j
k
jj
j
NFV NPV SPFV i N where N n
NPV
NUS
USPV i N
TOTAL n CF
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:
%
%
1
CPN
CALL
ACPN
M
PRICE
DSC Y
EM
EM
+
×
+×
＝－
For more than one coupon period to redemption:
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