November 2011
Beginner
335 pages
9h 33m
English

where
n = principal of indexed bond;
r = annual coupon interest rate divided by 400, quarterly coupon interest rate percent;
i = annual yield divided by 400, quarterly yield percent;
c = where settlement date is after record date and up to, not including, next coupon interest payment date c has value of 0 otherwise c has value of 1;
n = number of full quarter years between the next coupon interest payment date and maturity date;
a = number of days from the settlement date to the next coupon interest payment date;
b = number of years in the quarter year ...
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