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YTM Method "US street"

jackb

Joined
2/5/11
Messages
3
Points
13
Hi,

I am currently implementing different yield to maturity conventions but can't find any good documentation about US street. Does anyone have links to good material regarding this or feel they could explain it?

I would really appreciate an explicit formula. Also, is there any difference depending on which day convention you use?

Thanks,
jackb
 
Garbade has written extensively about this. It's also described in his textbooks Securities Markets and Fixed Income Analytics.
 

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  • 01 Invoice Prices, Cash Flows, and Yields on Treasury Bonds.PDF
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