20060301
PRC
: price per $100 of face value
CPN
: coupon rate (%)
YLD
: annual yield (%)
A
: accrued days
M
: number of coupon payments per year (1 = Annual, 2 = Semi-annual)
N
: number of coupon payments until maturity
(
n
is used when “Term” is specified for [Bond Interval] in the [Format] tab.)
RDV
: redemption price per $100 of face value
D
: number of days in coupon period where settlement occurs
B
: number of days from purchase date until next coupon payment date = D – A
INT
: accrued interest
CST
: price including interest
u
Price per $100 of face value (PRC)
Bond Interval Setting: Date
• For one or fewer coupon period to redemption
• For more than one coupon period to redemption
15-10-4
Bond Calculation
PRC = – + ( )
RDV +
M
CPN
1+ ( × )
D
B
M
YLD/100
×
D
A
M
CPN
+
×
D
A CPN
PRC = –
INT = –
–
RDV
(1+ )
M
YLD/100
(1+ )
M
YLD/100
M
CPN
Σ
N
k=1
(N–1+B/D)
(k–1+B/D)
CST
= PRC + INT
×
D
A
M
CPN
M
PRC = – + ( )
RDV +
M
CPN
1+ ( × )
D
B
M
YLD/100
×
D
A
M
CPN
+
×
D
A CPN
PRC = –
INT = –
–
RDV
(1+ )
M
YLD/100
(1+ )
M
YLD/100
M
CPN
Σ
N
k
=1
(N–1+B/D)
(k–1+B/D)
CST
= PRC + INT
×
D
A
M
CP
Calculation Formulas
D
Issue date
Redemption date (d2)
Purchase date (d1) Coupon Payment dates
A B
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