## oBond3_EYield( ) Example

Description

Consider a 12-year bond trading at a price of \$101.25 with an annual coupon of 6.75%, a dated date of 20 April 1996, a maturity date of 20 April 2008, and a face value of \$75,000. The discount and accrual bases are 30/360 ISDA. Domestic yield is expressed with annual compounding.

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 equal and the bond is priced using the ISMA formula.

What are the equivalent yields of this bond assuming a settlement date of 1 November 2003?

Function Specification

=oBond3_EYield(1, 101.25, {"1/11/03", "20/4/96", "", "", "20/4/2008"}, 75000, 0.0675, 1, 1, 1, 1, 1, 7, 1, , 1, 12, 0, 2, , 0)

Function Parameter

Parameter Value

.

.

Price Method

1

Price or Yield

101.25

Settlement Date

1/11/2003

Dated Date

20/4/1996

First Coupon Date

Penultimate Coupon Date

Maturity Date

20/4/2008

Face Value

75000

Coupon Rate

0.0675

Coupon Frequency

1

Compounding Frequency

1

1

Yield Method

1

Final Period Yield Method

1

Discount Basis

7

Accrual Basis

7

ExDate Convention

1

ExDay Unit

Coupon Type

1

PPH Rounding

12

0

Final Period Start

2

Holiday Schedule

Output Flag

0

Solution

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

0.0640577

0.0640577

0.0630634

0.0625740

0.0622505

0.0640577

0.0631003

0.0629729

0.0639021

0.0630324

###### Money Market actual/365 Yield

0.0639079

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