Bond Terminology


- JGB Forward Price as of future delivery date


Forward Yield and Modified Duration can be calculated using this Forward price and its formula.


- NetBasis

Basis is defined as

              B = P - F * CF

which uses current Bond price and (current) Futures price.

NetBasis is defined as

              B = P(fwd) - F * CF

which uses forward Bond price and (current) Futures price.


- AssetSwap

Spread average between the PV of Bond cashflow discounted by SwapCurve & BondCurve.


- String

BondYield computed by using EuroYen Futures Price as ForwardYield



Spread between String and semi-annual yield.


- 15 year JGB FRA Alpha

Determined by the auction which decides the 15 year FRA coupon rate by:

              15 year FRA coupon rate = (latest) 10 year JGB coupon rate - Alpha (constant through the life from 1st coupon payment until maturity)


- Swap Point (FX)



FwdV     = PV * (1 + (r - rf) * D/360)

              = PV + SwapPoint



              SwapPoint = PV * ((r - rf) * D/360)


- Reset Swap (リセットスワップ)

金利スワップの一種だが、変動金利が投資期間のスタート日ではなくエンド日の金利を基に決定される。金利の上昇時に変動金利の受け手はリセットスワップを、イールドカーブが右肩上がりのときに好むとされるが、それはそれ(イールドカーブ)が将来の金利上昇を示唆しているからである。Arrears SwapBack End Set SwapLIBOR In-Arreas SwapIn-Arrears Swapなどとも呼ばれる。