I am trying to compute the YTM of the following Zero-Coupon Bond:

enter image description here

The issue date was 13-01-2022 and the maturity date was 14-01-2023.

For me, it seems strange that the price remains "almost constant" when expiration approaches, I expect to tend to 100.

Also, I've manually computed the YTM using the following formula:

$$\text{YTM} = \left(\frac{Face Value}{Price}\right)^{(\frac{1}{n})} - 1 $$

And obtained the following results:

11/30/2022 -> YTM: 27.68%

10/31/2022 -> YTM: 21.46%

09/30/2022 -> YTM: 18.59%

04/30/2022 -> YTM: 15.82%

01/31/2022 -> YTM: 2.80%

Can anyone help me to understand why this happens? Could the BBG data be wrong as this comes from CHBE?

Thanks in advance.


1 Answer 1


This bond has a slightly different calculation logic to your average zero coupon bond. Denote $t$ the trade date, $t_0$ the issue date, $T$ the maturity date and $P$ the traded price.

You'll first need to calculate the accrued interest which is equal to: $$\text{AI} = \left(100-P_{\text{issue}}\right)\times \frac{t-t_0}{T-t_0}$$

Once you have the accrued, you can calculate the simple yield (not the compounded yield!) as: $$y_\text{simple}=\left(\frac{100}{P+\text{AI}}-1\right)\times \frac{T-t_0}{T-t}$$

To give you an example as of 31/10/22:


Which matches exactly what the bond pricer is showing: enter image description here

You can probably find confirmation for this somewhere on the CFETS website, although I haven't checked in detail.

  • 2
    $\begingroup$ Thanks a lot! I didn't know that behavior for Chinese bonds $\endgroup$
    – david.t_92
    Mar 13, 2023 at 15:49
  • $\begingroup$ No worries, BBG support should be able to help you as well next time :) $\endgroup$
    – oronimbus
    Mar 13, 2023 at 15:51

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.