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Strategies & Market Trends : Mish's Global Economic Trend Analysis
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To: Jim McMannis who wrote (10075)8/1/2004 12:43:43 AM
From: mishedlo  Read Replies (2) of 116555
 
Treasury Yield Calculation
I was asked how to do it.
I did not know and asked the best expert around: Brian Reynolds.
Here is the Q as well as the A
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Q
Brian is there an easy way to imply treaury yields from treasury price?

Currently the 10 year treasury is 111'100 but how does one determine the implied yield from that?

I can see that the $TNX is currently 4.361 but is there a formula that tells me where $TNX will be if treasuries rally to 113'000 or

what would the treasury price be at a $TNX yield of say 4.10
Thanks
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A
There isn’t. Before we got Bloomberg in the mid-80’s, we used to have $1000 bond calculators on our desks. To compute a yield from price, you need to factor in such things as coupon, accrued interest, etc.

Adding to the complexion is that it looks like you are looking at Treasury futures, which relate to no specific bond. Unlike the S&P futures, which are defined against a set universe, any Treasury w/ a maturity between 6.5 and 10 yrs is deliverable against 10 yr futures (there is a Bloomy function to figure out which bond is the cheapest to deliver; over the life of a contract there could be several issues that are the cheapest).
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