Bond Markets: Structures and Yield Calculations
"Bond Markets compares and contrasts all major bond markets with particular attention to how different instruments are normally quoted, how much accrued interest is payable by the buyer in addition to traded price, the cost of a bond if quoted on a yield basis, normal settlement periods, rules for adjusting coupon rates, and how yields are quoted and calculated."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
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15 January 29 February accrued interest actual days actual number annual coupon rate Appendix average basis bond markets bond which pays business day compounded h compounding frequency compounding period convertible bond currency current yield days accrued December discounting factor i.e. divided by 365 domestic equation Euroclear ex-coupon Example exercise cost February ﬁrst/next coupon payment ﬂoating rate notes future cash ﬂows given gross price i.e. i.e. clean price Irish pound ISMA issue ith cash ﬂow Japanese yen July last coupon date LIBOR method modiﬁed duration money market yield month number of coupon number of days number of future percentage price price i.e. clean price plus accrued purchase quoted redeemed redemption date redemption value redemption yield compounded redemption yield formula required redemption yield securities semi-annual settlement date simple margin simple yield speciﬁed Trade date act/365 U.S. dollar value date warrant withholding tax yield to maturity zero coupon bonds