-1
$\begingroup$

I would like to know how to calculate the aggregate YTM of a portfolio with bonds of different currencies

Improve this question
$\endgroup$

1 Answer 1

Reset to default
2
$\begingroup$

There are two parts to this question.

  1. yield in a different currency: Suppose you have a bond denominated in ccy1. To get its ccy2 yield, taking into consideration the cross-currency basis, price a cross-currency swap whose ccy1 cash flows match the bond. Solve for the yield of the ccy2 flows of the swap.

  2. yield of a portfolio of bonds: just use the weighted average of individual yields. It's possible to do more complicated calculations, but probably not worth it. If some bonds have different frequencies, you may want to normalize their yields to the same frequency.

Improve this answer
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Start asking to get answers

Find the answer to your question by asking.

Ask question

Explore related questions

See similar questions with these tags.