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oBondNL_Yield( ) Example

Description

Consider a 10-year Netherlands Government Bond (DSL) trading at a price of $100.00 with a coupon rate of 5.00%, a dated date of 15 January 2001, a maturity date of 15 January 2011, and a face value of $2,000. What is the current yield of this bond assuming a settlement date of 1 February 2003?

 

 

Function Specification

=oBondNL_Yield(100, "1/2/03", "15/1/01", , "15/1/11", 2000, 0.05, 0)

 

 

Solution

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

Yield

0.049992

Clean Price

2,000.0000

Accrued Interest

4.6575

Dirty Price

2,004.6575

Macaulay Duration

6.7399

Modified Duration

6.4189

Convexity

51.6412

Price Value of a Basis Point

1.2868

 

 

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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