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Inside the Currency Market: Mechanics, Valuation, and Strategies
book

Inside the Currency Market: Mechanics, Valuation, and Strategies

by Brian Twomey
November 2011
Beginner
335 pages
9h 33m
English
Bloomberg Press
Content preview from Inside the Currency Market: Mechanics, Valuation, and Strategies

Inflation-Indexed Bonds Factored as a Settlement Price per New Zealand Dollar as Principal

image

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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Publisher Resources

ISBN: 9781118149331Purchase book