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? |
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Function Specification |
=oBondAT_Yield(98, "1/6/03", "1/11/00", , "1/11/05", 1000000, 0.07, 0) |
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Solution |
The following results are obtained from setting the output flag to 0. |
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Yield |
0.07910 |
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Clean Price |
980,000.0000 |
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Accrued Interest |
40,657.5342 |
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Dirty Price |
1,020,657.5423 |
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Macaulay Duration |
2.2248 |
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Modified Duration |
2.0617 |
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Convexity |
6.4097 |
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Present Value of a Basis Point |
210.4271 |
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For further details on how the above prices and statistics are calculated, see the ISMA formula. |
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See Also |
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