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oBondIE_Yield( ) Example

Description

Consider a 6-year Irish Government Bond (IGB) trading at a price of $100.00 with a coupon rate of 9.00%, a dated date of 1 September 2000, a maturity date of 1 September 2006, and a face value of $2,500,000. What is the current yield of this bond assuming a settlement date of 1 September 2002?

 

 

Function Specification

=oBondIE_Yield(100, "1/9/02", "1/9/00", , "1/9/06", 2500000, 0.09, 0)

 

 

Solution

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

Yield

0.09000

Clean Price

2,500,000.0000

Accrued Interest

0.0000

Dirty Price

2,500,000.0000

Macaulay Duration

3.5313

Modified Duration

3.2397

Convexity

14.2221

Present Value of a Basis Point

809.9300

 

 

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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