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oBondSE_Price( ) Example

Description

Consider a Swedish Government Bond (Statssobligation) 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

=oBondSE_Price(0.07, "1/3/03", "5/5/01", , "5/5/08", 500, 0.0675, , 0)

 

 

Solution

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

Yield

0.07000

Clean Price

494.5544

Accrued Interest

27.7500

Dirty Price

522.3044

Macaulay Duration

4.2996

Modified Duration

4.0184

Convexity

22.1202

Price Value of a Basis Point

0.2099

 

 

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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