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oBondIT_Yield( ) Example

Description

Consider an Italian Government Bond (BTP) trading at a price of $100.00 with a coupon rate of 5.25%, a dated date of 1 February 2001, a maturity date of 1 August 2011, and a face value of $6,000,000. What is the current yield of this bond assuming a settlement date of 1 September 2004?

 

 

Function Specification

=oBondIT_Yield(100, "1/4/03", "1/2/01", , "1/8/11", 6000000, 0.0525, 0)

 

 

Solution

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

Yield

0.053178

Clean Price

6,000,000.0000

Accrued Interest

52,209.9448

Dirty Price

6,052,209.9448

Macaulay Duration

6.6271

Modified Duration

6.4555

Convexity

20.2837

Price Value of a Basis Point

3,906.9927

 

 

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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