Bonds. HP 12C Platinum Financial Calculator, 12c

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. 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.

For semiannual coupon with 6 months or less to maturity:

PRICE =

⎡

⎢

⎢

⎢

100

⎣

100 +

(

(

RDV

DSM

E

+

×

CPN

)

2

YIELD

2

)

⎥

⎥

⎦

⎤

⎥

−

⎡

⎢⎣

DCS

E

×

CPN

2

⎤

⎥⎦

For semiannual coupon with more than 6 months to maturity:

PRICE =

⎡

⎢

⎢

⎢

⎢

⎣ ⎝

1

RDV

YIELD

200

N − 1 +

DSC

E

⎤

⎥

⎥

⎥

⎥

⎦

+

⎡

⎢

⎢

⎢

⎢

⎢

⎣

K

N

∑

= 1

1

CPN

YIELD

200

2

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