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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

 

 

Business Day Convention

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

 

 

Adjusted End of Month

0

 

 

Final Period Start

2

 

 

Holiday Schedule

 

 

 

Output Flag

0

 

 

 

Solution

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

Domestic Yield

0.0640577

Annually Compounded Yield

0.0640577

Semi-Annually Compounded Yield

0.0630634

Quarterly Compounded Yield

0.0625740

Monthly Compounded Yield

0.0622505

True Yield

0.0640577

US Street Yield

0.0631003

US Treasury Yield

0.0629729

JGB Simple Yield

0.0639021

Money Market actual/360 Yield

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.

 

 

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