How to calculate yield

Discussion in Treasury Notes and Bonds

Updated April 13, 2017

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How to calculate yield

March 22nd, 2017, 10:09 AM

#11 (permalink)

rleplae

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timendaGain

If you can give me a quote of price and yield for a 10 year on a Monday or Friday then I can run a test now using the same date as the settlement date. I can't find historical prices for the cash note online... only historical yields. If not then I'll run a test on Friday and get back to you then.

OK
will do on Friday and Monday

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March 24th, 2017, 10:25 AM

#12 (permalink)

timendaGain

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rleplae

Did you test it on a Monday and on a Friday ?

Testing today ( Friday ):
10:22 AM EST DST ( New York, daylight savings time )
Bloomberg price: 98.56, yield 2.41%
MarketWatch price: 98 18/32, yield 2.413%
Me: plug in price: 98.56, get yield 2.415&

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March 24th, 2017, 10:29 AM	#13 (permalink)
rleplae Gits (Hooglede) Belgium Legendary Market Wizard Experience: Master Platform: NinjaTrader, Proprietary, Broker: Ninjabrokerage/IQfeed + Synthetic datafeed Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC Posts: 2,947 since Sep 2013 Thanks Given: 2,442 Thanks Received: 5,855	minute ago :

March 24th, 2017, 10:30 AM

#14 (permalink)

rleplae

Gits (Hooglede) Belgium

Legendary Market Wizard

Experience: Master

Platform: NinjaTrader, Proprietary,

Broker: Ninjabrokerage/IQfeed + Synthetic datafeed

Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC

Posts: 2,947 since Sep 2013

Thanks Given: 2,442

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timendaGain

Testing today ( Friday ):
10:22 AM EST DST ( New York, daylight savings time )
Bloomberg price: 98.56, yield 2.41%
MarketWatch price: 98 18/32, yield 2.413%
Me: plug in price: 98.56, get yield 2.415&

You should be close enough

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April 13th, 2017, 11:10 AM	#15 (permalink)
rleplae Gits (Hooglede) Belgium Legendary Market Wizard Experience: Master Platform: NinjaTrader, Proprietary, Broker: Ninjabrokerage/IQfeed + Synthetic datafeed Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC Posts: 2,947 since Sep 2013 Thanks Given: 2,442 Thanks Received: 5,855	Would be a good day to test, as there is a long weekend for settlement ;-)

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