tag:blogger.com,1999:blog-5908830827135060852.post2414076437996852890..comments2024-02-17T11:35:59.321-05:00Comments on Bond Economics: Primer: Par And Zero Coupon Yield CurvesBrian Romanchukhttp://www.blogger.com/profile/02699198289421951151noreply@blogger.comBlogger18125tag:blogger.com,1999:blog-5908830827135060852.post-71314128419721482272022-06-30T11:18:30.117-04:002022-06-30T11:18:30.117-04:00This comment has been removed by a blog administrator.ayanhttps://www.blogger.com/profile/02066898073106439423noreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-51189929476334205492021-12-19T05:29:34.519-05:002021-12-19T05:29:34.519-05:00This comment has been removed by a blog administrator.AlayaSEOhttps://www.blogger.com/profile/08786653889666434898noreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-19768247163502320302021-11-23T12:37:21.191-05:002021-11-23T12:37:21.191-05:00This comment has been removed by a blog administrator.erumhttps://www.blogger.com/profile/11247307671477184726noreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-12182636105586560882021-07-01T08:38:04.801-04:002021-07-01T08:38:04.801-04:00This comment has been removed by a blog administrator.SHAHZAIBhttps://www.blogger.com/profile/18016714975932207188noreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-31909689787121324252021-05-16T06:57:42.114-04:002021-05-16T06:57:42.114-04:00Par curve is a curve which tells us for a given ma...Par curve is a curve which tells us for a given maturity what the coupon rate should be to make the bond priced at par (At par coupon = YTM). Par rate is used for discounting all the CFs of a bond (not just one single). 5Y par curve is the rate that you will use to discount all the cash flow of the given 5Y bond.Vaibhav Kabdwalhttps://www.blogger.com/profile/08464690962590099726noreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-84250116591196344142020-09-16T14:45:56.053-04:002020-09-16T14:45:56.053-04:00This comment has been removed by a blog administrator.Michael Smithhttps://www.blogger.com/profile/00547070311046082252noreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-28836167961467562392020-09-15T01:38:06.797-04:002020-09-15T01:38:06.797-04:00This comment has been removed by a blog administrator.Bernard Harrishttps://www.blogger.com/profile/05415758334600667370noreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-49418214605487688652020-06-29T09:30:31.526-04:002020-06-29T09:30:31.526-04:00The zero curve starts out flat at 5%. For the the ...The zero curve starts out flat at 5%. For the the quote convention I used for annual pay bonds, the zero rate is the same as the par coupon rate. If we look at semi-annual bonds, this will not be true, since there is a coupon at six months, and that affects the compounding,<br /><br />It is rather easy to see that a one year zero should be the same as a one year annual par coupon. Both have a single payment one year from now. The only difference is that the zero is just principal, while the par coupon is principal plus coupon. This just creates a cosmetic difference, but since you are paying at t=0 for a single cash flow at t=1, the economic return should be the same. (This is why semi-annual bonds are different; they have an intermediate cash flow at six months as well.)Brian Romanchukhttps://www.blogger.com/profile/02699198289421951151noreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-68941294099901679412020-06-28T22:37:51.876-04:002020-06-28T22:37:51.876-04:00Hi, why is it the first year par rate is equal to ...Hi, why is it the first year par rate is equal to zero rate?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-64588411365102764462020-06-27T06:42:16.634-04:002020-06-27T06:42:16.634-04:00This comment has been removed by a blog administrator.Jason Royhttps://www.blogger.com/profile/01542972466616286734noreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-20347223132273202652020-05-21T07:47:39.721-04:002020-05-21T07:47:39.721-04:00This comment has been removed by a blog administrator.uk seo companyhttps://www.blogger.com/profile/06535467841738597989noreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-83820034413663189632019-12-23T03:41:06.351-05:002019-12-23T03:41:06.351-05:00This comment has been removed by a blog administrator.UsamaAkhttps://www.blogger.com/profile/13967471967400289326noreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-27883148295170177682019-08-21T08:53:16.587-04:002019-08-21T08:53:16.587-04:00I don't have references handy, but the logic i...I don't have references handy, but the logic is as follows. Take the 1 year tenor. The discount factor could be 0.99 ($1 in 1 year = $0.99 now). That can be mapped to a number of different discount rates.<br />- 0.99 = 1/(1+r)^1.<br />- 0.99 = e^{-r1}.<br />- Whatever the market quote convention is for 1-year zeros, taking into account day count conventions, semi-annual/annual conventions for coupon bonds, and so forth.<br /><br />The last possibility might be fairly common, as pricing software might want the quoted curve to align to what market makers see.<br /><br />However, in all cases, the price is the same 0.99.Brian Romanchukhttps://www.blogger.com/profile/02699198289421951151noreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-91448544520074276082019-08-20T13:49:34.063-04:002019-08-20T13:49:34.063-04:00Thank you very much for this article - very clear ...Thank you very much for this article - very clear and helpful. Would you be able to expand on your below quote or point me somewhere else that may have more information?<br /><br />"Note that there are other conventions for quoting a zero rate. If you are developer who works with pricing software, it is a safe bet that different libraries use different conventions. Therefore, the only safe way of comparing the two yield curves is by using the discount factor curve, and not the zero rates."Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-19997676668226853812018-12-13T08:09:39.581-05:002018-12-13T08:09:39.581-05:00This comment has been removed by a blog administrator.Parker Edwardhttps://www.blogger.com/profile/00001041033324801210noreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-9454440878829089052018-09-24T07:14:29.438-04:002018-09-24T07:14:29.438-04:00Well, now that you raised the point, I should have...Well, now that you raised the point, I should have broken the definition out more. Howver, it is within the text. The par rate is the yield on a bond that is trading at par (and is fairly valued on the discount curve).Brian Romanchukhttps://www.blogger.com/profile/02699198289421951151noreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-71642745765734314952018-09-24T02:45:48.567-04:002018-09-24T02:45:48.567-04:00This is missing the point as the term "par ra...This is missing the point as the term "par rate" is never explained but plotted on a graph ... ???Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-5908830827135060852.post-19623055230598788772015-12-14T21:39:00.411-05:002015-12-14T21:39:00.411-05:00nice post nice post Anonymoushttps://www.blogger.com/profile/01818274872901330988noreply@blogger.com