HP 10bII+ User Manual page 170

Bonds
Reference: Lynch, John J. Jr. and Jan Mayle, Stanford 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 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:
Note: coupon (CPN) is a percentage (CPN%) in both cases.
+
CALL
------------------------------------ -
=
PRICE
⎛
DSC
----------- -
1 +
⎝
E
For more than one coupon period to redemption:
CALL
----------------------------------------
+
DSC
N 1 – + ----------- -
⎛ ⎞
E
Y
1 + -- -
⎝ ⎠
Y
The end of month convention is used to determine coupon dates in the following exceptional
situations. This affects calculations for YLD%, PRICE, and ACCRU.
• If the maturity date falls on the last day of the month, then the coupon payments will also fall on the
last day of the month. For example, a semiannual bond that matures on September 30 will have
coupon payment dates on March 31 and September 30.
• If the maturity date of a semiannual bond falls on August 29 or 30, then the February coupon
payment dates will fall on the last day of February (28, or 29 in leap years).
IV Appendix B: More About Calculations
CPN
----------- -
⎛ ⎞
M A CPN
×
-- - ----------- -
–
⎝ ⎠
E M
⎞
Y
×
-- -
⎠
Y
CPN
N
----------- -
⎛
A
M
∑
-- -
----------------------------------------- - –
⎝
E
DSC
K 1 – + ----------- -
⎛ ⎞ E
Y
1 + ---- -
⎝ ⎠
M
⎞
CPN
×
----------- -
⎠
M