TEC 10 Bonds

BigEddie · March 1st, 2004, 2:58 pm

Does anyone hae details about the conventions on these bonds? There is scant info on the France Tresor site and I can find nothing about price to yield conversions.

TheFresher · March 1st, 2004, 4:11 pm

what kind of P/Y information do you miss?On the following page you have a "prefixed coupon" pricing calculation method.http://www.francetresor.com/oat/fr/tech06.htmlwhat else do you need?Maybe it's also a question of language. Are you at ease with French?NB: If your have RTRS, <TRESORTEC10> &/or Bloomberg TRESOR <GO> for more information

BigEddie · March 1st, 2004, 4:29 pm

Hi Fresher, Thanks for the link, I had seen this on the site and it does tell you how to calculate the next coupon. But what I find mssing is how you would calcualte the market quoted yield for these bond, (not the TEC10 index itself).

TheFresher · March 1st, 2004, 4:53 pm

I'm sorry I cannot really understand clearly your question. Maybe that I've worked too much today on the parmalat subject (see my question on the general forum)... ;-)I should have a rest tonight and come back to you tomorrow with a fresh(er) mind ;o)NB: on RTRS input <CNOTEC10> then <enter> and you should reach market data regarding the tec10

laosun · March 4th, 2004, 7:59 pm

the french TEC 10 is the same as the Constant Maturity bond in USAfor exemple, if the next coupon is in three monthsto get it you need to interpolate (linear) the forward rate between the rate of three months ans the rate of 10 and 1/4 yearsdid I answer your question