How to use yield to maturity to price bond
1 次查看(过去 30 天)
显示 更早的评论
Hello good people, I please I need your help.
I computed the yield to maturity of a bond with MATLAB, and the answer i had was 0.1556.
The following are the details of the bond:
Maturity date: 10/24/2024
Settlement date: 02/17/2021
Coupon rate: 0.19
Clean price: 109.3056
Coupon frequency: 2
Daycount: Actual/365
YTM obtained: 0.1556
I then decided to discount the coupon payments and the face value with the YTM manually. But the answer I get is different from the bond price above.
I use the formula:
Clean Price = CF1/(1+y/2)^T1 + CF2/(1+y/2)^T2 +CF3/(1+y/2)^T3 +...+CFn-1/(1+y/2)^Tn-1 +CFn/(1+y/2)^Tn
CF1, CF2, ...CFn-1 are semiannual coupon payments
CFn = last semiannual coupon plus face value
CF = 9.5, 9.5, 9.5, 9.5, 9.5, 9.5, 9.5, 109.5
T1, T2,...Tn are years to respective cashflows, and are calculated as: Respective cashflow date - settlement date, all divided by 365
Ti = 0.178082192, 0.679452055, 1.178082192, 1.679452055, 2.178082192, 2.679452055, 3.180821918, 3.682191781
The bond price obtained was 141.9043536. Even when I deduct accrued ineterest of 6.1071, I do not get the original price of 109.3056.
The value I obtain only get a bit closer when I change "y/2" in the formula to just "y".
Please is there something I am not doing right?
How should I apply the YTM to get 109.3056 as the bond price?
Thank you in advance.
0 个评论
回答(0 个)
另请参阅
类别
在 Help Center 和 File Exchange 中查找有关 Financial Toolbox 的更多信息
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!