Finding Generic Treasury Yield Series and Averaging Yields
Summary
The note explains how to locate generic US Treasury yield series in Bloomberg and obtain daily observations for selected maturities. It says the terminal’s generic yield indices are quoted as yields to maturity, so the historical last-price field can be exported or retrieved in Excel and averaged to estimate the average yield over the chosen dates. This addresses a student’s confusion about whether to derive a new YTM from bond prices each day: for these quoted yield indices, the stored series already represents YTM.
The response identifies a terminal search route, the generic index naming convention, and the historical data field to use. It does not provide evidence comparing generic series with individual on-the-run bonds, nor does it explain total-return calculation. A simple average of daily yields answers an average-yield question, but it is not the same as an average investment return; the appropriate measure depends on the assignment’s objective and data definition.
Key ideas
- Bloomberg’s generic US Treasury yield indices provide series for multiple maturities.
- The cited indices are quoted as yields to maturity, so their last-price observations represent yields.
- Historical daily observations can be exported or retrieved through Excel integration.
- A simple average of yields should not be confused with a bond total return.
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Full text
# What are Generic government treasury bonds? (Bloomberg terminal)
# What are Generic government treasury bonds? (Bloomberg terminal)
I have a project at school were we are supposed to find the generic series for US treasury bonds, and then download daily data for 3 years. I have found the bb ticker, but i don't understand the difference between regular and generic series? I have managed to download daily last price data for multiple maturities. After the data is downloaded, I am supposed to calculate the average return, either by yield to maturity or total return. This is were I'm stuck. I know how to calculate YTM, but am i really supposed to calculate the YTM for every single day (Prices changes) and then take the average of all of these YTMs? Is there something I'm missing? The problem set really doesn't specify what kind of data we are supposed to download for the series, but I couldn't find any thing called YTM when importing the data to excel. If I could do that, i presume that i could just have taken the average of all the YTMs.
Thanks!
## Answer by msitt (score 1)
https://quant.stackexchange.com/a/33281
You can see all the US generic yield indices by typing `ALLX USGG` into your terminal. This will give the generic indices for multiple maturities. From there just pick the maturities you need.
This index is quoted in YTM, so if you want the average yield, you can export the last price series (`PX_LAST`) from the terminal or pull the series into Excel and take the simple average.
```
=BDH("USGG10YR Index", "PX_LAST", start_date, end_date)
```Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.