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.

0.070720701

995,000.0000

60,986.30137

1,055,986.301

6.637025501

6.198652456

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.