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oBond1_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 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 adjusted. 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 2001?

 

 

Function Specification

=oBond1_Yield(99.5, "15/9/2001", "1/11/2000", "1/11/2010", 1000000, 0.07, 1, 1, 0)

 

 

 

Function Parameter

Parameter Value

 

 

.

 

 

Clean Price

99.50

 

 

Settlement Date

15/9/2001

 

 

Dated Date

1/11/2000

 

 

Maturity Date

1/11/2010

 

 

Face Value

1000000

 

 

Coupon Rate

0.07

 

 

Coupon Frequency

1

 

 

Discount Basis

1

 

 

Accrual Basis

1

 

 

Output Flag

0

 

Solution

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

Yield

0.070720701

Clean Price

995,000.0000

Accrued Interest

60,986.30137

Dirty Price

1,055,986.301

Macaulay Duration

6.637025501

Modified Duration

6.198652456

Convexity

63.25520194

Present Value of a Basis Point

654.569208

 

 

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

 

 

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