Bond Pricing Computation

Discussion in 'Programming' started by syswizard, Jan 28, 2012.

  1. Do these bond prices look right ? I used 2 different calc methods...same results. Yield and coupon the same at 4%, Biannual payouts

    Months To
    Maturity, Coupon Rate,Yield Rate,Payout%,Freq/yr-payout
    36 4 4 100 2 0 100.00 100
    35 4 4 100 2 0 86.76 86.76
    34 4 4 100 2 0 77.56 77.56
    33 4 4 100 2 0 73.21 73.21
    32 4 4 100 2 0 74.68 74.68
    31 4 4 100 2 0 83.14 83.14
    30 4 4 100 2 0 100.00 100
    29 4 4 100 2 0 86.76 86.76
    28 4 4 100 2 0 77.56 77.56
    27 4 4 100 2 0 73.21 73.21
    26 4 4 100 2 0 74.68 74.68
    25 4 4 100 2 0 83.14 83.14
    24 4 4 100 2 0 100.00 100
    23 4 4 100 2 0 86.76 86.76
    22 4 4 100 2 0 77.56 77.56
    21 4 4 100 2 0 73.21 73.21
    20 4 4 100 2 0 74.68 74.68
     
  2. Bob111

    Bob111

  3. Thanks Bob. Something is wrong with my calculation.
    The online bond calculator shows a price of 100 regardless of the change in the maturity date. My calc is wrong in-between payout dates...and it's correct every 6 months.
    Wierd, no ?
    MY BAD: I was entered the rates as 4, not 0.04.
    A simple formatting change to PERCENT format did the trick.
     
  4. Interestingly, the above schedule is like a "Greek Bond" profile...where the high interest rate actually affects the price depending on the time till payout.
     
  5. Bob111

    Bob111

    i have a function in VB which ACCURATELY calculate bond yield or price based on given yield. PM me, if you need it
     
  6. Thanks Bob, but I think the Excel 2007 implementation of PRICE is accurate. It's written in C and very fast.
    I also have the VBA counterpart which is much slower....but provides the same results.