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oBondES_Yield( ) Example

Description

Consider a 5-year Spanish Government Bond (Bono) trading at a price of $100.00 with a coupon rate of 7.00%, a dated date of 20 March 2001, a maturity date of 20 March 2006, and a face value of $62,500. What is the current yield of this bond assuming a settlement date of 1 October 2002?

 

Function Specification

=oBondES_Yield(100, "1/10/02", "20/3/01", , "20/3/06", 62500, 0.07, 0)

 

 

Solution

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

Yield

0.06980

Clean Price

62,500.0000

Accrued Interest

2,337.3288

Dirty Price

64,837.3288

Macaulay Duration

3.0902

Modified Duration

2.8886

Convexity

11.6985

Present Value of a Basis Point

18.7288

 

 

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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