If a TIPS bond matures soon, lets say 4/15/24...we should know all the payments. I would think that if we calculate the YTM on that after adjusting for inflation it should have the same YTM as a 4/15/24 Treasury. But I am not getting there.

Using the cusip 9128286N5 which is a .5% 4/15/2024 TIPS. These are my inputs into the Yield function:

Settlement = Today()
Maturity = 4/15/2024
Rate = .005
Price = 100.1719 (current market price)
Redemption = 122.64 (100 * 1.2264 adj. factor) (adj factor seen here: https://imgur.com/sTilx0x)
Frequency = 2

The output is 3.362%

Using the cusip 91282CBV2 which is a .375% 4/15/24 Treasury, these are the inputs to the Yield function:

Settlement = Today()
Maturity = 4/15/2024
Rate = .00375
Price = 99.707 (current market price)
Redemption = 100
Frequency = 2

The output is 4.78%

Shouldn't they be equal? Am I doing this wrong?

  • 1
    $\begingroup$ I think the yield calculation is wrong in the case of the nominal Treasury. Bloomberg says 5.4%. For the tips, you might have made an input error. price = quoted price * accrual factor , and redemption = 100* accrual factor at maturity, which is known. $\endgroup$
    – dm63
    Commented Mar 22 at 6:48
  • $\begingroup$ How do you except these 2 instruments to have the same yield if they don't have the same price and but the same maturity ? TIPS is rn above par and ust below par. $\endgroup$
    – TourEiffel
    Commented Apr 5 at 8:35


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