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Chaim6
2014-05-26 04:15:43
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Hi,
I reconstructed indexes of sovereign bonds in various international countries based on historical yields. For each country, I downloaded the daily interest rates. In some cases, for older data all that I had available was monthly interest rates. So I used that too. What I was left with was daily rates for most countries going back a few decades and monthly rates for some years before that. Taking that data into Excel I simulated the total returns of $100 from inception.
I am trying to import these "indexes" into QS, but have run into a couple of issues.
The simulated "price history" of these indexes do not include interest payments obviously. How would I be able to create rules based on the "yield" of these bonds. (I assume that all else being equal the highest interest rate is the best investment). Do I need to create a separate database with interest payments of these bonds, or can this be done by importing interest payments within the price history itself as if they were dividend payments? If yes, how?
Another issue that came up is that some of the older bond data contains monthly information only; not daily. That means that sometimes the trading periods will not be comparable; for example when using monthly data, to sell if the price is below the 6 month moving average for daily data means using the rule:
sell = price < SMA(121)
but for monthly data it would be:
sell = price < SMA(6)
How would I mix and match different trading intervals?
Thanks
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