EXTRA ANALYSIS
Historical Bond Pricing
Reprice one municipal bond automatically across every available historical Treasury curve.
Historical Pricing Assumptions
Each historical observation date is used as the settlement and QuantLib evaluation date. The bond’s fixed maturity and call dates remain unchanged, so remaining maturity, remaining call protection, and future cash flows evolve through time. Municipal rates are derived from each Treasury curve using the tax rate and spread below.
Results summary
Historical Price and Call Option Value
Callable and non-callable prices are shown per $100 face value. The call-option value equals the non-callable price less the callable price.
Historical YTM and YTC
Call Case YTC and Call Case YTM are calculated from the callable model price. No-Call YTM is calculated from the non-callable price. After the call date passes, the call-case series end and only the no-call YTM remains applicable.
Complete historical results
One row is retained for every historical date, including status information when a date cannot be priced.
| Date | Callable Price | No-Call Price | Call-Option Value | Call Case YTC | Call Case YTM | No-Call YTM | Effective Duration | Effective Convexity | Effective DV01 | Macaulay Duration | Modified Duration | No-Call Convexity | No-Call DV01 | 10Y Treasury | 10Y Muni | Years to Maturity | Years to Call | Status |
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