Say that I have a historical series of yields and no coupon data because these yields come from a generic government bond, hence an constant maturity interpolation.
How would I go about computing the daily returns of the bond, without having information on the coupon?
No - a bond with a 10% yield valued at par and a bond with a 10% yield valued at 80% of par will have very different coupon rates. You could get a daily yield by just converting the annual yield to a daily yield (i.e. (1+y)^(1/365) - 1 if you assume a 365-day year and daily compounding), but it would not tell you the exact amount of interest that accrues. It would be a combination of interest from the coupon and accretion of the bonds value based on the passage of time.
