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consider your bond initially was at par (cpn=3%~=yld_0) and now answer the question what is the price change given new yld_1=9%. for a very dirty estimate use relationship between price change vs yield change and duration (~=10).for a less dirty estimate you'll need some educated guess on the level of convexity. have a look at closed formula of convexity of ...


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It might be more impressive to demonstrate that you have the tools and can use them. Go to the interview with a handheld calculator. The answer is a few keystrokes away.


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It may not be possible to compute returns solely on yields. However, @Oleg has information on maturity (long term bonds, 20-30 years to maturity), and the YTM gives us a coupon for an "on the run" bond. As a proxy for this bond group, you could use a bond with 25 years left to maturity with an annual coupon of 7.44, where today was the coupon date, and the ...


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You can calculate an approximation. Yields are quoted on an annual basis. Bond valuations are based on Discounted Cash Flow formulas. Let’s take your sample data: weekly yields of 7.44, 7.43 and 7.40. $100 invested for a year at a yield of 7.44% will be worth 107.44 at the end of a year. That is 100 x (1.0744 ^ ( 365 / 365 )) = 107.44. The rate of ...


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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 ...


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Do you know the concept of duration? It is an approximation of how much the price of the bond changes if the interest rate (appropriate for the market in which the bond trades) changes. This is the interest rate is used to discount cash flows. It is common to all the bonds in the same market (e.g. German govis). For various reasons (liquidity, credit risk, ...


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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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