You buy a bond and sell it a week later, and the yield is unchanged. It follows that the return you will have made on the bond is zero.
2 .The clean price of a bond drops every time a coupon is paid.
3 .If a particular bond is in unusually high demand, for example because it is the on-the-run bond and is particularly liquid, the repo rate is likely to be lower than for other bonds.
4.If the yield of a fixed rate bond remains constant, then its modified duration falls by slightly less than one day for every day that passes, apart from on days when a coupon is paid.
5.The DV01 of a 5 year $100m interest rate swap is similar in magnitude to that of a $100m 5 year par bond.
6.Company A wants to borrow at a fixed rate of interest and company B wants to borrow at a floating rate of interest. A would pay 5.00% fixed or LIBOR + 170bp floating. B would pay 4.00% fixed or LIBOR + 90bp floating. Both companies would gain if A borrowed floating and B borrowed fixed and then entered into an interest rate swap as compared with A borrowing fixed and B borrowing floating.
