Unformatted text preview: Days in coupon period = #NAME? =coupdays(b13,b14,b18,b19) Accrued Interest (% of M) = #NAME? =(b21/b22)*(b15/2)*100 Invoice (dirty) Price (% of M) = #NAME? =b20+b23 b = basis: M = $1,000.00 0 = US 30/360 (Corporate; munis) Flat price = #NAME? 1 = actual/actual (T-Bonds/Notes) Invoice price = #NAME? 2 = actual/360 (T-Bills) Accrued interest = #NAME? 3 = actual/365 4 = Euro 30/360 BOND DURATION Settlement date January 1, 2000 =date(yyyy,mm,dd) T Maturity date January 1, 2020 =date(yyyy,mm,dd) 20.0 Annual coupon rate 6.000% (decimal) YTM 4.000% (decimal) Coupon payments/year 2 Macaulay duration = #NAME? =duration(b33,b34,b35,b36,b37)) Modified duration = #NAME? =mduration(b33,b34,b35,b36,b37))...
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- Fall '09
- Bond duration, Fixed income analysis, annual coupon rate