Inside the Currency Market: Mechanics, Valuation, and Strategies

Swiss Yield Curve

Yield = g + (cc − cp)/L

g = annual coupon in percent,

cp = clean price,

c = redemption value at maturity date or earliest redemption in percent, and

L = life to maturity/earliest redemption in years = d/y.

Accrued interest is factored as coupon amount × (N/360). Swiss bonds are factored the same as the German 30/360 day-count convention, where 30 equates to number of interest-bearing days to 360 days per year. The formula is:

N = (D2 − D1) + 30 × (M2 − M1) + 360 × (Y2 − Y1)

where

N = Start date,

D1, M1, Y1 = date from which accrued interest is calculated (Exclusive),

D2, M2, Y2 = date accrued interest is calculated (Inclusive), and

D3, M3, Y3 factored as n + 1 = date of next interest payment.

Between D1 and D2, factor number ...