w*l
发帖数: 6 | 1 How you can back up a coupon rate on a newly issued European callable bond,
being given current market
swaption vol and callable agency spread to LOBOR?
You can consider treasury curve, swap curve and other basic rates as
accessible market information.
I tried several methods but can not get the right level that close to the
market level.
Say a FNMA 3nc1, given 3nc1 spread to LIBOR is 145 bp, 1Y2Y swaption vol is
45?
Sincerely thanks! |
|
s***u
发帖数: 587 | 2 不知道怎么贴照片.
我读过了这个Prospectus，这个叫callable notes,Chase 决定什么时候买回。行情好
，他们会在每三个月决定要不要call. 如果call了，就只给三个月的利息 2.5%*
quarter 数。
如果不call,等到一年期的时候，只要一年间没有任何一个index跌倒过40%以上，就保
证10% 利息加本金。不能续约。一年就完。
我是从一个FA那里知道的，他推荐的，觉得风险不高，可以试试。但是只在每个月底出
来，过了时间就没了。
10-12%是到手的net return。所有的费用都除掉以后的利息。
but
which
only
high |
|
y****i
发帖数: 778 | 3 I found a similar one with 11.5 percent coupon with downside protection 42.5
percent drop.
http://www.sec.gov/Archives/edgar/data/19617/000089109212006237
though both sectors drop 40 percent are unlikely, but your gain is capped at
10 percent before tax and is callable. Personally I don't like any
structured investment because it is iliquid ( you can not sell it or the
spreading is too large) and basically your money is a cheap capital for the
Wall Street to play high risk option gambling. You c... 阅读全帖 |
|
y****i
发帖数: 778 | 4 【 以下文字转载自 Bond 俱乐部 】
发信人: yangqi (zzzzzz), 信区: Bond
标 题: A callable zero coupon muni bond 156753EC5
发信站: BBS 未名空间站 (Sat Mar 9 00:07:54 2013, 美东)
Bought $50000 face value at $30.662 yesterday, yield 5.884%, Maturity Date
08/01/2033, both Fed & CA tax free, S&P rating A+,insured by MBIA. As long
as the ask price plus 0.1$ fee is less than following call price, it is a
good example for muni bond with high yield.
Call Date Call Price
08/01/2012 30.327
02/01/2013 31.216
08/01/2013 32.130
02/01/2... 阅读全帖 |
|
g*****g
发帖数: 34805 | 5 Callable更flexible一些。简单点的就用ExecutorServices就行。 |
|
c*********e
发帖数: 16335 | 6 我也觉得是。那runnable这个东西在什么情况下不能被callable替代？ |
|
K*****Y
发帖数: 629 | 7 callable bond can be decomposed into (par floater) + (payer swaption).
the strike on the payer swaption depends on both the coupon rate and the
spread over LIBOR. So you only need to be able to price the swaption in
order to back out the coupon rate since you already know the spread.
If you want to consider default risks more seriously, then this can be more
tricky. |
|
L******f
发帖数: 5368 | 8 我给你科普一下吧。自己读吧。
翻译我就没耐心了。
Characteristics of Fannie Mae Debt Securities
Fannie Mae issues a variety of debt securities with maturities across the
yield curve to fulfill its ongoing funding and rebalancing needs for the
mortgage portfolio. Fannie Mae issues both short-term debt with maturities
of a year or less and long-term debt with maturities of over a year.
Typically, Fannie Mae debt can either be callable or noncallable. In recent
years, additional structures and features have been added in r... 阅读全帖 |
|
l***n
发帖数: 812 | 9 This is the express transcript from Factset.
Operator: Good morning and welcome to the First Quarter 2011 Western
Refining Earnings Conference Call. After the speakers' opening remarks,
there will be a question-and-answer period. [Operator Instructions] As a
reminder, ladies and gentlemen, this conference call is being recorded and
your participation implies consent to our recording of this call. If you do
not agree with these terms, please disconnect at this time. Thank you.
