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Calculation Formula
Issue date
Purchase date (d1)
PRC : price per $100 of face value
CPN : coupon rate (%)
YLD : annual yield (%)
A
: accrued days
M
: number of coupon payments per year (1 = Annual, 2 = Semi-annual)
N
: number of coupon payments until maturity
( n is used when "Term" is specified for [Bond Interval] in the [Format] tab.)
RDV : redemption price per $100 of face value
D
: number of days in coupon period where settlement occurs
B
: number of days from purchase date until next coupon payment date = D – A
INT : accrued interest
CST : price including interest
Price per $100 of face value (PRC)
Bond Interval Setting: Date
• For one or fewer coupon period to redemption
PRC = –
1+ (
• For more than one coupon period to redemption
PRC = –
(1+
A
INT = –
D
CST = PRC + INT
15-10-4
Bond Calculation
D
A
B
Redemption date (d2)
Coupon Payment dates
CPN
RDV +
M
A
+ (
D
B
YLD/100
)
D
M
RDV
N
–
YLD/100
k
=1
(N–1+B/D)
)
M
CPN
M
CPN
)
M
CPN
M
+
YLD/100
(k–1+B/D)
(1+
)
M
20060301
A
CPN
D
M
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