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oBondCH_Yield( ) Example

Description

Consider a 10-year Swiss Government Bond (SGB) trading at a price of $100.05 with a coupon rate of 8.00%, a dated date of 15 December 1995, a maturity date of 15 December 2005, and a face value of $4,000,000. What is the current yield of this bond assuming a settlement date of 1 March 2003?

 

 

Function Specification

=oBondCH_Yield(100.05, "1/3/03", "15/12/95", , "15/12/05", 4000000, 0.08, 0)

 

 

Solution

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

Yield

0.079584

Clean Price

4,002,000.0000

Accrued Interest

67,555.5556

Dirty Price

4,096,555.5556

Macaulay Duration

2.5723

Modified Duration

2.3827

Convexity

8.1567

Present Value of a Basis Point

969.6351

 

 

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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