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oBond1_Price( ) Example

Description

Consider a 20-year bond trading at a yield of 7.20% with an annual coupon of 7.00%, a dated date of 15 March 1994, a maturity date of 15 March 2014, and a face value of $500,000. The discount and accrual bases are Act/365, and domestic yield is quoted on an annually compounded basis.

There is no ex-dividend period, all prices are rounded to 12dp, while cash flows that occur on a non-business day are not adjusted. Coupons are equal and the bond is priced using the ISMA formula.

What is the price of this bond assuming a settlement date of 12 March 2003?

 

 

Function Specification

=oBond1_Price(0.072, "12/3/2003", "15/3/1994", "15/3/2014", 500000, 0.07, 1, 4, 0)

 

 

Parameter Name

Parameter Value

 

 

 

 

 

Yield

0.0720

 

 

Settlement Date

12/3/2003

 

 

Dated Date

15/3/1994

 

 

Maturity Date

15/3/2004

 

 

Face Value

500000

 

 

Coupon Rate

0.07

 

 

Coupon Frequency

1

 

 

Discount Basis

4

 

 

Accrual Basis

4

 

 

Output Flag

0

 

 

 

Solution

The following results are obtained:

Yield

0.0720000

Clean Price

492,651.7400

Accrued Interest

34,712.32877

Dirty Price

527,274.0700

Macaulay Duration

7.47657

Modified Duration

6.397441

Convexity

69.31232

Present Value of a Basis Point

367.74257

 

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

 

 

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