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oBondDE_Yield( ) Example

Description

Consider a 20-year German Government Bond (Bund) trading at a price of $100.00 with a coupon rate of 7.00%, a dated date of 1 June 1996, a first coupon date of 1 February 1997, a maturity date of 1 February 2016, and a face value of $1,000,000. What is the current yield of this bond assuming a settlement date of 1 September 1996?

 

 

Function Specification

=oBondDE_Yield(100, "1/9/96", "1/6/96", "1/2/97", "1/2/16", 1000000, 0.07, 0)

This bond had a stub first period (1/6/1996 - 1/2/1997).

 

 

Solution

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

Yield

0.0700007

Clean Price

1,000,000.0000

Accrued Interest

17,595.6284

Dirty Price

1,017,595.6284

Macaulay Duration

10.98182

Modified Duration

10.26332

Convexity

156.30395

Present Value of a Basis Point

1,044.39098

 

 

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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