## 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:

0.0720000

492,651.7400

34,712.32877

527,274.0700

7.47657

6.397441

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.