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oBondUS_Yield( ) Example

Description

Consider a US Government bond (T-Bond) 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 June 1999?

 

 

Function Specification

=oBondUS_Yield(99.923, "1/6/99" ,"12/1/99", "15/11/99", "15/5/09", 100, 0.055, 0)

This bond has an odd first period (12/1/99 - 15/11/99).

 

 

Solution

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

Yield

0.0550374

Clean Price

99.9230

Accrued Interest

2.12286

Dirty Price

102.0459

Macaulay Duration

7.64560

Modified Duration

7.44084

Convexity

69.18958

Price Value of a Basis Point

0.075931

 

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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