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Unfortunately I don't think it's possible to compute returns purely based on yields... There are a few options: If you're on the buy side, you can easily get access to Barclay, Citi, or BofA's bond indices. These are very high quality datasets for studying historical bond returns. If you have Bloomberg, they've started providing bond indices as well. They ...


in RQuantLib you need to set the evaluation date using setEvaluationDate() This is the date used by all QuantLib valuation functions in your case 10 May 2014.

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