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?