What should we take for a bond or a zero coupon bond in order to make a variance covariance matrix? For example:- Equities - we take the market price Cash - we take the spot rates Bonds - Do we take yield points from bloomberg or cash flows or simply the traded price of the bond ?????
P.S - I had initially taken the yield points for which I got the feedback as "yield points are taken as proxy mapping while not considering the inverse relationship with the bond prices". What does this statement means??? Please help me out in this regard as I am very much confused what to do with bonds in order to make variance covariance matrix?