73
Bond calculations
In its bond calculations
, this calculator conf
or
ms to r
ules set up b
y
the book titled
Standard Secur
ities Calculation Methods
, b
y
J
an
Ma
yle
, Secur
ities Industr
y Association, 1993.
Bond calculation is based on the f
ollo
wing r
ules:
1.
Whene
v
er the redemption date happens to be the last da
y of a
month, coupons are also paid on the last da
ys of months
. F
or
e
xample
, if coupon pa
yments are semi-ann
ual and the redemp-
tion date is September 30, coupon pa
yments occur on March 31
and September 30.
2.
If coupons are to be paid twice a y
ear and the redemption date
is set to A
ugust 29, 30, or 31, coupon pa
yments f
or F
ebr
uar
y
occur on the 28th (29th f
or leap y
ears).
3.
The
“Odd Coupon”
is not suppor
ted.
4.
All data stored or calculated f
or bonds are assumed to be posi-
tiv
e v
alues
. Negativ
e v
alues in an
y of the v
a
riab
les used b
y
bond
calculations will cause errors
.
The f
o
rm
ulas used f
or bond calculations are sho
wn using the f
ollo
w-
ing v
a
riab
le defi
nitions:
TD:
T
otal n
umber of da
ys in the coupon per
iod that begins with the
coupon date pre
vious to the settlement date and ends with the
fi rst coupon date after the settlement date
. (On the 360-da
y
calendar
,
TD is 180 f
or semi-ann
ual coupon and 360 f
or ann
ual
coupon.)
PD:
The n
umber of da
ys preceding the settlement date in the cou-
pon per
iod descr
ibed abo
v
e
. (see
“Da
y and date calculations”)
FD:
The n
umber of da
ys f
ollo
wing the settlement date in the coupon
per
iod descr
ibed abo
v
e
(in
TD).
FD =
TD – PD
NP:
The n
umber of whole coupon per
iods betw
een the settlement
date and the redemption date (rounded up to the ne
xt highest
whole n
umber
, if necessar
y).
For one coupon period or less until r
edemption of bond:
For mor
e than one coupon period until r
edemption:
wher
e CPN = COUPON(PMT), RDV
= REDEMPT(FV), N = CPN/Y(N), YIELD = YIELD(I/Y),
PRICE = PRICE(PV).
Y
ield is obtained as YIELD, which satis
es the above equations.
Err
or
CPN < 0 or RDV
< 0 or PRICE < 0 or M-D-Y 1 M-D-Y 2 or YIELD –100
Appendix.indd 73
06.7.10 8:41:58 PM
