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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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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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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

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.

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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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

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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

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.

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

Tags

#bonds #duration #finance

Question

when the yield is [...], Macaulay duration and modified duration are equal.

Answer

continuously compounded

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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

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

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

Tags

#bonds #duration #finance

Question

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

Answer

equal

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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

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

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

Tags

#bond-futures #bonds #finance

Question

What is bond (gross) basis?

Answer

BondBasis = BondPrice - FuturePrice times ConversionFactor

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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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Tags

#bond-futures #bonds #finance

Question

What is bond (net) carry?

Answer

difference between coupon income and cost of financing

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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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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

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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

- shorter can choose which bond to deliver and often when
- futures are cheaper

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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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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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Tags

#bonds #finance

Question

At reset points, the price of the FRN is at [...]

Answer

par

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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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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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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

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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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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

Tags

#bloch-effective-java-2ed #java

Question

is super.finalize(); called automatically?

Answer

no

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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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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

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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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

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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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |

status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
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repetition number in this series | 0 | memorised on | scheduled repetition | ||||

scheduled repetition interval | last repetition or drill |