HP 113394 User Guide - Page 253
Edition, Securities Industry Association Inc., New York, 1993.
UPC - 808736340502
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Appendix E: Formulas Used 253 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: PRICE = 101000+(R(DDSEVM+×CYP2INE2LD) ) − ⎡DCS ⎢⎣ E × CPN ⎤ 2 ⎥⎦ For semiannual coupon with more than 6 months to maturity: ⎡ ⎤ ⎢ ⎥ PRICE = ⎢ ⎢ ⎢ ⎢⎣ ⎜⎛1+ ⎝ RDV YIELD 200 ⎟⎞ ⎠ N −1+ DSC E ⎡ ⎤ ⎢ CPN ⎥ + ⎢N ⎢∑ ⎢K ⎢ =1⎜⎛1+ ⎢⎣ ⎝ 2 YIELD 200 ⎟⎞K ⎠ −1+ DSC E − ⎡CPN ⎢⎣ 2 × DCS ⎤ E ⎥⎦ File name: hp 12c pt_user's guide_English_HDPMF123E27 Page: 253 of 275 Printed Date: 2005/8/1 Dimension: 14.8 cm x 21 cm