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oBond2_Yield( ) Example

Description

Consider a 10-year bond trading at a clean price of $99.50 (PPH) with an annual coupon of 7.00%, a dated date of 1 September 2000, a first coupon date of 1 November 2000, a maturity date of 1 November 2010, and a face value of $1,000,000. The discount and accrual bases are Act/Act (actual), and domestic yield is quoted on an annually compounded basis.

There is no ex-dividend period, cash flows are rounded to 12dp, and cash flows are not business-day adjust. Coupons are equal and the bond is priced using the ISMA formula.

What is the current yield of this bond assuming a settlement date of 15 September 2000?

 

 

Function Specification

=oBond2_Yield(99.5, "15/9/2000", "1/9/2000", "1/11/2000", "", "1/11/2010", 1000000, 0.07, 1, 1, 0)

 

 

 

Function Parameter

Parameter Value

 

 

.

 

 

Clean Price

99.50

 

 

Settlement Date

15/9/2000

 

 

Dated Date

1/9/2000

 

 

First Coupon Date

1/11/2000

 

 

Penultimate Coupon Date

 

 

 

Maturity Date

1/11/2010

 

 

Face Value

1000000

 

 

Coupon Rate

0.07

 

 

Coupon Frequency

1

 

 

Discount Basis

1

 

 

Accrual Basis

1

 

 

Output Flag

0

 

 

 

This bond had a stub first period (1/9/2000 - 1/11/2000) and a standard last period.

 

Solution

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

Yield

0.070742

Clean Price

995,000.0000

Accrued Interest

2,677.596

Dirty Price

997,677.6

Macaulay Duration

7.549437

Modified Duration

7.05066

Convexity

65.79796

Present Value of a Basis Point

703.4285

 

 

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

 

 

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