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oBondDK_Yield( ) Example

Description

Consider a 10-year Danish Government Bond (DGB) trading at a price of $99.9725 with a coupon rate of 6.50%, a dated date of 1 January 2000, a maturity date of 1 January 2010, and a face value of $100,000. What is the current yield of this bond assuming a settlement date of 1 March 2003?

 

 

Function Specification

=oBondDK_Yield(99.9725, "1/3/03", "1/1/00", , "1/1/10", 100000, 0.065, 0)

 

 

Solution

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

Yield

0.06500

Clean Price

99,972.50

Accrued Interest

1050.68

Dirty Price

101,023.18

Macaulay Duration

5.6794

Modified Duration

5.3327

Convexity

36.8280

Present Value of a Basis Point

53.8731

 

 

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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