8
votes
Fastest way to calculate YTM from bond price
I faced this problem trying to price bund yields from Bloomberg ticks. I found the fastest method was to price three static yields from three static prices and determine a quadratic function for those ...
- 8,412
4
votes
Is there a word or phrase with similar meaning to bond yield, but meaning yield on the actual price paid for a bond some time ago?
You are specifically not considering the fair market price of the bond now, but only what you paid for it, and how much coupon/amortization it has paid out so far, no matter when. This ratio could be ...
- 11.3k
4
votes
Accepted
Strange Market Data YTM for a Zero Coupon Bond
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 ...
- 1,440
2
votes
Is there a word or phrase with similar meaning to bond yield, but meaning yield on the actual price paid for a bond some time ago?
You may be looking for "book yield" or "book yield-to-maturity". For a non-par bond, yield-to-maturity includes accretion to par over life, while current yield (i.e., coupon rate / ...
1
vote
Accepted
Mean level of the state variables under the risk-neutral measure in Arbitrage-free Nelson Siegel
The reason for setting $\theta^{\mathbb{Q}}=0$ is that, along with other restrictions, it identifies the parameters of the model uniquely, which means that the model is then well-defined, and there is ...
- 1,398
1
vote
What is the difference between Discount Yield and Yield on US Treasury Bills
The two fields in HP are not YAS_BOND_YLD vs YLD_YTM_BID.
If you right click on the data point, you can select ...
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