How to compute yield from the price for a sonia bond. Example XS 1848770407 issued by ecB maturity 29th June 2023. semi annual cpn. Floating base SONIA compound +35 Bp. Traded price on 21st Aug 2020 100.3961 - Yield computed is 0.0907%. can some one pls help me to solve this ?
This is no differrent from the yield of any other floater.
Get a projection curve to project the future SONIA rates.
Based on these projections, project the future cash flows.
From the given price and the projected cash flows, solve for yield.
(Sometimes people calculate "flat yield" and "flat discount margin" by taking the current value of the index and assuming that it will remain constant, so you don't need to project it from the curve.)