Description

Consider a French Government Bond (OAT) trading at a price of $99.49 with a coupon rate of 5.75%, a dated date of 12 June 2001, a maturity date of 12 June 2032, and a face value of $625,000. What is the current yield of this bond assuming a settlement date of 1 September 2004?

Function Specification

=oBondFR_Yield(99.49, "1/9/2004", "12/6/2001", , "12/6/2032", 625000, 0.0575, 0)

Solution

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

Yield

0.057853

Clean Price

621,812.5000

Accrued Interest

7975.0000

Dirty Price

629,787.5000

Macaulay Duration

14.2943

Modified Duration

13.5126

Convexity

279.0111

Present Value of a Basis Point

851.0054

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