Previous Topic

Next Topic

oBondJP_Yield( ) Example

Description

Consider a 6-year Japanese Government Bond (JGB) trading at a price of $100.00 with a coupon rate of 2.00%, a dated date of 25 March 2000, a first coupon date of 20 September 2000, a maturity date of 20 March 2006, and a face value of $75,000. What is the current yield of this bond assuming a settlement date of 1 June 2000?

 

 

Function Specification

=oBondJP_Yield(100, "1/6/00", "25/3/00", "20/9/00", "20/3/06", 75000, 0.02, 0)

This bond had a stub first period (25/3/2000 - 20/9/2000).

 

 

Solution

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

Yield

Equation Template

Clean Price

75,000.0000

Accrued Interest

279.4521

Dirty Price

75,279.4521

Macaulay Duration

5.24910

Modified Duration

5.19713

Convexity

54.02037

Price Value of a Basis Point

38.97849

 

 

See Also

oBond3_Yield( ) - Generic Bond Yield Function 3

oBond3_Yield( ) Example

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.