Bonds - HP 0012C-90001 User Manual

188 Appendix D: 188 Appendix D: Formulas Used Formulas Used
188 188 Appendix D: Appendix D: Formulas Used Formulas Used

Bonds

Bonds Bonds Bonds
Reference:
Spence, Graudenz, and Lynch,
Securities Industry Association, New York, 1973.
DIM
= days between issue date and maturity date.
DSM
= days between settlement date and maturity date.
DCS
= days between beginning of current coupon period and
settlement date.
E
= number of days in coupon period where settlement occurs.
DSC E
= –
date.
N
= number of semiannual coupons payable between settlement
date and maturity date.
CPN
= annual coupon rate (as a percentage).
YIELD
= annual yield (as a percentage).
PRICE
= dollar price per $100 par value.
RDV
= redemption value.
For semiannual coupon with 6 months or less to maturity:

100


PRICE



100


For semiannual coupon with more than 6 months to maturity:




PRICE

YIELD



 1

200





N





K
1


 1



Standard Securities Calculation Methods
DCS
= days from settlement date to next 6–month coupon
CPN


RDV
( )

2


DSM YIELD


( )

E 
2


RDV


DSC
 
N 1


E






CPN

2

DSC
  
K 1
YIELD 
E
 


200


 DCS CPN 

 
E
2
 
CPN DCS
 
 
 
E
2
 
,