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Government Benchmark Yields Are Yields to Maturity, Not Spot Rates

Article Quant Q&A · Author: Skittles
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Summary

The document clarifies what bid yields shown on a government benchmark yield screen represent when pricing bonds. The answer says they are yields to maturity for actual government bonds, rather than spot rates. It recommends identifying the bond associated with a displayed tenor by opening its related quote information, which reveals the instrument’s details.

The example links a ten-year benchmark entry to a specific coupon-bearing bond and its maturity date. This illustrates that benchmark labels refer to selected bonds, not necessarily to zero-coupon points on a spot curve. The note is brief and does not explain how to bootstrap spot rates from bond prices or yields, nor does it provide a complete pricing workflow. Users would need the underlying bond terms and appropriate curve construction methods for that further step.

Key ideas

  • Government benchmark bid yields are yields to maturity on actual bonds.
  • A displayed tenor identifies a benchmark bond rather than a spot rate.
  • The related quote details can reveal the bond’s coupon and maturity.
  • A spot curve requires additional curve construction beyond reading benchmark yields.

Tags

Fixed income
Full text
# Eikon Government Benchmark Yield Curve


# Eikon Government Benchmark Yield Curve












I want to price gov bonds using Bid Yields (column 5) from the screen below, and quantlib. I am not sure what those Bid Yield rates represent.

Do those Bid yields represent spot rates, or what?

## Answer by Helin (score 1, accepted)

https://quant.stackexchange.com/a/73950

These are not spot rates, but yield to maturities of actual bonds. If you right click on the table, click on "Related," then "Quote," then you can see the actual bonds for each tenor. For example, currently the "10Y" bond has a coupon of 7.26%, maturing on August 22, 2022.

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.