if I have given CRSP bond portfolio returns with different maturities (1m-12m, etc), how is it possible to compute the Future price and the duration? Beside that I do also have the Nelson-svensson-siegel yield curve in form of zero coupon, par yield, instantaneous forward rate etc.

Thank you very much for any help!



  • $\begingroup$ What do you mean by "Future price"? Concerning duration: are you given the coupons and maturity? $\endgroup$ – Ric May 23 '16 at 9:31
  • $\begingroup$ I want to obtain synthetic future prices which can be replicated by zero coupon rates, I guess. The maturity is one year and the coupons are not given directly. Maybe it can be approximated by the par yield of the NSS yield curve? $\endgroup$ – user20280 May 24 '16 at 20:55

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