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oBondCA_Yield( ) Example

Description

Consider a 10-year Canadian Government Bond (CAD) trading at a price of $100.50 with a coupon rate of 9.50%, a dated date of 1 August 2000, a first coupon date of 1 December 2000, a maturity date of 1 June 2010, and a face value of $5,000,000. What is the current yield of this bond assuming a settlement date of 1 October 2000?

 

 

Function Specification

=oBondCA_Yield(100.5, "1/10/00", "1/8/00", "1/12/00", "1/6/10", 5000000, 0.095, 0)

This bond had a stub first period (1/8/2000 - 1/12/2000).

 

 

Solution

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

Yield

0.0942003

Clean Price

5,025,000.0000

Accrued Interest

79,166.6667

Dirty Price

5,104,166.6667

Macaulay Duration

6.4379

Modified Duration

6.1483

Convexity

51.3668

Present Value of a Basis Point

3138.2096

 

 

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

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