15-10-4

Bond Calculation

Calculation Formulas

 

D

 

A

B

Redemption date (d2)

 

 

Issue date

Purchase date (d1)

Coupon Payment dates

PRC : price per $100 of face value

CPN : coupon rate (%)

YLD : annual yield (%)

A: accrued days

M: number of coupon payments per year (1 = Annual, 2 = Semi-annual) N : number of coupon payments until maturity

(n is used when “Term” is specified for [Bond Interval] in the [Format] tab.)

RDV : redemption price per $100 of face value

D : number of days in coupon period where settlement occurs

B : number of days from purchase date until next coupon payment date = D – A

INT : accrued interest

CST : price including interest

uPrice per $100 of face value (PRC)

Bond Interval Setting: Date

• For one or fewer coupon period to redemption

CPN

 

RDV +

 

 

 

 

 

 

 

 

M

A

CPN

 

 

 

 

 

 

 

PRC =

 

 

 

 

 

 

 

+ (

)

 

 

 

 

 

 

 

 

 

 

1+ (

B

YLD/100

)

D M

 

 

 

 

 

 

 

 

 

 

 

 

DM

For more than one coupon period to redemption

 

 

 

 

 

 

 

 

 

 

 

 

CPN

 

 

 

 

 

RDV

N

 

 

M

PRC =

 

 

 

 

 

 

 

Σ

 

 

 

 

+

(1+

YLD/100 ) (N–1+B/D)

 

 

 

 

 

(1+

YLD/100 )(k–1+B/D)

 

 

 

 

 

 

 

 

k=1

 

 

 

 

 

 

 

 

 

 

M

 

 

 

 

M

INT =

A

CPN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

DM CST = PRC + INT

ACPN D M

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