From cash to yield formula

Discussion in 'Financial Futures' started by Bernard111, Apr 12, 2006.

  1. If I have the cash for the 30Y treasury at 92.09, which is the formula to calculate the yield (TYX)?
    Thank you,
  2. sle


    Get the current CTD (DLV function in Bloomberg will do it for you), then divide the price by the conversion factor, then plug in the resulting price and the maturity of the bond into any bond calculator. For slightly better result, you might need to do the switch option calculation, but that's rather minor these days.
  3. Uh?!:confused:

    Can you please calculate an example with the 30Y bond?
  4. Excel has a function called YIELDMAT. Use the help to see how it works. All you have to do is get the input variables to plug into the function.

    Settlement date for US Treasuries is T+1 (make sure it is a good business day).
  5. Thank you!
    Happy Easter,