Description

Consider a 5-year Austrian Government Bond (Bund) trading at a price of $98.00 with a coupon rate of 7.00%, a dated date of 1 November 2000, a maturity date of 1 November 2005, and a face value of $1,000,000. What is the current yield of this bond assuming a settlement date of 1 June 2003?

Function Specification

=oBondAT_Yield(98, "1/6/03", "1/11/00", , "1/11/05", 1000000, 0.07, 0)

Solution

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

Yield

0.07910

Clean Price

980,000.0000

Accrued Interest

40,657.5342

Dirty Price

1,020,657.5423

Macaulay Duration

2.2248

Modified Duration

2.0617

Convexity

6.4097

Present Value of a Basis Point

210.4271

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

See Also

oBond3_Yield( ) - Generic Bond Yield Function 3

oBond3_Yield( ) Example