Tools

Three pricing tools are provided for bonds, these include:

• Bond price calculator

• Bond yield calculator, and

• Yield curves.

Bond Price Calculator

The bond calculation provides a drop down list of current bond issues. Once selected, the static data is dropped into the calculator requiring the minimal data entry. Only trade data needs to be completed. This information can be overwritten. Information required includes:

• Maturity date

• Coupon rate (% SA)

• Face valu

• Yield

• Settlement date

• Payment per year

• Ex - interest days

• Previous coupon date

• Next coupon date

The results of the calculation provide:

• Whole periods to maturity

• Days to maturity

• Days to next coupon

• Days in this period

• Interest basis (Cum / Ex)

• Capital price per $100
  The Capital Price per $100 is equal to the settlement amount per $100 (rounded to 3 decimals), less the accrued interest per $1,000 (rounded to 3 decimal places).

• Capital Value ($)
  The Capital Value is the Capital price per $100 multiplied by the face value and divided by 100.

• Accrued value ($)
  The Accrued Interest is calculated per $100, rounded to 3 decimal places, then multiplied by the face value, divided by 100.

• Settlement Amount ($)
  The Settlement amount is calculated per $100, rounded to 3 decimal places, then multiplied by the face value, divided by 100.

Bond Yield Calculator

In a similar manner to the Bond Price Calculator, by selecting the bond series, default information relating to the bond series is entered. 

The required information includes:

• Price per $100

• Coupon Rate (% SA)

• Payment per year

• Ex Interest days

• Settlement date

• Previous coupon date

• Next coupon date

• Maturity date

The results of the calculation provide:

• Whole periods to maturity

• Days to maturity

• Days to next coupon

• Days in this period

• Interest basis (Cum / Ex)

• Bond Yield (%)