Bonds - HP 12c User Manual

188 Appendix D: Formulas Used

Bonds

Reference:
Spence, Graudenz, and Lynch, Standard Securities Calculation Methods,
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 – 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
⎢
⎛
⎢
+
⎜
1
⎢
⎝
⎣
⎡
⎢
⎢
N
∑
+
⎢
⎢
=
K
⎢
⎢
⎣
File name: hp 12c_user's guide_English_HDPMBF12E44
Printered Date: 2005/7/29
⎤
CPN
+
( RDV )
⎥
⎡
DCS
2
−
⎥
⎢
DSM YIELD
⎣
E
⎥
+ ×
( )
⎥
⎦
E 2
⎤
⎥
⎥
RDV
⎥
DSC
⎞ − +
YIELD N 1
⎥
⎟ E
⎥
⎠
200
⎦
⎤
⎥
CPN
⎥
⎡
CPN
2
−
⎥
⎢
DSC
⎣
− + ⎥
K 1
1
⎛ ⎞
YIELD
E
+
⎥
⎜ ⎟
1
⎥
⎝ ⎠
200 ⎦
⎤
CPN
×
⎥
⎦
2
⎤
DCS
×
⎥
⎦
2 E
Page: 188 of 209
Dimension: 14.8 cm x 21 cm