Yield to Maturity (YTM) of Various Maturities

1700 Words Feb 21st, 2018 7 Pages
(Fabozzi, 2007) Taking into account the clean price of some of the securities and using the YTM formula in Excel, YTM of various on-the-run Treasury bonds are obtained.
Maturity Coupon (%) CUSIP CMB Issue Date Maturity Date Price($) YTM (%)
4-Week 0 912796CC1
No 13/02/2014 13/03/2014 100 0.000
13-Week 0 912796CM9
No 13/02/2014 15/05/2014 99.99 0.040
0.5 Year 0 912796DQ9
No 13/02/2014 14/08/2014 99.96 0.080
1-Year 0 912796DG1
No 06/02/2014 05/02/2015 99.89 0.1101
2-Year 0.375 912828B41
No 31/01/2014 31/01/2016 100.12 0.318
3-Year 0.625 912828A91
No 15/01/2014 15/01/2017 99.79 0.702
5-Year 1.50 912828B33
No 31/01/2014 31/01/2019 99.98 1.505
7-Year 2.125 912828B58
No 31/01/2014 31/01/2021 99.83 2.151
10-Year 2.75 912828B66
No 18/02/2014 15/02/2024 100.13 2.735
30-Year 3.75 912810RD2
Yes 15/01/2014 15/11/2043 101.16 3.685
Formula: P=(C/y) (1-1/ (1+y) ^n) +F/ (1+y) ^n where P is price, C is coupon payments, F is face value, y is the yield to maturity and n is the number of 6-month periods.

Interpolated Treasury Yield, Spot rates and Forward Rates

After that, based on the market yields on U.S. Treasury securities…
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