Bonds - HP 12C User Manual

Bonds

Reference:
Jan Mayle, TIPS Inc., Standard Securities Calculation Methods, Volume 1, Third
Edition, Securities Industry Association Inc., New York, 1993.
DIM
DSM
DCS
DSC
CPN
YIELD
PRICE
RDV
For semiannual coupon with 6 months or less to maturity:
PRICE
For semiannual coupon with more than 6 months to maturity:
PRICE
File name: hp 12c pt_user's guide_English_HDPMF123E27
Printed Date: 2005/8/1
= days between issue date and maturity date.
= days between settlement date and maturity date.
= days between beginning of current coupon period and
settlement date.
E = number of days in coupon period where settlement occurs.
= E – DCS = days from settlement date to next 6–month coupon
date.
N = number of semiannual coupons payable between settlement
date and maturity date.
= annual coupon rate (as a percentage).
= annual yield (as a percentage).
= dollar price per $100 par value.
= redemption value.
⎡ ⎤
CPN
+
100 ( RDV )
⎢ ⎥
2
=
⎢ ⎥
DSM YIELD
⎢ ⎥
+ ×
100 ( )
⎢ ⎥
⎣ ⎦
E 2
⎡ ⎤
⎢ ⎥
⎢ ⎥
RDV
=
⎢ ⎥
DSC
⎛ ⎞ − +
YIELD N 1
⎢ ⎥
+
⎜ ⎟ E
1
⎢ ⎥
⎝ ⎠
200
⎣ ⎦
⎡
⎢
CPN
⎢
N
2
∑
+
⎢
DSC
⎢ − +
= K 1
K 1
⎛ ⎞
YIELD
E
+
⎢
⎜ ⎟
1
⎢
⎝ ⎠
⎣ 200
Appendix E: Formulas Used
⎡ ⎤
DCS CPN
− ×
⎢ ⎥
⎣ ⎦
E 2
⎤
⎥
⎥
⎡ ⎤
CPN DCS
− ×
⎥
⎢ ⎥
⎣ ⎦
2 E
⎥
⎥
⎥
⎦
Page: 253 of 275
Dimension: 14.8 cm x 21 cm
253