bndprice
Price fixedincome security from yield to maturity
Syntax
Description
[
given bonds with SIA date parameters and yields to maturity, returns the clean
prices and accrued interest due.Price
,AccruedInt
] = bndprice(Yield
,CouponRate
,Settle
,Maturity
)
In addition, you can use the Financial Instruments Toolbox™ object framework with a FixedBond
(Financial Instruments Toolbox)
instrument to price a fixed bond.
[
adds optional namevalue pair arguments.Price
,AccruedInt
] = bndprice(___,Name,Value
)
Examples
Input Arguments
Output Arguments
More About
Algorithms
For SIA conventions, the following formula defines bond price and yield:
$$PV={\displaystyle \sum _{i=1}^{n}\left(\frac{CF}{{(1+\frac{z}{f})}^{TF}}\right)},$$
where:
PV = 
Present value of a cash flow. 
CF = 
Cash flow amount. 
z = 
Riskadjusted annualized rate or yield corresponding to a given cash flow. The yield is quoted on a semiannual basis. 
f = 
Frequency of quotes for the yield. Default is

TF = 
Time factor for a given cash flow. The time factor is computed
using the compounding frequency and the discount basis. If these
values are not specified, then the defaults are as follows:

Note
The Basis
is always used to compute accrued
interest.
For ICMA conventions, the frequency of annual coupon payments determines bond price and yield.
References
[1] Krgin, D. Handbook of Global Fixed Income Calculations. Wiley, 2002.
[2] Mayle, J. "Standard Securities Calculations Methods: Fixed Income Securities Formulas for Analytic Measures." SIA, Vol 2, Jan 1994.
[3] Stigum, M., Robinson, F. Money Market and Bond Calculation. McGrawHill, 1996.