Previous Topic

Next Topic

oBondBE_Yield( ) Example

Description

Consider a 10-year Belgium Government Bond (OLO) trading at a price of $102.00 with a coupon rate of 6.25%, a dated date of 1 January 1997, a first coupon date of 28 March 1997, a maturity date of 28 March 2007, and a face value of $10,000,000. What is the current yield of this bond assuming a settlement date of 20 February 1997?

 

 

Function Specification

=oBondBE_Yield(102, "20/2/97", "1/1/97", "28/3/97","28/3/07", 10000000, 0.0625, 0)

This bond had a stub first period (1/1/1997 - 28/3/1997).

 

 

Solution

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

Yield

0.0598919

Clean Price

10,200,000.0000

Accrued Interest

85,616.4384

Dirty Price

10,285,616.4384

Macaulay Duration

7.7414

Modified Duration

7.3045

Convexity

69.5949

Present Value of a Basis Point

7513.0804

 

 

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

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.