I am looking at some Treasury Lock (T-Lock) instruments and trying to use the bond pricing IPA. My valuation date is 9/30/25 and trying to get the forward rate for the then on the run 10Y US treasury on July 1, 2026. I was trying to use the trade_date and valuation_date parameters to achieve this setup, with using trade_date as when I would enter into the treasury at expiry of my T-Lock.
However, results don't look right, when I compare against a second test case of trade_date = valuation_date.
Code below, any help would be greatly appreciated.
response = rdf.Definitions(universe=[
bond.Definition(
notional_amount=100_000_000,
instrument_code = 'US10YT=RR',
pricing_parameters=bond.PricingParameters(trade_date='2026-07-01', valuation_date='2025-09-30', market_data_date='2025-09-30')
),
bond.Definition(
notional_amount=100_000_000,
instrument_code = 'US10YT=RR',
pricing_parameters=bond.PricingParameters(trade_date='2025-09-30', valuation_date='2025-09-30', market_data_date='2025-09-30')
),],
fields=[
"InstrumentDescription",
"MarketDataDate",
"ValuationDate",
"IssueDate","TradeDate","SettlementDate",
"MarketValueInDealCcy",
"Price",
"YieldPercent",
"YieldToMaturityPercent",
'NetYieldPercent',
"ModifiedDuration",
"DV01AmountInReportCcy",
"AverageLife",
"ParRatePercent",
"IssueYieldPercent",
"DirtyPrice",
"CleanPrice","IssuePrice","ErrorMessage"]
).get_data()
