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?

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.

Solution

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

Yield

0.06725

Clean Price

73,867.9709

Accrued Interest

2,251.0246

Dirty Price

76,118.9955

Macaulay Duration

6.7511

Modified Duration

6.5315

Convexity

54.7654

Price Value of a Basis Point

49.7172

For further details on how the above prices and statistics are calculated, see the ISMA formula.

See Also

oBond3_Price( ) - Generic Bond Price Function 3

oBond3_Price( ) Example