Datasets

Germany 10-Year Bund Yield – Constant Maturity

Kevin Patrick Lim

• 1 min read

Methodology: Estimating the German 10-Year Nominal Yield (Constant Maturity)

This analysis presents a time series of the German 10-Year Nominal Government Bond Yield, standardized to a constant maturity of 10 years. The objective is to estimate the market yield of a 10-year German Bund using observed bond pricing data and a transparent interpolation technique.

Objective

The objective is to construct a reliable estimate of the 10-year nominal yield by:

  • Calculating the yield-to-maturity (YTM) for outstanding nominal German government bonds.
  • Interpolating these yields to create a continuous, daily 10-year constant maturity yield curve.

This approach offers valuable insights into market expectations for medium- to long-term German government debt.

Data Inputs

The following datasets and sources were used:

• German Government Bonds (Bunds) provide daily pricing, coupon, and maturity information for fixed-rate nominal bonds. Government Bonds (Bunds): Daily pricing, coupon, and maturity information for fixed-rate nominal bonds. All bond data was sourced from the Deutsche Finanzagentur (German Finance Agency).

Methodology Overview

1. Bond Data Preparation

Nominal German government bonds were filtered to include only those with positive prices and fixed coupon payments. To maintain consistency, only the most recent observation for each bond per day was retained.

2. Yield-to-Maturity (YTM) Calculation

Yield to maturity (YTM) was estimated using a simplified formula that takes into account each bond’s coupon rate, price, and time to maturity. This calculation represents the total return an investor would earn if they held the bond until it matured.

3. Interpolation to 10-Year Maturity

Since German Bunds rarely mature precisely at 10 years, linear interpolation was employed between the closest shorter and longer maturities to approximate the yield of a hypothetical 10-year bond. This process was repeated daily to generate a consistent maturity yield curve spanning 10 years.