HP 12C Financial 12C CPN, DSM, ⎡CPN, Bonds, RDV, CPN, 100(RDV +

Appendix E: Formulas Used 253

Bonds

Reference:

Jan Mayle, TIPS Inc., Standard Securities Calculation Methods, Volume 1, Third Edition, Securities Industry Association Inc., New York, 1993.

DIM = days between issue date and maturity date.

DSM = days between settlement date and maturity date.

DCS = days between beginning of current coupon period and settlement date.

E= number of days in coupon period where settlement occurs.

DSC = E – DCS = days from settlement date to next 6–month coupon date.

N= number of semiannual coupons payable between settlement date and maturity date.

CPN = annual coupon rate (as a percentage).

YIELD = annual yield (as a percentage).

PRICE = dollar price per $100 par value.

RDV = redemption value.

For semiannual coupon with 6 months or less to maturity:

⎡

100(RDV +

CPN

)

⎤

⎢

⎥

⎡DCS

CPN ⎤

2

PRICE = ⎢

⎥

− ⎢

⋅

⎥

DSM

YIELD

2

⎢

⎥

⎣ E

⎦

100 + (

⋅

)

⎥

⎢

E

2

⎣

⎦

For semiannual coupon with more than 6 months to maturity:

⎡					⎤
⎢		RDV			⎥
⎢					⎥
PRICE = ⎢					⎥
	⎛	YIELD ⎞ N−1+		DSC
⎢					⎥
				E
⎢	⎜1+		⎟		⎥
⎣	⎝	200 ⎠			⎦

⎡				CPN			⎤
⎢							⎥
⎢	N						⎥	⎡CPN		DCS ⎤
			2
+ ⎢	∑						⎥	− ⎢	⋅		⎥
						DSC				E
⎢K =1⎛			YIELD		⎞K −1+		⎥	⎣ 2			⎦
						E
⎢		⎜1+			⎟		⎥
			200
⎣⎢		⎝			⎠		⎦⎥

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