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Pricing a bond with different YTM (at cross sectional level)

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Saad
Saad 2011-6-29
Dear Sir or Madam
I was wondering if there is a function in matlab that prices bonds with different YTM?. For example:
Bond price= coupon/(YTM_1) +coupon/(YTM_2)^2+.................+coupon/(YTM_n)^n
Thank you very much
S

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回答（3 个）

Oleg Komarov
Oleg Komarov 2011-6-29
N = 100;
C = 5; %Semi-annual
YTM = rand(1,10)*.1;
P = sum([C./(1+YTM(1:9)).^(1:9), (N+C)/(1+YTM(10))^10]);
Or if you have the financial toolbox for precise daycounts use bndprice
Fangjun Jiang
Fangjun Jiang 2011-6-29
You know, MATLAB has Financial Toolbox
Saad
Saad 2011-6-30
To Fangjun /Oleg I know that but I have a time series of bond and for each row I have a zero rate with different maturities so bndprice doesnt work....
in each row i have to account for different YTM at different maturities and I have to account for accrual coupon rate..any ideas how to solve that??
  1 个评论
Oleg Komarov
Oleg Komarov 2011-7-6
You can still apply a vectorized solution from my example.
To be more precise you need to provide an example on how you stored all of that info.

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