t**********r
发帖数: 182 | 1 Can anybody help me with this question? Thank you.
suppose 1 year treasury bond yield is 2.20, 5 year treasury bond yield is 3.20;
a 2.33 year corporate bond has yield 5.20. Because there is no 2.33 year treasury bond, I need first to estimate a fake 2.33 treasury bond yield; and
then use the corporate bond yield minus this 2.33 treasury bond yield to
get yield spread.
The dataset is like this:
corp_bondID, corp_yield, corp_maturity, 1yr_treasury_yield, 5yr_treasury_yield,
xxxxxxxxxxx, 5.20, 2.3 | m*****n
发帖数: 3575 | 2 I guess you need to mix 1yr and 5yr to come up with a portfolio with MD
around 2.33 to compare with the corporate bond. Since accurate strip
approach is not available. | p*****w
发帖数: 82 | 3 I guess you need to use bootstrapping to estimate 2.33y yield. Of course,
the ways to interpolate can be YMV. |
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