I would now li... 阅读全帖 |
|
N***m
发帖数: 4460 | 10 一小段code。我在学java concurrent，不知道多核电脑上运行会快多少？
是不是和核的数目基本线性的，如果thread_num % #cpu_core==0？
多核会不会自己优化？
==================================================
这段程序寻找给定范围内素数的个数。
[Main.java]
import java.util.ArrayList;
import java.util.List;
import java.util.concurrent.Callable;
import java.util.concurrent.ExecutionException;
import java.util.concurrent.FutureTask;
public class Main {
public static void main(String[] args) {
List> tasks = new ArrayList
... 阅读全帖 |
|
N***m
发帖数: 4460 | 11 来自主题: Programming版 - 问题一枚 上帝造我的时候肯定是让我脑袋先着地的。
两个callable，一个返回100，一个返回200，
还有一个runnable3，用于cyclicbarrier的action.
程序运行到runnable3的System.out.println("barrier action executed!")，
似乎就悬在那里了。似乎在等什么，或者死循环？
[Main.java]
public class Main {
static List> tasks = new ArrayList
Integer>>();
public static void main(String[] args) throws InterruptedException,
ExecutionException {
CyclicBarrier barrier = new CyclicBarrier(2, new Runnable3()
);
Callabl... 阅读全帖 |
|
m****u
发帖数: 229 | 12 >Yield To Worst和Coupon Rate的区别是什么？
If your bond has a $100 face value, and you get paid $5 a year, then your
coupon rate is 5%.
A company or agency can redeem the callable bond before the bonds mature.
You can think these above as in you have a car loan and you have money to
pay it off so you don’t need to pay anymore interest.
If in the 6th month of the first year, the company calls and gives you ur
money back+ only the first 6 months of interest, then the yield is not going
to be 5% because yo... 阅读全帖 |
|
m****a
发帖数: 164 | 13 不懂这是个什么东西，别人推荐的
比如下面这个，有谁熟悉吗？多谢了先
Goldman Sachs Finance Corp
Notes
Callable CMS Spread and Russell 2000® Index-Linked Range Accrual Notes
due
15 years, Non-Callable for 1 year
40054K2X3
40054K2X3
2/25/2016
Year 1: 10% (Fixed)
Year 2-15: 9 x (30years' CMS- 2years' CMS), Subject to Russell 2000 ≥ 60%
on 2/25/2016 (Daily Accrual), Cap at 10%
Callable Date: 2/28/2017, and issuer can call Quarterly thereafter
Quarterly Payment
Payment at Maturity:
1. If Final Index Value of Russell 2000 ≥ 50% of... 阅读全帖 |
|
r*****1
发帖数: 111 | 14 最新被公司同事忽悠了，想买点债券，靠谱不? 顺便问问哪家开户的交易的佣金合理一
些，今天找了一家，说是0.5% + base 50$,
那个agent推荐了一款，但是我没有敢下手，第一次买，请各位建议，谢谢。
Barclays
Notes
Phoenix Autocallable Notes due August 29, 2019 Linked to the Performance of
the Market Vectors® Gold Miners ETF
Global Medium-Term Notes, Series A
3 years, Auto-Callable after 6 months
11%, Subject to VanEck Vectors Gold Miners ETF (GDX) ≥ 60% on 8/25/2016 (
Quarterly Observation)
Callable Date: 2/25/2017, Auto-Callable Quarterly thereafter if GDX ≥ 100%
on 8/25/2016
Quart... 阅读全帖 |
|
q*********u
发帖数: 280 | 15 好题， 我没有google, 自己裸答了，请包含指正一下
Q1. What's the difference between process and thread?
process is expensive, traditionally, doesn't share memory;
thread can be understood as a light weight process, can share memory
with
each other;
Q2. What's the difference between Runnable and Callable?
Callable can return value?
Callable can throw an exception?
