bond-relative-value

Bond relative value analysis combines bond pricing, yield curve analysis, credit spread decomposition, and scenario stress testing to determine if a bond is rich, cheap, or fair. It isolates credit components and runs stress scenarios to evaluate value against peers.

To isolate credit spreads for fixed income analysis, compute G-spreads by pricing bonds against yield curves, then extract the credit component from the total spread. This separates credit risk from interest rate risk to evaluate bond cheapness or richness.

Run scenario stress testing on bonds by applying hypothetical interest rate shifts to bond pricing models and yield curves. This evaluates how valuations and relative value react to changing economic conditions and different rate environments.

Yes, you can perform scenario analysis without external dependencies. The Skill uses internal scripts and references to execute fixed income analysis, though it requires access to underlying bond pricing, yield curve, and scenario analysis tools.

Compute G-spreads when assessing bond pricing to measure the spread over the government yield curve. This isolates the credit risk premium from interest rate movements, allowing you to determine if a bond is cheap or rich relative to peers.

Yes, bond relative value analysis works for comparing a single bond ISIN against peers. Input the target bond ISIN to evaluate its pricing, credit spread, and stress test results, determining its relative cheapness or richness in the market.