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BTPS yield calculation
Posted: January 17th, 2013, 1:13 am
by quanteric
Hi, I am wondering if you can help me out with Italian BTPS yield calculations. I am aware that they are diferent from the standard street convention calculation and the Bloomberg people refuse to provide any clear assistance.... Any help on this would be most appreciated. Thanks.
BTPS yield calculation
Posted: January 17th, 2013, 4:14 pm
by gpop
Maybe it can help you to see the table of cash flows and then to compute their actuarial rate ?They are shown in Bloomberg when you type "ID IT0004848831" and then "ASW" and then see the cash-flows tab.
BTPS yield calculation
Posted: January 18th, 2013, 9:03 am
by cemil
Calculation is a standard Actual/Actual with semiannual for the coupon periodicity but some btps have a notional value different from 100.This calculation is done since euro but before the calculation rule was different for btps for accured coupon which is not have the same settlement for the bond