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oBond3_CFM( ) Example

Description

Consider a 10-year bond that has a semi-annual coupon of 8.25%, a dated date of 1 March 1998, a first coupon date of 1 June 1998, a maturity date of 1 June 2008, and a face value of $100,000. The bond discounts all cash flows on an Actual/365 JGB basis and accrues interest on a Actual/Actual (bond) basis. Yield is calculated on a semi-annual compounding basis.

There is no ex-dividend period, cash flows are rounded to 12dp, and cash flows that fall on a non-business day are not adjusted. Coupons are exact and the bond is priced using the ISMA formula.

Generate the cash flow map of this bond assuming a settlement date of 1 March 2003.

 

 

Function Specification

=oBond3_CFM({"1/3/03", "1/3/1998", "1/6/1998", "", "1/6/2008"}, 100000, 0.0825, 2, 2, 1, 1, 1, {6, 2}, 1, , 2, 12, 0, 2, , 0)

 

 

 

Parameter Name

Parameter Value

 

 

 

 

 

Settlement Date

1/3/2003

 

 

Dated Date

1/3/1998

 

 

First Coupon Date

1/6/1998

 

 

Penultimate Coupon Date

 

 

 

Maturity Date

1/6/2008

 

 

Face Value

100000

 

 

Coupon Rate

0.0825

 

 

Coupon Frequency

2

 

 

Compounding Frequency

2

 

 

Business Day Convention

1

 

 

Yield Method

1

 

 

Final Period Yield Method

1

 

 

Discount Basis

6

 

 

Accrual Basis

2

 

 

ExDate Convention

1

 

 

ExDay Unit

 

 

 

Coupon Type

2

 

 

PPH Rounding

12

 

 

Adjusted End of Month

0

 

 

Final Period Start

2

 

 

Holiday Schedule

 

 

 

Output Flag

0

 

 

 

Solution

The following results are obtained:

 

Nominal Date

Actual
Date

 

Coupon Amount ($)

Face
Value ($)

Total Cash Flow ($)

Number of Days

 

1/6/03

1/6/03

4,113.6986

0.0000

4,113.6986

182

1/12/03

1/12/03

4,136.3014

0.0000

4,136.3014

183

1/6/04

1/6/04

4,136.3014

0.0000

4,136.3014

183

1/12/04

1/12/04

4,125.0000

0.0000

4,125.0000

183

1/6/05

1/6/05

4,113.6986

0.0000

4,113.6986

182

1/12/05

1/12/05

4,136.3014

0.0000

4,136.3014

183

1/6/06

1/6/06

4,113.6986

0.0000

4,113.6986

182

1/12/06

1/12/06

4,136.3014

0.0000

4,136.3014

183

1/6/07

1/6/07

4,113.6986

0.0000

4,113.6986

182

1/12/07

1/12/07

4,136.3014

0.0000

4,136.3014

183

1/6/08

1/6/08

4,136.3014

100,000.0000

104,136.3014

183

 

 

 

 

 

 

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

 

 

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