Aggregated Bond Market Indicators
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Formulae used:
1. Nominal issue size
2. Trading value (nominal)
3. Trading value (prices)
4. Weighted avarage maturity
5. Nominal turnover coefficient
Where:
Qi,t – Quantity of bond units on day t;
Ni,t – Bond issue nominal on day t;
Voli,t – Quantity of bond units traded in Main traiding mode on day t;
Vali,t – Traded value on day t;
Ai,t – Accrued interest on day t;
Ti – Quantity of days before maturity date (or next put option date).
