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simonabof
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Joined: October 10th, 2011, 2:19 pm

YTM for FRN

December 14th, 2011, 8:47 am

Hello,I'm trying to replicate Bloomberg calculation for YTM for FRN. I'm using Bloomberg cash flows, so these should be correct. I think the question is how cash flows are discounted, that is if using simple, compounded or simple-compounded conventions.Has anyone already faced this problem?Thank you for any help
 
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japanstar
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Joined: July 13th, 2009, 7:07 am

YTM for FRN

December 18th, 2011, 8:07 pm

Drop me an email japanstar_uk [AT ] yahoo.co.uk
 
MDIS
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Joined: October 16th, 2018, 10:43 am

Re: YTM for FRN

January 24th, 2019, 2:06 pm

Hey Buddy, did you get an answer for this? Can you share?
 
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wickedwit
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Joined: August 6th, 2011, 3:48 pm

Re: YTM for FRN

August 3rd, 2019, 2:11 pm

historically it's been difficult to tie to bloomberg numbers exactly for some reason even with their cash flows. For a basic ytm of a frn i would just run the cash flows to the referenced forward curve and discount that.