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The money market yield can be computed directly from the purchase price as $Y_{mm}= \frac{100-P_0}{P_0}\frac{360}{t}$ See for example equation 9.3 here http://www.icmagroup.org/assets/documents/Media/Bondmarketsbook/Bond%20markets_structures%20and%20yield%20calculations.pdf The calculation of the BDY first and then conversion to MMY with your conversion ...


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It's not an assumption; it's a requirement. The base class ZeroYieldStructure requires derived classes to implement a zeroYieldImpl method that returns continuously compounded rates, because that's what it uses in the implementation of discountImpl. I don't remember the discussion at the time we implemented this—it was quite a few years ago—but ...


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Perhaps there is another way to arrive at the "weighted average maturity of cash flows". Suppose that we have a coupon paying bond with a continuously-compounded yield $y$ which pays a coupon of value $C_i$ at time $t_i$ for $1 \leq i \leq n$. What would be the maturity of a zero-coupon bond with the same yield $y$ which has the same present value as the ...


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You most probably don't want to estimate the covariance of prices but rather the covariance of returns. Thus for equities you can take the return of the traded price. For bonds: if the maturity is long enough (say bigger than 2 years), then you can take the returns of traded prices. The pull to par should not be too relevant here. if the maturity is short ...


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You should use whatever currency in which the debt is denominated. Specifically, since it is the EUR currency and interest rate risk associated with the debt, some sort of EUR curve should be used. Theoretically, if you are looking for the present value in USD, although the debt is denominated in EUR, you could convert future payments at the forward ...


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Let's start with a single bond. The total return from time $t_0$ to time $t_1$ can be easily calculated as follows: $$ R = \frac{\text{ending price} + \text{ending accrued interest} + \text{coupon payments between $t_0$ and $t_1$}}{\text{starting price} + \text{starting accrued interest}} - 1. $$ (This is no different from how you'd calculate the total ...



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