YTM, duration, DV01, z-spread and beta

On a TrackRecords portfolio, yield, duration, DV01, z-spread and equity beta are calculated in the platform. The bond engine builds a cash-flow calendar for each issue (coupons, amortisation, remaining face, offers), applies your horizon and coupon scenario, then solves for the metrics from that calendar and the dirty price.

The same numbers appear in holdings, the bond calculator, cash-flow forecasts, risk reports and limit tests. Change the settings, and YTM, duration and DV01 move together.

What the portfolio engine still takes from the market is price (and the government spot curve used for spreads). Metrics on the book are TrackRecords.

On the instrument reference, Extractors can also load official yield, duration and similar series published by exchanges or vendors. Those series are useful for history and comparison. They do not replace the cash-flow calculation used for the portfolio.

From cash flows, not from a quote screen

For each bond on the calculation date the engine:

loads the contractual payment schedule and any call/put offer
keeps coupons that are already fixed
fills unknown floater or linker payments from the selected scenario (implied, flat or custom)
cuts the schedule at the horizon you chose (see below)
solves YTM as the IRR that matches the dirty price to the remaining payments
computes Macaulay duration (present-value weighted timing of those payments) and modified duration
computes DV01: change in value for a 1 basis-point shift of the curve
computes z-spread: the constant spread over the government zero (spot) curve that makes NPV equal the dirty price

Portfolio YTM, duration and DV01 are the value-weighted roll-up of the instrument lines. A cash or equity sleeve does not get a bond YTM; beta applies to the equity book (below).

Deposits use the same idea with their own schedule: an effective annual rate from the contractual rate and payment frequency.

Horizon: to offer, to last known coupon, to maturity

Where the calendar stops changes every yield and risk number. Typical modes:

Horizon	What the engine does
To nearest offer	Treat the next put or call as early redemption. Coupons after the offer are not used. This is the usual YTM-to-call / YTM-to-put view (any offer type).
To last known coupon	Stop on the last date where the coupon is actually known. Used when the remaining floater formula cannot be projected, or when you refuse to guess the tail.
To maturity	Use the full remaining schedule, with unknown coupons filled from the scenario.

If the schedule is empty after the cut, the metric is not invented: the engine does not pretend later zeros are real payments. Truncation is a first-class setting, not a hidden vendor convention.

Reports (risk pack, portfolio-as-of-date, composition) expose the same switch so a CIO and a risk manager can agree which horizon they are looking at.

Coupon scenarios

Unknown coupons and indexed principal are not frozen at today’s print unless you ask for that. The calendar is rebuilt under:

implied (default): market-implied path of the base rate or inflation
flat: last known coupon/principal held constant
custom: your own path of overnight rates, policy rates, inflation and curve points

Switching the scenario recalculates YTM, duration, DV01, projected cash and floater share in limits without changing holdings. Details: Floaters and inflation-linked bonds.

Z-spread

Z-spread is the parallel premium to the government spot curve that equates discounted cash flows with the dirty price. It uses the same truncated, scenario-adjusted calendar as YTM. That is why a change in “to offer vs to maturity” moves z-spread, not only yield.

Equity beta

Beta is not a cash-flow metric. For equities TrackRecords estimates sensitivity to a market index from historical returns:

default window: 7-day returns over 36 weeks
both the interval and the lookback depth are settings (risk reports and portfolio metrics)

Covariance of the name with the index, divided by the variance of the index. Portfolio equity beta is the weighted combination of those lines.

Where this is used

Holdings / composition. Columns for YTM, Macaulay and modified duration, DV01, z-spread, nearest offer, beta.
Bond calculator. Same engine on a single ISIN: change date, dirty price, horizon and scenario; yield and risk update immediately.
Cash-flow forecast. Portfolio coupons and redemptions under the selected scenario and offer treatment.
Risk reports. Portfolio duration buckets, DV01, equity beta, with the same horizon and beta-window settings.
Limits. Duration, floater share and similar tests run on these calculated fields, not on a vendor snapshot.

Instrument reference charts can show official exchange or vendor series (yield, duration and related trading statistics) for published history. Analytics and limits on the portfolio still use the cash-flow calculation.