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oBondFI_Price( ) Example

Description

Consider a 10-year Finnish Government Bond (Markkas) trading at a yield of 5.235% with a coupon rate of 5.50%, a dated date of 29 August 2000, a first coupon date of 1 January 2001, a maturity date of 1 January 2010, and a face value of $750,000. What is the current value of this bond assuming a settlement date of 15 December 2001?

 

 

Function Specification

=oBondFI_Price(0.05235, "15/12/2001", "29/8/00", "1/1/01", "1/1/10", 750000, 0.055, 0)

This bond had a stub first period (29/8/2000 - 1/1/2001).

 

 

Solution

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

Yield

0.05523500

Clean Price

762,737.3074

Accrued Interest

39,328.7671

Dirty Price

802,066.0745

Macaulay Duration

6.39870

Modified Duration

6.08036

Convexity

49.01519

Present Value of a Basis Point

487.68530

 

 

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

 

 

See Also

oBond3_Price( ) - Generic Bond Price Function 3

oBond3_Price( ) Example

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