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Patapouf
Topic Author
Posts: 1
Joined: October 9th, 2018, 8:53 am

Caculate a total return index from Libor yield indices

October 9th, 2018, 8:55 am

Hi everyone,
I am looking to recreate a total return index for Libor rates (1 month and 3 month) similar to the ones in Bloomberg as they were discontinued after June 2018.
I tried something very simple such as Daily Return on Libor 1 month * (30/360) to get an approximation but my result is very far off.
I also tried something that I am very unsure about. I calculated the present value of the 1 month Libor rate on a daily basis (equivalent to a redemption of an instrument with a value of one that pays Libor 1 month everyday): 1+(30/360)*1 month Libor rate.
Then I computed the total return from this present value with: Last Total Return Value (starting at 100) * ((Current Present value + Libor 1 month rate * (1/360))/Last present value.
But I still cant get back to the total return index indicated by Bloom.
Can anyone help me on this subject ?
Many thanks.
Best,
Ervin
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