1
$\begingroup$

Let's say I have a corporate bond, for which I know current yield, modified duration, coupon and maturity. I want to estimate how it would have performed under certain market conditions by looking at how a related bond index (holding bonds of similar rating and length) performed (i.e. looking at how its yields changed over that time).

What would be the best way of estimating price returns of my bonds in this way? How do I map the modified duration of my bond to a modified duration I can use to calculate price returns of the index from the change in its yield?

$\endgroup$
  • $\begingroup$ Just curious, which bond index are you looking at? $\endgroup$ – AK88 Jun 3 '17 at 2:16
  • $\begingroup$ Various Barclays bond indices, depending on the bond's maturity and rating. $\endgroup$ – rinspy Jun 5 '17 at 14:02

Your Answer

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

Browse other questions tagged or ask your own question.