0
$\begingroup$

I am trying to compute treasury yields (with different data) similar to what has been done by bloomberg, yahoo finance, msn money, and wall street. I find the data reported by these are not the same and also do not match with that of US treasury.

Please let me know how should I proceed (academic articles reference is also welcomed).

$\endgroup$
1
$\begingroup$

By virtue of being OTC instruments, you'll get different yields from different sources. At the very same point of time, Goldman and JPM might quote slightly different yields (although the difference is virtually nonexistent for hot-run Treasuries). The biggest differences in this case are:

1) Timing: US Treasury computes their yields using bid-side prices at around 3:30pm EST, while financial media usually reports the last traded yield (as of 5pm).

2) Methodology: Financial media reports the yields of on-the-run issues, while the US Treasury reports hypothetical, constant maturity par yields calculated using a cubic spline model.

$\endgroup$
1
$\begingroup$

There are standard software packages for yield calculations according to "Street" conventions. One is FICALC, endorsed by SIFMA:

http://www.tipsinc.com/ficalc/calc.tips

It is probably hte closest you can get to an industry standard, and is widely used by itself or to check the correctness of other software.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.