> For the complete documentation index, see [llms.txt](https://www.bluegamma.io/documentation/llms.txt). Markdown versions of documentation pages are available by appending `.md` to page URLs; this page is available as [Markdown](https://www.bluegamma.io/documentation/market-data-guides/bonds/faqs.md). # Bonds FAQs Common questions across Government Bonds, iBoxx Spreads and Bond Comps: maturity dates, OAS vs Z-spread, ISIN search, US Treasury sources and curve methodology. These answers apply across the whole Bonds section. *** #### Why does a bond's maturity date differ from what I see elsewhere? For bonds with an extendible structure, we show the **extended maturity date**. Other sources may show the date of the first extension option instead, which is why the two can differ by a year or more on the same ISIN. Before treating a difference as an error, check the bond's extendible option date on its detail page. If the dates still do not reconcile, contact with the ISIN and we will look into it. *** #### What is the difference between OAS and Z-spread? Both express credit risk as a spread in basis points over the risk-free curve. * **Z-spread** is the constant spread that, added to every point on the risk-free curve, prices the bond or index exactly. It assumes cashflows are certain. * **OAS** is the Z-spread with the value of any embedded options stripped out, so a callable bond and a bullet can be compared on the same footing. Where the constituents carry no embedded options the two sit close together. A wide gap between them tells you optionality is doing the work. *** #### A bond I need is not showing. Can you add it? Yes. On **Bond Comps**, click **Request a bond** and submit the ISIN with an optional note. The request reaches our support team directly. You can also email with the ISIN. *** #### Can I search by ISIN? Yes. Use the **search bar at the top right** from anywhere in the app and paste the ISIN in. Results are grouped by type, so the bond comes back with its issuer, coupon and maturity, and clicking it takes you straight there. This covers the whole bond universe, sovereign and corporate alike. Within **Bond Comps** you can also search by ISIN, bond name or issuer in the table's own search box. {% hint style="info" %} ISINs are not displayed on every Government Bonds country page. The per-bond table that lists them is currently on UK Gilts. The top-right search still finds a bond by ISIN whether or not the country page shows the identifier. {% endhint %} *** #### Why does a spread here differ from my own calculation? Check the reference curve and the day count before anything else. A spread is only meaningful against a stated curve, and a spread struck over a swap curve will not match one struck over a sovereign curve for the same bond. The valuation timestamp matters too: use **Change time** to line both sides up on the same close. *** #### What data sources do you use for U.S. Treasury yields? We source U.S. Treasury yields from institutional-grade market data providers that aggregate **U.S. Treasury Constant Maturity rates** from secondary market trading. **Data Characteristics:** * Based on the most actively traded marketable Treasury securities * Represents composite quotes from U.S. Government securities dealers * Reflects actual secondary market prices * **Maturities**: 1M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 20Y, 30Y * Updated about once a minute during trading hours *** #### What methodology do you use to construct the yield curve? Our yield curve construction follows industry-standard practices: **1. Input Data** * Bond yields (representing actual market yields) * Deposit rates for the short end (< 1 year) **2. Bootstrapping** * Industry-standard bootstrapping methodology * Converts market yields into a coherent zero-coupon curve * Ensures no-arbitrage conditions **3. Interpolation** * **Method**: Piecewise log-cubic interpolation on discount factors **4. Compounding Conventions** * **Compounding**: Semi-annual (Compounded) * **Day Count**: Actual/Actual ISMA * **Calendar**: U.S. Government Bond Calendar * **Settlement**: T+1 for bonds **Output**: Zero-coupon yields with semi-annual compounding *** #### Which yields are observed market data, and which are calculated? Each country's curve is anchored by market-quoted bond yields up to that market's longest quoted tenor. Between quoted tenors, yields are interpolated on the fitted curve; beyond the last quoted tenor, yields are extrapolated. The short end of every curve (below the shortest quoted bond) is built from money-market rates. Note that the yield curve in the app, the `/gov_yield` API endpoint and the Excel add-in all return **zero-coupon rates** derived from the fitted curve (see the methodology above). Even at a quoted tenor, a zero-coupon rate will differ slightly from the quoted bond yield it is anchored to, since the quote is a par yield. The market-quoted bond yields themselves are shown in the Bond Yields table on each country page. The table below shows current coverage per country. Coverage reflects what the market publishes and can vary by date. | Country | Market-quoted tenors | Last market tenor | | ------------------- | ------------------------------- | ----------------- | | 🇦🇺 Australia | 1, 2, 3, 5, 10, 30Y | 30Y | | 🇦🇹 Austria | 1, 2, 10Y | 10Y | | 🇧🇷 Brazil | 1, 2, 3, 5, 8, 10Y | 10Y | | 🇨🇦 Canada | 1, 2, 3, 5, 10, 20, 30Y | 30Y | | 🇨🇳 China | 1, 2, 3, 5, 7, 10, 30Y | 30Y | | 🇩🇰 Denmark | 2, 3, 5, 8, 10Y | 10Y | | 🇪🇬 Egypt | 1, 2, 3, 5, 7, 10Y | 10Y | | 🇫🇮 Finland | 2, 3, 4, 5, 6, 8, 10Y | 10Y | | 🇫🇷 France | 1, 2, 3, 5, 10Y | 10Y | | 🇩🇪 Germany | 1, 2, 3, 5, 10, 30Y | 30Y | | 🇬🇷 Greece | 1, 2, 5, 7, 10Y | 10Y | | 🇮🇳 India | 1, 2, 5, 10Y | 10Y | | 🇮🇩 Indonesia | 1, 3, 5, 10, 30Y | 30Y | | 🇮🇹 Italy | 1, 2, 3, 5, 10, 30Y | 30Y | | 🇯🇵 Japan | 1, 2, 3, 5, 10, 30Y | 30Y | | 🇲🇾 Malaysia | 3, 5, 10Y | 10Y | | 🇳🇱 Netherlands | 2–10Y | 10Y | | 🇳🇿 New Zealand | 2, 5, 10Y | 10Y | | 🇵🇱 Poland | 1–7, 10Y | 10Y | | 🇵🇹 Portugal | 1, 3, 5, 10Y | 10Y | | 🇷🇴 Romania | 1–5, 7, 10Y | 10Y | | 🇰🇷 South Korea | 1, 2, 3, 5, 10, 20Y | 20Y | | 🇪🇸 Spain | 1, 2, 3, 5, 10Y | 10Y | | 🇬🇧 United Kingdom | 1, 2, 3, 5, 10, 15, 20, 25, 30Y | 30Y | | 🇺🇸 United States | 1, 2, 3, 5, 7, 10, 20, 30Y | 30Y | {% hint style="info" %} Every country in the table is anchored by at least three market-quoted tenors. Yields requested beyond a country's last market tenor are extrapolated rather than observed, and should be treated as indicative. {% endhint %} --- # Agent Instructions This documentation is published with GitBook. GitBook is the documentation platform designed so that both humans and AI agents can read, navigate, and reason over technical content effectively. Learn more at gitbook.com. ## Querying This Documentation If you need additional information that is not directly available in this page, you can query the documentation dynamically by asking a question. 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