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Bond Price/Yield Calculations

Although three price-related variables are computed for all "_Price" and "_Yield" bonds, the method used in each case differs. The following table sets out the various possibilities:

 

Price Variable

Clean Price

Yield

 

Clean Bond Price

 

As quoted

 

Dirty price (based on quoted yield) less accrued interest.

 

Accrued Interest

 

Proportion of next coupon payment payable to bond seller. Based on conventions for accrual basis and ex-div period.

 

Proportion of next coupon payment payable to bond seller. Based on conventions for accrual basis and ex-div period.

 

Dirty Bond Price

 

Computed as clean price plus accrued interest.

 

Derived from the appropriate bond pricing formula.

 

 

 

 

 

 

 

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