Bond Markets: Structures and Yield Calculations
How much accrued interest is payable by the buyer in addition to traded price?
Covers the costs of a bond if quoted on a yield basis
Includes the rules for adjusting coupon rates
Explains how different instruments are normally quoted
Covers how yields are quoted and calculated.
As cross-market bond trading has increased, it has become vital for international participants to understand the many different features that characterize the various international bond markets. Of particular interest to bond traders and investors are factors such as calculation of prices, accrued interest, yields, and durations.
Bond Markets compares and contrasts all major bond markets.
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Measures of Life and Associated Calculations
Floating Rate Note Calculations
Money Market Instruments
Bond Market Comparisons
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15 January 29 February accrued interest actual days actual number annual coupon rate average bond markets bond which pays business day calendar days compounded h compounding frequency compounding period convertible bonds currency current yield days accrued December discounting factor i.e. divided by 365 domestic equation Euroclear ex-coupon Example exercise cost first/next coupon payment fixed rate bonds floating rate notes future cash flows given gross price i.e. i.e. clean price interest payment date ISMA Japanese yen last coupon date LIBOR method modified duration money market instruments money market yield month number of coupon number of days number of future percentage price period from value price i.e. clean price plus accrued purchase redeemed redemption date redemption value redemption yield compounded redemption yield formula required redemption yield securities settlement date simple margin simple yield trade date U.S. dollar value date withholding tax yield to maturity zero coupon bonds