I would like to calculate YTM for every top of the book update on the 10-year note traded on Brokertec. There is no closed form solution so have to use a root finding method like Newton-Rhapson. It will obviously need to be fast. Is NR method the fastest? Are there any other better methods?
Fastest way to calculate YTM from bond price
bloodynri
- 219
- 1
- 2
- 3