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Bond Dirty Price between Regular Coupon Payments

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

The dirty 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[Subscript["P", "d"], "Money"] == (((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
Pd price "Money"
y annual yield "Unitless"
f coupon frequency "Time"
DCS days from last coupon to settlement "Time"
DIC days in coupon period containing settlement "Time"
n remaining coupons payable to maturity "Unitless"
red redemption value "Money"
i coupon rate "Unitless"
par face value "Money"

Forms

Examples

Get the resource:

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

Get the formula:

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

Use some values:

In[3]:=
FormulaData[ ResourceObject[ "Bond Dirty Price between Regular Coupon Payments"], \ {QuantityVariable["i","Unitless"] -> Quantity[7, "Percent"], QuantityVariable["f","Time"] -> Quantity[180, "Days"]}]
Out[3]=

Publisher Information