Fixed Income Flashcards
1
Q
Single Monthly Mortality rate
A
A measure of prepayment frequency on MBS
2
Q
Flat Price
A
Full price - accrued interest (coupon x (t/T))
3
Q
full price
A
Value on coupon date x (1+ytm)^t/T
4
Q
Value of a bond given a series of spot (and/or forward) rates
A
Coupon/(1+S1) + Coupon/(1+S1)(1+S2) + (Coupon + Principal)/(1+S1)(1+S2)(1+S3) = PV
5
Q
Eurobond vs global bond
A
Denominated in currency of any other country than that in which it is issued, Global bonds can be offered in country of currency denomination as well.
6
Q
Street convention yield
A
7
Q
true yield
A