Q3. What's the difference between when use synchronized method/block and
ReentrantLock can have multiple locks, more flexible than synchronized |
|
z***e
发帖数: 5393 | 16 也可能是我太白痴哈。
很简单一个东西，我用maven的junit跑几个unit test，就是比较一下linear遍历和
threadpool并发处理，看时间的差异，也就大概是这样的东西：
public void test() {
int N=10000;
List data = new LinkedList();
// 先initialize
data.add(new Long[N]);
data.add(new Long[N]);
data.add(new Long[N]);
data.add(new Long[N]);
for(Long[] array :data) {
... //往里面填点数字
}
// 1. linear process
for(Long[] array : data) {
for(int i=0; i
if (array[i]%2 == 0) {
// 做一些简单计算
}
}
}
// 2. parallel
ExecutorServ... 阅读全帖 |
|
n*****r
发帖数: 159 | 17 这种不是传统的债券，是equity linked notes，更像股票。象你想买的GDX linked
notes可以简单用GDX ETF + 卖GDX call option组合复制。这种notes手续费比较高。
还有个问题是tax，除非到期前卖(有没liquidity就不知道了），不然capital gain算
是interest，税率高。这种东西在美国可能只适合大投资者，小投资者直接买GDX卖
covered call可能更合适
[在 ray8341 (山那边) 的大作中提到：]
:最新被公司同事忽悠了，想买点债券，靠谱不? 顺便问问哪家开户的交易的佣金合理
一些，今天找了一家，说是0.5% + base 50$,
:那个agent推荐了一款，但是我没有敢下手，第一次买，请各位建议，谢谢。
:Barclays
:Notes
:Phoenix Autocallable Notes due August 29, 2019 Linked to the Performance of
the Market Vectors® Gold Miners ETF
:Global Med... 阅读全帖 |
|
T***B
发帖数: 137 | 18 照着mectite，goodbug二位的思路写了一下，代码如下. 试着跑了一下，运行结果和预
期吻合。我有一个问题：我在PredictRequest.call()里面把current thread cast成
PredictorThread从而拿到predictor object. 还有更好的办法把predictor (inside
the thread) 和callable联系起来吗？
Predictor.java
public class Predictor {
private String name;
public Predictor(String name) {
// heavy lifting stuff.
this.name = name;
System.out.println("Created predictor " + name);
}
public synchronized String predict(String input) throws
InterruptedExcept... 阅读全帖 |
|
p**o
发帖数: 3409 | 19 In [1]: s = '1\nX --> Y\na\nb\nc\n\n2\nX --> Y\naa\nbb\ncc\n'
In [2]: import re
In [3]: help(re.sub)
Help on function sub in module re:
sub(pattern, repl, string, count=0, flags=0)
Return the string obtained by replacing the leftmost
non-overlapping occurrences of the pattern in string by the
replacement repl. repl can be either a string or a callable;
if a string, backslash escapes in it are processed. If it is
a callable, it's passed the match object and must return
a... 阅读全帖 |
|
o**2
发帖数: 168 | 20 首先，FMP和Java built-in的ExecutorService/Futre机制不是一个级别的东西。FMP在
这里只是展示它对imperative programming的支持。
其次，如果我们讨论的context仅仅限于这个例子的话，你的代码也缺了很多东西。要
写足了的话，会超过三行。
1）你要有一个ExecutorService，这相当与FMP的第50行；
2) worker1 & 2 必须是Callable或Runnable，改写的话，就超过了60/70这两行；
3) 你必须要有worker1和worker2的class源码，它们可能是同一个或两个不同classes；
4) 一个class里Callable或Runnable只能各implements一次；
5) messenger给它管理下的receivers（e.g. worker1&2）提供单线程环境。（这个有
点超出了刚才设定的context） |
|
o**2
发帖数: 168 | 21 首先，比较task的形式。ExecutorService只接受一个Runnable或Callable，而一个
Java class只能有一个Runnable或Callable，也就是说，一个class只能容纳一个task。
在FMP里，一个active object可以有任意多个methods（这里个一个method相当于一个
task），比如Example 3里的multiply()，divide()，和pow()。这要用
ExecutorService来写，就得用3个classes。
在组织结构上，FMP胜。 |
|
x******a
发帖数: 6336 | 22 在visual studio express 2012里为什么compile不过去？
#include
#include
#include
#include
int main()
{
std::vector vec{3, 4, 2, 9, 15, 267};
for(auto& elem:vec) elem*=3;
std::ostream_iterator out_it(std::cout, ", ");
std::copy(vec.begin(), vec.end(), out_it);
return 0;
}
Error 1 error C2601: 'vec' : local function definitions are illegal
c:users。。documentscodetest11test11main.cpp 8 1 test11
Error 2 error C2143: synt... 阅读全帖 |
|
c******o
发帖数: 1277 | 23 you mean anonymous function?
