bond-relative-value

To decompose bond spreads, break them down into G-spread, credit spread, and residual components to quantify richness or cheapness. This spread decomposition reveals relative value by isolating curve and credit effects from pricing anomalies.

You need a target bond identifier, bond pricing outputs, government yield curves, and credit curves. These inputs generate spread decomposition and rate-shock scenario P&L results.

Yes, you can compare bonds across different yield curves and credit regimes. The analysis tests robustness by running rate-shock and scenario analyses to evaluate relative value under shifting market conditions.

The best way to test fixed-income portfolio robustness is running rate-shock and scenario analyses across different yield curves and credit regimes. This generates scenario P&L and a structured rich/cheap recommendation.

Spread decomposition generates a rich or cheap recommendation by isolating the residual spread after removing G-spread and credit spread. A positive residual indicates cheapness, while a negative residual indicates richness.

You need scenario analysis for relative value assessment when testing bond pricing robustness against rate shocks and shifting credit regimes. It validates whether spread decomposition findings hold under varying market conditions.