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#bond-valuation #bonds #finance #yield-curve
When the yield curve is steep, the bond is predicted to have a large capital gain in the first years (dubious, innit?) before falling in price later.
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Yield curve - Wikipedia, the free encyclopedia
ty become its new market rate. Because a bond is always anchored by its final maturity, the price at some point must change direction and fall to par value at redemption. A bond's market value at different times in its life can be calculated. <span>When the yield curve is steep, the bond is predicted to have a large capital gain in the first years before falling in price later. When the yield curve is flat, the capital gain is predicted to be much less, and there is little variability in the bond's total returns over time. Rising (or falling) interest rates rar




#bonds #finance
Bond's duration is approximately equal to the percentage change in price for a given change in yield, and may be thought of as the elasticity of the bond's price with respect to discount rates - it is not elasticity, because yield change is absolute, not relative
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Bond valuation - Wikipedia, the free encyclopedia
nsitivity of a bond's market price to interest rate (i.e. yield) movements is measured by its duration, and, additionally, by its convexity. Duration is a linear measure of how the price of a bond changes in response to interest rate changes. <span>It is approximately equal to the percentage change in price for a given change in yield, and may be thought of as the elasticity of the bond's price with respect to discount rates. For example, for small interest rate changes, the duration is the approximate percentage by which the value of the bond will fall for a 1% per annum increase in market interest rate. S




Flashcard 149624206

Tags
#bonds #finance
Question
market price of a 17-year bond with a duration of 7 would fall about 7% if [...].
Answer
the market interest rate increased by 1 percentage point per annum

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market price of a 17-year bond with a duration of 7 would fall about 7% if the market interest rate increased by 1% per annum.

Original toplevel document

Bond valuation - Wikipedia, the free encyclopedia
of the bond's price with respect to discount rates. For example, for small interest rate changes, the duration is the approximate percentage by which the value of the bond will fall for a 1% per annum increase in market interest rate. So the <span>market price of a 17-year bond with a duration of 7 would fall about 7% if the market interest rate (or more precisely the corresponding force of interest) increased by 1% per annum. Convexity is a measure of the "curvature" of price changes. It is needed because the price is not a linear function of the discount rate, but rather a convex function of the di







#bonds #duration #finance
when the yield is continuously compounded, Macaulay duration and modified duration are equal.
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Bond duration - Wikipedia, the free encyclopedia
percentage derivative of price with respect to yield. Modified duration applies when a bond or other asset is considered as a function of yield. In this case one can measure the logarithmic derivative with respect to yield: It turns out that <span>when the yield is expressed continuously compounded, Macaulay duration and modified duration are equal. First, consider the case of continuously compounded yields. If we take the derivative of price or present value, expression (2), with respect to the continuously compounded yield we see




#finance #greeks #has-images

Spot
Price (S)
Volatility
(\sigma)
Time to
Expiry (\tau)
Value (V) \Delta Delta\nu Vega\Theta Theta
Delta (\Delta) \Gamma GammaVannaCharm
Vega (\nu) VannaVomma
...
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Greeks (finance) - Wikipedia, the free encyclopedia
or4.2 Speed4.3 Ultima4.4 Zomma 5 Greeks for multi-asset options6 Formulas for European option Greeks7 Related measures 7.1 Bond duration and convexity7.2 Beta7.3 Fugit 8 See also9 Notes10 References11 External links Use of the Greeks[edit] <span>Spot Price (S)Volatility ()Time to Expiry ()Value (V) Delta Vega ThetaDelta () GammaVannaCharmVega () VannaVommaVetaGamma () SpeedZommaColorVomma UltimaTotto Definition of Greeks as the sensitivity of an option's price and risk (in the first column) to the underlying parameter (in the first row). First-order Greeks are in blue, second-order Greeks are in green, and third-order Greeks are in yellow. Note that vanna appears twice as it should, and rho is left out as it is not as important as the rest. The Greeks are vital tools in risk management. Each Greek measures the sensitivity of the value of a portfolio to a small change in a given underlying parameter, so that component risks




Flashcard 149625608

Tags
#bonds #duration #finance
Question
In contrast to Macaulay duration, modified duration (sometimes abbreviated MD) is a price sensitivity measure, defined as the [...].
Answer
percentage derivative of price with respect to yield

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In contrast to Macaulay duration, modified duration (sometimes abbreviated MD) is a price sensitivity measure, defined as the percentage derivative of price with respect to yield.

Original toplevel document

Bond duration - Wikipedia, the free encyclopedia
of the yield , not varying by term to payment. With the use of computers, both forms may be calculated but expression (3), assuming a constant yield, is more widely used because of the application to modified duration. Modified duration[edit] <span>In contrast to Macaulay duration, modified duration (sometimes abbreviated MD) is a price sensitivity measure, defined as the percentage derivative of price with respect to yield. Modified duration applies when a bond or other asset is considered as a function of yield. In this case one can measure the logarithmic derivative with respect to yield: It turns out th







Flashcard 149625619

Tags
#bonds #duration #finance
Question
when the yield is [...], Macaulay duration and modified duration are equal.
Answer
continuously compounded

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when the yield is continuously compounded, Macaulay duration and modified duration are equal.

