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Goal: turn a constant maturity yield time series into bond prices.

The federal reserve has great data series including this one. This is a time series of historical treasury bond yields and I need to calculate the % price movements going back in time for further study. However I am unsure how I can do this since each bond will have different maturities and will be issued at different yields (which we have to know in order to calculate the price).

Has anyone done this before / have a methodology they can share?

Thanks

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  • $\begingroup$ What do you want to do? You could assume that the US Govt issues a new 10 year bond (at par) every 3 months. You could track the price of that bond for 3 months and then replace it with a newly issued bond. In this way you would simulate the rolling over of newly issued 10 year bonds... (though nowadays the govt issues every month). $\endgroup$ – Alex C Nov 27 '19 at 3:06
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    $\begingroup$ By definition, these are par yields, so they’re the coupon rate and yield of bonds whose prices = 100 exactly. That’s likely not what you’re looking for. I guess you might be looking for a total return index to track performance over time. Searching for “return from yield” gives quite a few answers already. If that’s not what you’re looking for, please clarify what your goal is. $\endgroup$ – Helin Nov 27 '19 at 3:41
  • $\begingroup$ @AlexC I am ultimately trying to have daily price change (in other works profit/loss) based on the constant maturity yield time series. Accuracy is important so I dont think that I will be able to use the methodology you mentions because the issuance frequence changes over time. Do you have any oher thoughts? Thanks!! $\endgroup$ – user2179795 Nov 27 '19 at 18:59

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