Which is just a function and NOT java.util.concurrent.Callable
you can use implicit conversion to automatically do it though.
http://qerub.se/scala-runnable-and-callable |
|
A*******e
发帖数: 2419 | 24 std::thread mythread([]() {
do_sth();
do_sth_else();
});
觉得不如单独声明好懂啊。
auto callable = []() {
...
}
std::thread mythread(callable); |
|
c***s
发帖数: 2 | 25 When you calculate OAS of a callable bond, assume the market price is known,
there are two ways:
1. to build a interest rate tree, and add a spread to each node of the tree
and price the bond cash flows without the callable feature and until you
match the market price; the spread is on top of the forward rate
2. just use the bond (zero) curve, add spread on each curve instrument until
you match the market price. the spread is on top of the zero rate
so when to use each method and difference? |
|
c**********s
发帖数: 295 | 26 OAS, by its name, is the option adjusted spread. you turn off the callable
feature, which is the option part, what you are calculating.
with the callable feature, 1 is oas, 2 is zvol oas, which means what spread
you will make if there is no vol. the difference between 1 and 2 is the
spread you are paying for the vol.
in fact as i remember the spread is on top of the short rate. |
|
r******o
发帖数: 1530 | 27 ok，如果有共同点就可以继续讨论：
首先，银行没有办法推销衍生品，大家都觉得银行到处推销，这是不恰当的理解，金融
业是先有的demand，然后才有的supply。最近的例子，就是Super Senior CDO，为什么
会搞出来这么个东西，就是因为长期的低利率，造成的流动性过剩，钱太多没有什么投
资机会，很多退休基金只能投资AAA的产品，这样的大背景下金融业才通过债券化＋
tranche的方法来满足这部分需求，同样是AAA，利率比Treasury高几个bps，并从中取
利，这个不是金融业的错。由此看，“大机构创造一个新的流动性较差的衍生品推向客
户”这个是没道理。
还有一个例子就是丰田公司，丰田跟一些投行有些很难定价的OTC，你觉得是为什么？
为什么一个卖车的能整出这么个东西？比如，一个callable CMS Spread Cap／Floor，
strike还step up／down，你怎么value这个东西？比如callable cross currency swap
，等等。这是因为丰田在世界各地有厂，出口进口，还有发行的corporate bond，就有
这方面的风险，这些st |
|
a**********t
发帖数: 631 | 28 你这就扯没边了。10年treasury bond应该是没有callable的，哪有refinance之说？
只有旧债到期换成新债，利率支出才会慢慢降低。
你是bond专家还是贷款经纪？
re- |
|
m**********w
发帖数: 4161 | 29 看了一下，发现CD情况挺差的。6-mo最高才2%，存HSBC的saving还有1.55%呢。
另外现在整个债券市场利率很不好。FRE的3年债券利率也不过2%，还带一个一年后
callable option。 |
|
s********h
发帖数: 158 | 30 i am trying to pick btwn 2 bonds, and perhaps someone can give some
suggestions which one is potentially a better deal.
both are munis with equal YTM, maturity (15 yrs), credit rating, non-
callable, different coupon rate. one is 10% discounted and the other one is
slightly above par. assuming the interest rate is heading up in the next few
years and i would
like hold the bond for 4-5 years. so which one has less interest rate risk?
thanks. |
|
T*********e
发帖数: 9208 | 31 太复杂了，你最好估计一下风险和预计利率,看他下面的cms index,大多数情况interes
t都是0. 只有7/30的情况，利率在8%以上。还有cms是5.6%,利率还为0的情况，很fishy
阿。
而且这个是callable, 3年后利率太高，他就call back了，不用付premium。 |
|
w****n
发帖数: 1737 | 32 这个问题问的既important又很silly. 呵呵。
important那是不言而喻， 作为buy side,你当然要知道这个的value and risk.
