I have set of nominal bond yields that I want to use to backfill (create a proxy) data for ILB's given South Africa has only have data from around 2000. How will one approach this?

QuoteOriginally posted by: KgonnyeI have set of nominal bond yields that I want to use to backfill (create a proxy) data for ILB's given South Africa has only have data from around 2000. How will one approach this?this should be in technical or student (probably student) NOT Brainteasers.

I am tempted to say it's not possible to do, but that would be rather unhelpful and maybe wrong. It all depends on the context and the precision that you require. For instance, one approach would be to take some measure of inflation risk premia for different maturities from the 2000 - data that you have (for instance, the average or the min or the max or whatever). Once you have that, use historical inflation prints, nominal yields and the above constant risk premia to produce a time series of something that may resemble real yield for a given maturity.Needless to say, the above method isn't likely to offer you anything other than very broad and approximate insights...

Thank you that gives me something to work with