Bonds - HP 12C Platinum User Manual
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Also See for 12C Platinum:
- User manual (278 pages) ,
- Owner's handbook manual (213 pages) ,
- Reference manual (168 pages)
Table of Contents
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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