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oBondPT_Yield( ) Example

Description

Consider a 10-year Portuguese bond (OT) trading at a price of $101.25 with a coupon rate of 6.25%, a dated date of 1 January 1996, a first coupon date of 20 March 1996, a maturity date of 20 March 2006, and a face value of $100,000. What is the current yield of this bond assuming a settlement date of 20 February 1996?

 

 

Function Specification

=oBondPT_Yield(101.25, "20/2/96", "1/1/96", "20/3/96", "20/3/06", 100000, 0.0625, 0)

This bond had a stub first period (1/1/1996 - 20/3/1996).

 

 

Solution

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

Yield

0.0608175

Clean Price

101,250.0000

Accrued Interest

853.8251

Dirty Price

102,103.8251

Macaulay Duration

7.72130

Modified Duration

7.27863

Convexity

69.14686

Price Value of a Basis Point

74.31762

 

 

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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