Hi group. I was wondering what the forumla is to calcuate the change in bond price due to change of interest rate. For example, suppose the 10 year treasury bond interest rate changed from 3.3% to 3.2% in one day, what is the change in bond price? What is the formula? thanks.
Are you kidding me??
Hope so
I am not a CFA candidate, but was told I can find the answer here. I guess not
you have to know how the yield curve changes if you assume the shift is equal/parallel you can use just duration.
Thanks for the reply. Can you please show me this exact example. On May 6th, the rate on the 10 year treasury was 3.15. on May 7th it was 3.3. What is the % change on the treasury? How do i find the yield curve for the 10 year treasury. What I am trying to do is find the daily price change (not yield change) on the 10 year bond dating back as far as possible.
inkt2002 Wrote: ------------------------------------------------------- > Thanks for the reply. > Can you please show me this exact example. On May > 6th, the rate on the 10 year treasury was 3.15. on > May 7th it was 3.3. What is the % change on the > treasury? 0.2% or 20 bp > How do i find the yield curve for the 10 year > treasury. Not sure what you mean by that. Yield curve is defined for different maturities (yield as a function of maturity) > What I am trying to do is find the daily price > change (not yield change) on the 10 year bond > dating back as far as possible. what are you trying to accomplish?
I am trying to find the return on investment on the 10 year treasury. This would include the appreciation of price of the bond (or depreciation) plus the yield. I know that the bond price changes daily. Where can I find the daily change in bond price? I can only find the daily change in yield. thanks.
The return on investment will depend on what you paid for it, not the cumulative change in value over some time frame plus yield. It is not that simple. The quote you see is always the on-the-run Treasury, so getting quoted data will not be accurate if you are trying to follow the price of an individual issue.
inkt2002…the duration of the on the run 10yr is 8.5 roughly according to bloomberg. That means that means basically when yields move 1%, the bond will move 8.5% in the opposite direction. you can look on bloomberg to find the daily price, and i imagine you can google it as well…FYI, weds 5/6: 99 16/32; thurs: 98 6/32; right now: 98 21/32… Here is the cusip of the on the run: 912828KQ2
And if you are truly interested in the formula as your original post stated, go to your local library or book store and pick up a copy of Fabozzi’s “The Handbook of Fixed Income Securities,” 6th edition.
thans petetini, I had no luck entering that cusip on bloomberg and finding historical prices. If you have, can you please send a direct link:) thanks