## oMMcpn_Yield( ) Example

Description

A CD is issued on March 1 2003 for \$100,000 for 180 days (maturity date is August 28 2003) with a 4.75% coupon. The accrual basis is actual/365. If the market price on April 15 2003 is \$99.75 (clean PPH), the yield of the instrument is calculated as follows:

Function Specification

=oMMcpn_Yield(99.75, "15/4/03", "1/3/03", "28/8/03", 100000, 0.0475, 2, 0)

###### Solution

The maturity proceeds and the accrued interest of the instrument is calculated as follows:  where:
FV = \$100,000
CR = 4.75%
DIP = 180 (28/8/03 - 1/3/03)
DIY = 365
Nominal Coupon = 100,000*0.0475
Days Accrued = 45 (15/4/03 - 1/3/03)
Days in Period = 365

Therefore the dirty price of the instrument is 100,335.6164 (99,750.0000 + 585.6164).

The yield of the instrument is calculated using the money market pricing formula: where:
MP = \$102,342.4658
DP = \$100,335.6164
CR = 4.75%
DIP = 135 (28/8/03 - 15/4/03)
DIY = 365

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

0.0540778

99,750.0000

585.6164

100,353.6164

2,342.4658

0.3698630

0.3626103

0.2629725

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

36.3827292

For further details on how the above prices and statistics are calculated, see the money market formula. Copyright 2013 Hedgebook Ltd.