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Bond Clean Price between Regular Coupon Payments

The clean price of a bond is the value of a bond, excluding accrued interest since issue or the most recent coupon payment.

The clean price of a bond depends on the remaining time on the current coupon, the number of coupons remaining, the rate and frequency of coupons, the face value of the bond, its redemption value and the annual yield.

Formula

QuantityVariable["P", "Money"] == -((QuantityVariable["DCS", "Time"]*QuantityVariable["i", "Unitless"]*QuantityVariable["par", "Money"])/(QuantityVariable["DIC", "Time"]*QuantityVariable["f", "Time"])) + (((QuantityVariable["f", "Time"] + QuantityVariable["y", "Unitless"])/QuantityVariable["f", "Time"])^(QuantityVariable["DCS", "Time"]/QuantityVariable["DIC", "Time"] - QuantityVariable["n", "Unitless"])*(QuantityVariable["red", "Money"]*QuantityVariable["y", "Unitless"] + QuantityVariable["i", "Unitless"]*QuantityVariable["par", "Money"]*(-1 + ((QuantityVariable["f", "Time"] + QuantityVariable["y", "Unitless"])/QuantityVariable["f", "Time"])^QuantityVariable["n", "Unitless"])))/QuantityVariable["y", "Unitless"]

symbol description physical quantity
P price "Money"
DCS days from last coupon to settlement "Time"
DIC days in coupon period containing settlement "Time"
f coupon frequency "Time"
i coupon rate "Unitless"
par face value "Money"
y annual yield "Unitless"
n remaining coupons payable to maturity "Unitless"
red redemption value "Money"

Forms

Examples

Get the resource:

In[1]:=
ResourceObject["Bond Clean Price between Regular Coupon Payments"]
Out[1]=

Get the formula:

In[2]:=
FormulaData[ ResourceObject["Bond Clean Price between Regular Coupon Payments"]]
Out[2]=

Use some values:

In[3]:=
FormulaData[ ResourceObject[ "Bond Clean Price between Regular Coupon Payments"], \ {QuantityVariable["y","Unitless"] -> Quantity[10, "Percent"], QuantityVariable["n","Unitless"] -> 6, QuantityVariable["DCS","Time"] -> Quantity[10, "Days"], QuantityVariable["DIC","Time"] -> Quantity[30, "Days"], QuantityVariable["P","Money"] -> Quantity[998, "USDollars"]}]
Out[3]=

Publisher Information