为什么说silly呢 ， 因为所有的投行的所有的产品， 特别是现在这种structure
的product,在推出之前是要经过compliance department approve的， 所有客户
可能碰到的risk,我们都要在说明书上写的一清二楚， 如果你买了什么product
然后发现银行没有disclosure其中的risk, 你可以告银行发大财了。经历过这么多著名
的high profile law suit，没哪家投行这么傻吧。所以你根本不用来问有什么风险，
各种风险都写得一条条清清楚楚。
当然，disclosure归disclosure, 那都是字面上的东西， 每个buyer对这些的理解不一
样。就比如说， credit risk,你对银行倒闭的risk理解有多少， 你可能
觉得MS这么出名的投行，倒闭可能性很小， 可是除非你是sophisticated investor或
者机构,你可能没办法得出一个量化的东... 阅读全帖 |
|
s***u
发帖数: 587 | 33 只要一年以内没有跌过40%，就保本金和10%利息。如果跌过40%就要倒是看情形了。
underlying index 是 Russel 2000 和 market vectors gold miners ETF.
有人买过吗？ |
|
p**h
发帖数: 1105 | 34 RUT is risk in the coming year, GDX as well.. but 40% dowm is a big room...
might be okay... but if I were you, I won't bet... |
|
y****i
发帖数: 778 | 35 You are talking about structured note, please list CUSIP or detail
description. Normally it will give you 10-12 percent for the first year but
future yield is gambled by the issuer with complicated future optiones which
will garantee they will have profit under any conditions. I seldom see only
one year note give you 10 percent coupon which usually mean it is very high
leveraged. Not worth the risk for most structured notes, in general. |
|
|
q****x
发帖数: 7404 | 37 you can buy deep otm put.
but tax really kill the deal.
.5
at
the |
|
y****i
发帖数: 778 | 38 Yes, I use Fidelity for fixed income and IB for stock because bid/ask prices
are more important for bond than transaction fee. $8 for each transaction
if your face value is less than 8000$, above that $1 for $1000 bond.
Yes, 90% of my bond is below par value because some bonds are callable, you
have to buy below par value (plus the transaction fee) to avoid early call
risk.
Corporate bond liquidity is better than municipal bond. Usually, you can
sell it online like stock if the amount is 5000$ o... 阅读全帖 |
|
|
y****i
发帖数: 778 | 40 05/13/2013 31.731 Pre-refunded Call
Make 31.731/30.662 = 3.5% in two month, equal to 20% yield a year, will look
for next Kicker bond after May 13. In addition, no need to pay $1 per $1000
face value transaction fee for the call, that will save $50 for this $50000
face value zero coupon bond. |
|
S**C
发帖数: 2964 | 41 ST speculation/trading probably more suitable for stock board don't you
think? A brave soul can earn more than 1% easily in a day if s/he jump in
gold yesterday, that equals to what annulized?
look
1000
50000 |
|
y****i
发帖数: 778 | 42 http://beta.fool.com/equityfinancials/2013/05/22/hybrid-mreit-d
TWO is a hybrid mREIT, the lower credit and subprime debt have much higher
interest rate so the spread narrowing is much less than other mREIT that put
most or all money on agency MBS like AGNC and ARR. That's like in current
muni bond market, the high rating bonds have significant loss this month
because of their low yields, while low rating and high yield muni bonds are
relatively strong because of higher yield, improved economy ... 阅读全帖 |
|
y****i
发帖数: 778 | 43 Yes, unless both the bond issuer and AGM bankrupt.
You are talking about the liquidity risk which is very important for bond.
No penalty like early redemption as CD. But buying a callable bond with
premium will have a loss if the issuer call it back earlier by par value.
General speaking, corporate bond is better than municipal bond for liquidity
because you can sell it online like stock. However, you lose the
protection by the monoliner insurance.
For example, Cliff natural resources (CLF) has... 阅读全帖 |
|
y****i
发帖数: 778 | 44 【 以下文字转载自 Bond 俱乐部 】
发信人: yangqi (zzzzzz), 信区: Bond
标 题: 市政债券（二）优点
发信站: BBS 未名空间站 (Sun Sep 1 22:30:01 2013, 美东)
1）本金的安全性
很多投资者，特别是退休或接近退休的，对本金的安全性要求很高。目前美国的定存，
货币市场基金和短期国债利息不到1%，而且都要交联邦所得税。投资级市政债券的违约
率在穆迪投资报告"US Municipal Bond Defaults and Recoveries, 1970-2011"只有0.
