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Money Market Price/Yield Calculations

The following table defines the price/yield related variables.

Variable

 

Definition

.

Clean Price

 

If the function suffix is "_Yield", then the clean price is as quoted. If the function suffix is "_Price", then the clean price is the dirty price less accrued interest (if applicable).

Accrued Interest

 

The proportion of coupon payment payable to instrument seller, based on conventions for accrual basis and ex-div period. Not applicable to discount money market instruments.

Dirty Price

 

If the function suffix is "_Yield", then the dirty price is computed as clean price plus accrued interest. If the function suffix is "_Price", then the dirty price is derived from the money market pricing formula.

Coupon Amount

 

The amount of the nominal coupon paid at maturity. Not applicable to discount money market instruments.

Yield

 

The yield of the instrument, based on money market conventions.

Discount Rate

 

The quoted discount rate for the instrument.

Dollar Discount

 

Difference between the dirty price and the face value of the instrument.

See Also

Simple Interest (Money Market) Formula

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