Bonds

A bond pays coupons and redeems its face. This family covers the bonds themselves, from the plain fixed-rate bond to callables, linkers and payment-in-kind notes, the derivatives written on them, and the structures built from them. Most pages price on a market marked from the desk sheets, adding what the sheet doesn't carry, such as an issuer's credit curve or a vol surface.

Where to start

1. How bonds work explains how bonds are quoted and priced, and why each product in this family behaves as it does.
2. Fixed-rate bond lists the bond's price, yield, accrued and risk calls. The other pages assume it.
3. Spread measures reads a quote against a curve.

Pages

Page	What it covers
How bonds work	how bonds are quoted and priced: clean and dirty, yields, spreads, floaters, linkers, embedded and listed options, futures and notes
fixed-rate-bond	clean and dirty, price and yield, yield conventions, duration and DV01, an irregular final coupon, ex-dividend, pricing off a curve
floating-rate-note	the fixed running coupon, projected coupons, discount and simple margin, spread duration
callable-bond	the call as the holder's loss, OAS, yield to call and to worst, effective duration, puts, sinking bonds
inflation-linked-bond	the index ratio, real price and yield, the settlement invoice, the deflation floor, amortising linkers
pik-bond	the capitalisation schedule, the compounding face, the one flow at maturity
bond-option	Black on the forward price, put-call parity, strike forms, a normal yield vol
bond-future	conversion factors, the basket and the cheapest to deliver, implied repo, a futures position
bond-future-option	Black-76 on the futures price, parity, early exercise, paid and futures-style premiums
asset-swap	the par asset swap spread, par-par against proceeds, a basis in the spread
structured-note	a note as its coupons plus its face, the issuer spread, the issuer's credit
repack-note	the SPV structure, the conserved collateral, the gap charge and recovery
spread-measures	z-spread, G-spread and I-spread, a pinned security spread, spread duration

Common tasks

You want to	Go to
turn a clean quote into cash, a yield and a DV01	Quote a bond from its yield
price a bond off a curve	fixed-rate-bond
read the z-, G- and I-spreads of a quote	Measure a bond's spread to a curve
find the cheapest to deliver	bond-future
value an option on a bond future	bond-future-option
price the gap in a repack	repack-note