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This is the press release for a recent 30-Year bond auction results: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2020/R_20201112_5.pdf

I cannot figure out how the price is calculated. It is not the coupon divided by the yield. So what is it?

Pascal Dufresne
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  • Did you assume half the annual coupon every 6 months? I don't see the mean yield (only high, low, median) so I don't think you can calculate the mean price. – H2ONaCl Jan 03 '21 at 01:45
  • This page has yield conventions. http://www.derivativepricing.com/blogpage.asp?id=12 It includes a “US Treasury” yield convention. I have not dug around the Treasury documentation to validate that this is the exact convention. In any event, it’s going to be close to the standard market convention. – Brian Romanchuk Jan 03 '21 at 15:27
  • H2ONaCl: I just tried calculating for two 6 month coupon. I get a total coupon payment of 1.6316015625$ for a price of 97.119140625. – Pascal Dufresne Jan 04 '21 at 04:18

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