Why though. For a zero coupon it's easy, why not use the same idea for other bonds.
Bond Yield Data
- Thread starter AvantGarde
- Start date
Why though. For a zero coupon it's easy, why not use the same idea for other bonds.
The maths is trivial but you need the maturity and coupon which changes over time, and the implied repo rate. Getting that historical data is much harder than getting historical yield data.
Rob
OK but the OP was asking real time, so it sounds like it should be straightforward to compute, yes? Edit: I'm only trying to understand.
A thought: an appropriate regression over say a few months of recent closing price and yield data will allow you to infer the yield in real time from the price without needing any other information.
Rob
Rob
interest rate is an index, not a product, therefore it is derived by pricing of the underlying securities, which you can see zn zb bid and ask real time.
what the gentleman is asking is actually ytm yield to maturity, not coupon. each bond desk calculates the ytm differently because marco outlooks are opined differently.
i like holding, not trading em bonds, particularly china's us dollar bonds. the spread between ytm and coupon are so huge at times if you have the right marco outlook, you make sizeable return.
what the gentleman is asking is actually ytm yield to maturity, not coupon. each bond desk calculates the ytm differently because marco outlooks are opined differently.
i like holding, not trading em bonds, particularly china's us dollar bonds. the spread between ytm and coupon are so huge at times if you have the right marco outlook, you make sizeable return.
You badly need a spellchecker, a shift key, and a book on bond maths. Give me your address and I will send them over with my compliments.
GAT
In order to use the fields like CouponType, etc (by the way, I would need MaturityDate, not IssueDate), I would need to maintain a schedule of ISINs for loads of individual bonds across countries and come up with my own pricing model to calculate appropriate discount rates, etc. Additionally, I would need to keep up to date with auction cycles to know which bond was on-the-run at any given point and splice the yields together (or interpolate a constant maturity yield between them). As Mervyn correctly pointed out, an 'x' year interest rate is an index of individual yields spliced together. If I was a billion dollar hedge fund, maybe I would consider this science project.
But what I want is just a generic yield for each country for various maturities so I don't have to worry about manually rolling over to the next on-the-run bond when it is auctioned or rolls down the curve...
Thanks GAT for your constructive ideas. I definitely have a preference for some data provider to do the heavy lifting for me (at a reasonable price), but failing that I may have to come up with some proxy approach similar to what you're suggesting.
Scrape it off Bloomberg in real-time.