User manual - financial

24
10. Bonds
The bond calculation function calculates the price and yield of a bond.
uu
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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
INT =
CST = PRC + INT
D
Issue date
Redemption date
Purchase date Coupon Payment dates
A B