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Bonds - HP 12C Platinum User Manual

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258 Appendix E: Formulas Used

Bonds

Reference:
Jan Mayle, TIPS Inc., Standard Securities Calculation Methods, Volume 1, Third
Edition, Securities Industry Association Inc., New York, 1993.
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 – DCS = days from settlement date to next 6–month coupon
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
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
×
2
E

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