Description |
Consider a 12-year New Zealand Government bond (NZG) trading at a yield of 6.725% with a coupon rate of 6.50%, a dated date of 15 April 2001, a maturity date of 15 April 2013, and a face value of $75,000. What is the current value of this bond assuming a settlement date of 1 April 2004? |
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Function Specification |
=oBondNZ_Price(0.06725, "1/4/04", "15/4/01", , "15/4/13", 75000, 0.065, , 0) For convenience, we have assumed there are no non-business days. |
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Solution |
The following results are obtained from setting the output flag to 0. |
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Yield |
0.06725 |
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Clean Price |
73,867.9709 |
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Accrued Interest |
2,251.0246 |
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Dirty Price |
76,118.9955 |
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Macaulay Duration |
6.7511 |
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Modified Duration |
6.5315 |
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Convexity |
54.7654 |
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Price Value of a Basis Point |
49.7172 |
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For further details on how the above prices and statistics are calculated, see the ISMA formula. |
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See Also |
Copyright 2013 Hedgebook Ltd.