## oBond3_Price( ) Example

Description

Consider a 20-year bond trading at a yield of 7.20% with an annual coupon of 7.00%, a dated date of 15 March 1994, a maturity date of 15 March 2014, and a face value of \$500,000. The discount and accrual bases are Act/365, and domestic yield is quoted on an annually compounded basis.

There is an ex-dividend period of 5 business days, all prices are rounded to the nearest cent (ie 2dp), while cash flows that occur on a non-business day are not adjusted. Coupons are exact and the bond is priced using the ISMA formula. The final period starts on the ex-date of the penultimate coupon.

What is the price of this bond assuming a settlement date of 12 March 2003?

Function Specification

=oBond3_Price(0.072, {"12/3/03", "15/3/94", "", "", "15/3/14"}, 500000, 0.07, 1, 1, 1, 1, 1, 4, 3, 5, 2, 2, 0, 1, , 0)

Parameter Name

Parameter Value

Yield

0.0720

Settlement Date

12/3/2003

Dated Date

15/3/1994

First Coupon Date

Penultimate Coupon Date

Maturity Date

15/3/2004

Face Value

500000

Coupon Rate

0.07

Coupon Frequency

1

Compounding Frequency

1

1

Yield Method

1

Final Period Yield Method

1

Discount Basis

4

Accrual Basis

4

ExDate Convention

3

ExDay Unit

5

Coupon Type

2

PPH Rounding

2

0

Final Period Start

1

Holiday Schedule

Output Flag

0

Solution

The following results are obtained:

0.0720000

492,650.0000

-300.0000

492,350.0000

8.00596

7.46825

74.22365

###### Present Value of a Basis Point

367.72416

For further details on how the above prices and statistics are calculated, see the ISMA formula.