Questions tagged [treasuries]
The treasuries tag has no usage guidance.
6
questions
9
votes
2
answers
15k
views
Best method for interpolating yield curve? [Multiple questions]
I'm building a spot curve for US Treasuries. My original selection of cash treasury include all the on-the-run bills, notes, bonds from 6 months to 30 years, as well as some selected off-the-run ...
- 335
3
votes
1
answer
444
views
Computing T-Bill Yield across leap year boundary
Consider this T-Bill (912796TE9) that was purchased on 2019-10-30 and matures on 2020-02-06:
I'm trying to work through some of the basics of the yield calculation.
The days until maturity is 99. (<...
6
votes
1
answer
3k
views
How to compute the yield on the Ultra-Bond Treasury Futures
I am trying to compute the yield on the Ultra-Bond Treasury Futures which is roughly 172.2187.
Heres the description of the contract:
U.S. Treasury bonds with remaining term to maturity of not ...
- 951
5
votes
1
answer
600
views
Why is the 1 month OIS rate so stable?
I was just playing around with bills prices data from CRSP.
It is well known that short term bills rates tend to be lower than corresponding maturity OIS rates this is often attributed to some ...
- 173
3
votes
1
answer
3k
views
Modified duration of treasury futures tracking CTD?
If I know TYU7 contract's CTD is T 2.500 05/15/2024 with modified duration of 6.37. I know futures DV01 is calculated by taking the CTD's DV01 divided by conversion factor as shown here. What is the ...
- 335
0
votes
2
answers
10k
views
how to calculate daily risk free rate using 13 week treasury bill
I want to calculate excess return for AAPL plus the S&P 500. I have computed monthly and daily logarithmic returns for every stock and for the market, I now need to calculate the risk free ...
