User`s guide

Appendix B: More About CalculationsIV
Bonds
Reference: Lynch, John J. Jr. and Jan Mayle, Stanford Securities Calculation Methods,
Securities Industry Association, New York, 1986.
A = accrued days, the number of days from beginning of coupon period to settlement date.
E = number of days in coupon bracketing settlement date. By convention, E is 180 (or 360) if
calendar basis is 30/360.
DSC = number of days from settlement date to next coupon date. (DSC= E - A).
M = coupon periods per year (1 = annual, 2 = semiannual).
N = number of coupon periods between settlement and redemption dates. If N has a
fractional part (settlement not on coupon date), then round it to the next higher whole number.
Y = annual yield as a decimal fraction, YLD% / 100.
For one or fewer coupon period to redemption:
Note: coupon (CPN) is a percentage (CPN%) in both cases.
For more than one coupon period to redemption:
The end of month convention is used to determine coupon dates in the following exceptional
situations. This affects calculations for YLD%, PRICE, and ACCRU.
• If the maturity date falls on the last day of the month, then the coupon payments will also fall on the
last day of the month. For example, a semiannual bond that matures on September 30 will have
coupon payment dates on March 31 and September 30.
• If the maturity date of a semiannual bond falls on August 29 or 30, then the February coupon
payment dates will fall on the last day of February (28, or 29 in leap years).
PRICE
CALL
CPN
M
------------+
1
DSC
E
------------
Y
Y
---
×
⎝⎠
⎛⎞
+
-------------------------------------
A
E
---
CPN
M
------------
×
⎝⎠
⎛⎞
–=
CALL
1
Y
Y
---+
⎝⎠
⎛⎞
N 1–
DSC
E
------------+
----------------------------------------
CPN
M
------------
1
Y
M
-----+
⎝⎠
⎛⎞
K 1–
DSC
E
------------+
------------------------------------------
N
∑
A
E
---
CPN
M
------------
×
⎝⎠
⎛⎞
–+