Original toplevel document

Bond duration - Wikipedia, the free encyclopedia
percentage derivative of price with respect to yield. Modified duration applies when a bond or other asset is considered as a function of yield. In this case one can measure the logarithmic derivative with respect to yield: It turns out that <span>when the yield is expressed continuously compounded, Macaulay duration and modified duration are equal. First, consider the case of continuously compounded yields. If we take the derivative of price or present value, expression (2), with respect to the continuously compounded yield we see







Flashcard 149625626

Tags
#bonds #duration #finance
Question
when the yield is continuously compounded, Macaulay duration and modified duration are [...].
Answer
equal

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when the yield is continuously compounded, Macaulay duration and modified duration are equal.

Original toplevel document

Bond duration - Wikipedia, the free encyclopedia
percentage derivative of price with respect to yield. Modified duration applies when a bond or other asset is considered as a function of yield. In this case one can measure the logarithmic derivative with respect to yield: It turns out that <span>when the yield is expressed continuously compounded, Macaulay duration and modified duration are equal. First, consider the case of continuously compounded yields. If we take the derivative of price or present value, expression (2), with respect to the continuously compounded yield we see







Flashcard 149625715

Tags
#bond-futures #bonds #finance
Question
What is bond (gross) basis?
Answer
BondBasis = BondPrice - FuturePrice times ConversionFactor

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Flashcard 149625726

Tags
#bond-futures #bonds #finance
Question
Conversion factor is the price (1-based, not 100-based) of a bond to make yield to maturity equal [what numeric value typically?] on the delivery date.
Answer
6%

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Flashcard 149625741

Tags
#bond-futures #bonds #finance
Question
What is bond (net) carry?
Answer
difference between coupon income and cost of financing

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Flashcard 149625752

Tags
#bond-futures #bonds #finance
Question
What is bond Implied Repo Rate?
Answer
return you would earn by (1) buying a bond, and (2) selling future against it and deliver the bond against the future

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Flashcard 149625763

Tags
#bond-futures #bonds #finance
Question
being short a bond future is better than being short a bond because [...] which makes futures [cheaper / more expensive] than strictly calculated from carry point of view
Answer
  1. shorter can choose which bond to deliver and often when
  2. futures are cheaper

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Flashcard 149625774

Tags
#bond-futures #bonds #finance
Question
How to find a cheapest to deliver bond using IRR and how does the reasoning go?
Answer
bond with highest IRR (Implied Repo Rate) is the CTD because IRR is the return if you buy a bond and sell a future against it and then deliver the bond

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Flashcard 149625789

Tags
#bond-futures #bonds #finance
Question
what is net basis of a bond (aka basis net of carry)?
Answer
NetBasis = Basis - Carry

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Flashcard 149625800

Tags
#bonds #finance
Question
At reset points, the price of the FRN is at [...]
Answer
par

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Flashcard 149625811

Tags
#bloch-effective-java-2ed #java
Question
When should you be alert to memory leaks in an object? When it does what?
Answer
when it manages its own memory

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Flashcard 149625822

Tags
#bloch-effective-java-2ed #java
Question
WeakHashMap is useful only if the desired lifetime of cache entries is determined by external references to the [key or value]
Answer
key, not the value

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Flashcard 149625833

Tags
#bloch-effective-java-2ed #java
Question
A good way to prevent memory leak from listeners and other callbacks is to store them as [...] in [...] for example
Answer
keys in WeakHashMap

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Article 149625844







Flashcard 149625854

Tags
#bloch-effective-java-2ed #java
Question
is super.finalize(); called automatically?
Answer
no

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Article 149625865







Flashcard 149625870

Tags
#bloch-effective-java-2ed #equality #java
Question

Suppose we have a class that tries to cooperate with String. What is wrong with it?


public final class CaseInsensitiveString {

    private final String s;

    @Override public boolean equals(Object o) {
        if (o instanceof CaseInsensitiveString)
            return s.equalsIgnoreCase(((CaseInsensitiveString) o).s);
        if (o instanceof String)
            return s.equalsIgnoreCase((String) o);
       return false;
    }

    // rest of the code
}
Answer
It violates symmetry of equality - "BlaBla".equals(whatever) will do case-sensitive comparison, even if whatever is CaseInsensitiveString (in which case the result is false)

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Flashcard 149625881

Tags
#bloch-effective-java-2ed #equality #java
Question

Suppose we have a class


public class Point {
    private final int x;
    private final int y;

    @Override public boolean equals(Object o) {
	if (!(o instanceof Point))
	    return false;
	Point p = (Point)o;
	return p.x == x && p.y == y;
    }
    // Remainder omitted
}

and a subclass

public class ColorPoint extends Point {
    private final Color color;
    // Remainder omitted
}

what are the consequences of NOT implementing equals() method on ColorPoint?

Answer
equals() contract is not violated, but all color information is ignored in equality comparisons

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Flashcard 149625984

Tags
#bloch-effective-java-2ed #java
Question

Suppose we have a class


public class Point {
    private final int x;
    private final int y;

    @Override public boolean equals(Object o) {
	if (!(o instanceof Point))
	    return false;
	Point p = (Point)o;
	return p.x == x && p.y == y;
    }
    // Remainder omitted
}

and a subclass

public class ColorPoint extends Point {
    private final Color color;

    @Override public boolean equals(Object o) {
      if (!(o instanceof ColorPoint))
         return false;
      return super.equals(o) && ((ColorPoint) o).color == color;
     }

    // Remainder omitted
}

what are the consequences of implementing equals() method on ColorPoint like above?

Answer
It violates symmetry. You get different results when comparing a point to a color point and vice versa.

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Article 149625995







Flashcard 149626000


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