I need to backfill the price of bonds for testing a startegy.
The method employed is:
- Regressing the YTM of the bond against a benchmark.
- Using the regression estimates to calculate the YTM for the period in which the bond data is not available.
- Using the "price" function in excel to calculate the bond price with the earliest backfill date as the issue date.
However, using this method, there is a big difference in price at the point where my backfill data begins.
Could somebody please suggest any alternative?