY).

Grefer commented 4 years ago

Carry-roll- down, bond matures. Rt' with Rt-1 Rate changes, Expected term structure with original term structures that exist at time t. Rt with Rt' Spread change, bond spread from t-1 to t. St with St-1