I just wondered on how one can properly get the Net Bond Yield/Coupon given that you had some "trading" that happened.
Suppose, I have a group of bonds (say some Treasury bonds). I acquired a 100 Par value bond with a coupon rate of 2%. At the same time, I also disposed a 20 Par value bond with a coupon rate of 5% (again assuming that I have a portfolio of Treasury bonds)
I was kind of thinking on how the Net coupon would be based on this activity? I tried using the weighted average, i.e.
((Acquisition Par)(Acquisition Coupon)+(Disposal Par)(Disposal Coupon))/(Net Par)
=> ((100)(.02)+(-20)(.05))/(80) = .0125
But again using this method will lead to some weird results especially when Net Par -> 0 i.e. asymptotic
The image above is what I tried to plot on Excel whenever we have varying trades but consistent coupons. Notice that we would then have nonsensical values whenever we have similar par valued trades.
Do you guys know what method to properly get the net rates?