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oBondZA_Price( ) Example

Description

Consider a South African Government bond (Gilt) trading at a yield of 13.00% with a coupon rate of 13.45%, a dated date of 31 March 1994, a maturity date of 30 September 2007, and a face value of $625,000. What is the current value of this bond assuming a settlement date of 1 October 2002?

 

 

Function Specification

=oBondZA_Price(0.13, "1/10/02", "31/3/94", , "30/9/07", 625000, 0.1345, 0)

 

 

Solution

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

Yield

0.13000

Clean Price

635,098.7500

Accrued Interest

230.3125

Dirty Price

635,329.0625

Macaulay Duration

3.8040

Modified Duration

3.5719

Convexity

16.6664

Price Value of a Basis Point

226.9311

 

 

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

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