08%，意味着虽然投资级市政债券还是有本金损失的风险，但是不到千分之一。如果加
上第三方保险，替代定期存款是不错的选择。
2）定期可以预测的收入
市政债券通常六个月支付一次利息，除非提前赎回（callable bonds）或是违约，所以
投资者有一个稳定的，可以预期的收入。对于有赎回权的债券来说，你有可能在到期日
前收回本金，收益率取决于你买入的价格和债券的息率。
3）利息收入免税
市政债券的利息免交联邦所得税，也可能同时豁免州税和市税，如果债券持有人的所在... 阅读全帖 |
|
b***c
发帖数: 2280 | 45 Yield To Worst和Coupon Rate的区别是什么？
我倾向于持有债券到期，规避美联储升息带来的债券市场价格波动，同时获得尽可能高
的利息收益。应该更看重哪一个指标？
我主要想持有短期，1年内为主，最多不超过3年期的。
为了兼顾高利息和安全性，想买投资级的公司债。callable这个因素需要考虑么？
另外insured与否是什么意思？
Traditoional IRA账户，大约5万美刀的资金量。
需要分散在多少只债券上比较安全？
agency债券是不是两房之类机构发的债？和公司债比收益率有优势么？
大侠们还有什么建议或者注意事项交代么？
另外，我在Merrill Edge有每月30次免费交易奖励，可以用来买卖股票，ETF，请问购
买单只债券可以享受这个免交易费的待遇么？
菜鸟问题，高人勿PENG!
万分感谢！ |
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b***c
发帖数: 2280 | 46 大虾能帮忙看一下这只债券么？
HSBC 4.05 03/15/2015 40429XXB7
半年计息一次，下次计息日为2014年9月15日。不callable。
Offer Price 101.9407
Yield to Worst 0.494%
请问这个0.494%是怎么算出来的？
假如我今天买入1000，成本是：
Quantity: 1000
Offer Price: 101.9407
Principal: $1,019.41
Accrued Interest: $18.34
Estimated Order Amount: $1,037.75
到期后我连同本息应该拿到1040.5
我怎么也算不出0.494%这个数字来。
另外：Survivor Option，Convexity，Step Up，Floating，NRC Eligible，Pre
Refund，Sinking Fund，这些标注是啥意思？我没有google出来。
谢谢指教！ |
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w***n
发帖数: 1519 | 47 Market being efficient doesn't mean investors focusing on a narrow subset of
securities are sufficiently rewarded for the risk they are taking; neither
does it mean investors should just go ahead and invest in anything because
hopefully it is "fairly" priced.
I'm sure you are an expert on this particular investment vehicle. So, I'm
all ears. Please enlighten me:
- When you say "Not guaranteed, but almost" (IMO very misleading), it sounds
like a sure thing. Then why preferred stocks have a yield ... 阅读全帖 |
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w*****e
发帖数: 721 | 48
sounds like a sure thing. Then why preferred stocks have a yield of ~6-8%
while 30-year t-bond rate is ~3%? Why Wall street money is not smart enough
to arbitrage away the gap?
I am sure you must have heard the term "rating" before ? Different ratings ,
different returns. (but why does this gap matters anyway ? who cares ?
Unless you believe these tier 1 banks can fail again ?)
Under current Basel III regulation, all big banks are required to raise
capital and it is almost impossible that these... 阅读全帖 |
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r******l
发帖数: 10760 | 49 下面是某一个15年期的Note的details，类似这种靠谱么？
Year1-2: 10% (Fixed)
Year 3-15: 10 x (30years' CMS - 2years' CMS), Subject to S&P 500 Index AND
Russell 2000 Index ≥ 60% on 5/26/2015 (Daily Accrual), Cap at 10%
Non-Callable Note
Monthly Payment
Non-Principal Protected Note
Payment at Maturity:
1. If BOTH Final Index Value of S&P 500 Index AND Russell 2000 Index ≥ 50%
of initial level on 5/26/2015, Principal
2. If EITHER Final Index Value of S&P 500 Index OR Russell 2000 Index < 50%
of initial level on 5/26/2015... 阅读全帖 |
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