Hot answers tagged


This is the trade that made LTCM famous. Italian yields were higher than German yields. The prediction was that yields of Italian bonds would become equal to those of German bunds. Since prices move inversely to yields the trade is to be Long Italian Bonds and Short Bunds. You could skip the shorting of bunds (and only be long Italian bonds) but: (1) That ...


Per @dm63, these yield curves are basically smoothed curves that best fit the prices/yields of bonds traded in the secondary market. However, they reflect much more than market expectations. Refer to Deriving Interest Rates for details.


Yes, yield curves are a pictorial representation of the current secondary market yields of government securities (gilts, in the UK). These market yields are determined largely by expectations about what the central bank will do to short term rates over time.


You will use the YIELD() and PRICE() functions in Excel. There's really no difference between historic duration calculation and current. You just need the price and settle day. Here's how you do it: Get the settlement day for the day that you are interested. For TSY's it's the next business day. Get the price on the day you care about. Use YIELD() to ...

Only top voted, non community-wiki answers of a minimum length are eligible