Unformatted text preview: ld) with more than one coupon period to redemption: RV
PRI = N −1+ 1 + Y M R N
100 ×
M
+
DSC ∑
Y K −1+ E K =1 1 + M DSC E R A
− 100 ×
×
M E 74 Appendix A: Reference Information where: N = DSC =
K
= number of coupons payable between settlement date and
redemption date (maturity date, call date, put date, etc.).
(If this number contains a fraction, raise it to the next
whole number; for example, 2.4 = 3)
number of days from settlement date to next coupon date
summation counter Note: The first term calculates present value of the redemption amount,
not including interest. The second term calculates the present values for all
future coupon payments. The third term calculates the accrued interest
agreed to be paid to the seller.
Yield (given price) with more than one coupon period to redemption:
Yield is found through an iterative search process using the “Price with
more than one coupon period to redemption” formula.
Accrued interest for securities with standard coupons or interest at
maturity:
AI = PAR × RA
×
ME where: AI
=
PAR = accrued interest
par value (principal amount to be paid at maturity) Source for bond formulas:
Lynch, John J., Jr., and Jan H. Mayle. Standard Securities Calculation
Methods. New York: Securities Industry Association, 1986. Appendix A: Reference Information 75 Depreciation
RDV = CST − SAL − accumulated depreciation
Values for DEP, RDV, CST, and SAL are rounded to the number of decimals
you choose to be displayed.
In the following formulas, FSTYR = (13 − MO1) ÷ 12 Straightline
CST − SAL
LIF
First year: CST − SAL
× FSTYR
LIF Last year or more: DEP = RDV Sumoftheyears’digits ( LIF + 2 − YR − FSTYR) × (CST − SAL)
(( LIF × ( LIF + 1)) ÷ 2)
First year: LIF × ( CST − SAL) (( LIF × ( LIF + 1)) ÷ 2) × FSTYR Last year or more: DEP = RDV Declining balance
RBV × DB %
LIF × 100 where: RBV is for YR 1
First year: Unless CST × DB %
× FSTYR
LIF × 100 CST × DB %
> RDV ; then use RDV
LIF × 100 FSTYR If DEP > RDV, use DEP = RDV
If computing last year, DEP = RDV 76 Appe...
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 Summer '09
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