I want to price gov bonds using Bid Yields (column 5) from the screen below, and quantlib. I am not sure what those Bid Yield rates represent.
Do those Bid yields represent spot rates, or what?
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$\begingroup$ Three are bond yields. Are you looking for a yield to price for India government bonds? $\endgroup$– Dimitri VulisCommented Dec 4, 2022 at 0:57
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$\begingroup$ @Dimitri Vulis I am just trying to construct the yield curve to price india gov bonds, having access to both Bloomberg and eikon terminals, and using quantlib python, I thought that was the best method. $\endgroup$– SkittlesCommented Dec 4, 2022 at 11:01
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$\begingroup$ @DimitriVulis I opened a separate topic for this question, would appreciate if you could have a look; quant.stackexchange.com/questions/73966/… thank you! $\endgroup$– SkittlesCommented Dec 6, 2022 at 8:50
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These are not spot rates, but yield to maturities of actual bonds. If you right click on the table, click on "Related," then "Quote," then you can see the actual bonds for each tenor. For example, currently the "10Y" bond has a coupon of 7.26%, maturing on August 22, 2022.
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$\begingroup$ thank you,how to get spot rates, or what is the best way to price those bonds,please? $\endgroup$– SkittlesCommented Dec 4, 2022 at 8:59
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$\begingroup$ maybe fit the bond curve using Nelson Siegel and quantlib would be way to go?, but it takes 3 parameters:maturity, coupon and price. There is no issue date parameter, don't see how it would work without it? $\endgroup$– SkittlesCommented Dec 4, 2022 at 9:36
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$\begingroup$ or thinking about it, the method I mentioned above, if I specify semi-annual coupons in the code, is it going to apply automatic coupon dates such as maturity-6M and so on, and bootstrap those rates? apologies for 3 comments $\endgroup$– SkittlesCommented Dec 4, 2022 at 11:03
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$\begingroup$ As recommended by @Skittles, you need to perform curve fitting to get zero rates. Search for curve fitting or spline in this stackexchange and there are already many answers. $\endgroup$– HelinCommented Dec 4, 2022 at 15:58
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$\begingroup$ I opened a separate topic for this question, would appreciate if you could have a look; quant.stackexchange.com/questions/73966/… thank you! $\endgroup$– SkittlesCommented Dec 6, 2022 at 8:51