Mathematical Formula - Bonds

Reference: Jan Mayle, TIPS Inc., Standard Securities Calculation Methods, