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oBondAU_Price( ) Example

Description

Consider a 10-year Australian Government Bond (CGB) trading at a yield of 7.00% with a coupon rate of 7.50%, a dated date of 15 September 1999, a maturity date of 15 September 2009, and a face value of $1,000,000. What is the current value of this bond assuming a settlement date of 1 January 2002?

 

 

Function Specification

=oBondAU_Price(0.07, "1/1/02", "15/9/99", , "15/9/09", 1000000, 0.075, 0)

 

 

Solution

The following results are obtained from setting the output flag to 0.

Yield

0.07000

Clean Price

1,029,225.5916

Accrued Interest

22,375.6906

Dirty Price

1,051,601.2822

Macaulay Duration

5.8907

Modified Duration

5.6915

Convexity

41.1863

Present Value of a Basis Point

598.5225

 

 

For further details on how the above prices and statistics are calculated, see the ISMA formula.

 

 

See Also

oBond3_Price( ) - Generic Bond Price Function 3

oBond3_Price( ) Example

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