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oBondGB_Yield( ) Example

Description

Consider a Great Britain Government Bond (Gilt) trading at a price of $99.25 with a coupon rate of 6.00%, a dated date of 15 October 1997, a first coupon date of 15 August 1998, a maturity date of 15 February 2002, and a face value of $10,000,000. What is the current yield of this bond assuming a settlement date of 1 January 1998?

 

 

Function Specification

=oBondGB_Yield(99.25, "1/1/98", "15/10/97", "15/8/98", "15/2/02", 10000000, 0.06, , 0)

This bond has an odd first period (15/10/1997 - 15/8/1998).

 

 

Solution

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

Yield

0.0619198

Clean Price

9,925,000.0000

Accrued Interest

127,173.9000

Dirty Price

10,052,173.9000

Macaulay Duration

3.67607

Modified Duration

3.56567

Convexity

15.3849

Present Value of a Basis Point

3,584.2798

 

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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