Bond Yields

Given bonds market prices for bonds, we construct the yield-to-maturity. Next, we compute the Modified duration, convexity and DV01 for the different bond's issues.

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Hedge ratio

To Hedge a bond's position with another bond, we first compute different hedge ration assuming a parallel shifts in yield curve. Next, using yields Betas (or weights), we compute the equivalent hedge ratio. Finally, using a future as a hdge instrument, we compute the hedge ratio.

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Zero-coupon bond yield

Using market prices for T-Bills and hot on-the-run bonds/notes prices, we curve fit a non-parameteric zero-coupon yield curve.

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cash-future Bond spread valuation

Using 30-Years on-the-run treasury bond and prompt future contract, we construct a spreadsheet for evaluating the spread. Next, w examine the spread sensitivity to changes in the underlying yield curve. Last, we apply weights to different maturities on the yield curve, and examine the sensitivity of the spread to a reference yield movement.

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Optimizing convexity of bonds portfolio

In this case, we start with a hypothetical portfolio of bonds and futures and compute the portolio's overall duration and convexity. Next, using excel "Solver", we re-balance the portfolio (i.e. selected bonds and/or futures positions) to maximize the overall convexity while keeping the duration under 15 years.

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