July 2011
Beginner
288 pages
7h 22m
English
Content preview from BOND MATH: The Theory Behind the FormulasBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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A Real Corporate Bond
Figure 3.5 shows the Bloomberg Yield Analysis (YA) page for the 8 3/8% IBM bond that matures on November 1, 2019. Its flat price is 130.725 (percent of par value) for settlement on November 10, 2009. Look first at the Cash Flow Analysis section. Under Payment Invoice, the total purchase price is shown for $1,000,000 in par value (this is also the assumed redemption amount). The flat (or clean) price, here called the principal, is $1,307,250.00. The accrued interest is $2,093.75, calculated as:
The day-count convention is 30/360, giving 9 days between the last coupon on November 1st and settlement on November 10th. The sum, ...
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