Return Calculation of U.S. Treasury Constant Maturity Indices
coupon payments, and the redemption or face value. The coupon rates of these indices are not provided by the Federal Reserve Board, and we assume that the coupon rate is the same as the yield by assuming that the bond is trading at par. By definition, a bond that is trading at par is priced at 100, and its yield is the same as the coupon rate. ................
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