Bond Formulas

Bond Formulas - Days in coupon period = #NAME?...

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Ec 173A/174 Bond Formulas YIELD TO MATURITY Settlement date October 16, 2009 =date(yyyy,mm,dd) T Maturity date April 30, 2013 =date(yyyy,mm,dd) 3.5 Annual coupon rate 3.125% (decimal) Bond price (clean/flat/quoted) 104.7813 (% of M) Redemption value 100 (% of M) Coupon payments/year 2 YTM = #NAME? =yield(b4,b5,…,b9) DAYS TO MATURITY (T-BILLS) Settlement date October 16, 2009 =date(yyyy,mm,dd) Maturity date December 10, 2009 =date(yyyy,mm,dd) Days to Maturity = 55 =h5-h4 BOND INVOICE PRICES Settlement date October 16, 2009 =date(yyyy,mm,dd) T Maturity date April 30, 2013 =date(yyyy,mm,dd) 3.5 Annual coupon rate 3.125% (decimal) YTM #NAME? (decimal) Redemption value 100 (% of M) Coupon payments/year 2 Basis (b) 1 Clean (flat/quoted) Price (% of M) = #NAME? =price(b13,b14,b15,b16,b17,b18) Days since last coupon = #NAME? =coupdaybs(b13,b14,b18,b19)
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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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This note was uploaded on 10/20/2010 for the course ECON 173A taught by Professor Foster during the Fall '09 term at UCSD.

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