| k |
NFV ＝ NPV | ⋅ SPFV (i% : N) where N ＝ ∑nj |
| j=1 |
NPV
NUS ＝ USPV (i% : N)
k
TOTAL ＝ ∑(nj ⋅ CFj )
j=0
Bond Calculations
Reference: Lynch, John J., Jr. and Jan H. Mayle, Standard 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 period 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:
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For more than one coupon period to redemption:
B: More About Calculations 249
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