User manual - Chapter 2 Financial Calculation (TVM)

20010101
2-10 Bonds
The bond calculation function calculates the price and yield of a bond.
uu
uu
uFormula
PRC
:price per $100 of face value
CPN : annual coupon rate (%)
YLD :yield to maturity (%)
A : accrued days
M :number of coupon payments per year (1=annual, 2=semi annual)
N :number of coupon payments between settlement date and maturity date
RDV :redemption price or call price per $100 of face value
D : number of days in coupon period where settlement occurs
B :number of days from settlement date until next coupon payment date = D – A
INT : accrued interest
CST :price including interest
• Less than six months to redemption
PRC = – ( )
RDV +
M
CPN
1+ ( × )
D
B
M
YLD/100
×
D
A
M
CPN
• Six months or more to redemption
–
×
D
A
M
CPN
PRC = +
RDV
(1+ )
M
YLD/100
(1+ )
M
YLD/100
M
CPN
Σ
N
k=1
(N–1+B/D ) (K–1+B/D )
×
D
A
M
CPN
I
NT =
CST = PRC + IN
T
D
Issue date
Redemption date
Purchase date Coupon Payment dates
A B
2-10-1
Bonds
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