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The correct date to use is the Settlement Date, which is one business day after the Trade Date, or in the case of a newly auctioned security, the Issue Date. The Issue Date is typically between T+2 and T+1week for coupon bearing Treasuries. See the Treasury Direct website for examples. The yield function is preferable to the rate function in exceL. ...


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Unless all of your yields are par yields (yield of bonds trading at par), you'll get very unreliable results if you fit your curve using yields alone. This is because yields can be distorted by the coupon effect – given two bonds maturing on the same day and assuming the yield curve is upward sloping, a higher coupon bond will always have lower yield. What ...



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