## oMMcpn_Price( ) Example

Description

A CD is issued on January 15 2003 for \$1 million for 270 days (maturity date is October 12 2003) with a 5.5% coupon. The accrual basis is actual/360. If the market yield on February 2 2003 is 5.75%, then the fair value of the instrument is calculated as follows:

Function Specification

=oMMcpn_Price(0.0575, "2/2/03", "15/1/03", "12/10/03", 1000000, 0.055, 1, 0)

Solution

The maturity proceeds of the instrument is calculated as follows:

where:
FV = \$1,000,000
CR = 5.5%
DIP = 270 (12/10/03 - 15/1/03)
DIY = 360

The dirty price of the instrument is calculated as follows:

where:
MP = \$1,041,250
y = 5.75%
DIP = 252 (12/10/03 - 2/2/03)
DIY = 360

Accrued interest is determined as follows:

where:
Nominal Coupon = 1,000,000*0.0575
Days Accrued = 252 (2/2/03 - 15/1/03)
Days in Period = 360

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

0.0575000

998,211.3074

2,750.0000

1,000,961.3074

41,250.0000

0.700000

0.672915

0.9056296

###### Price Value of a Basis Point

67.356204

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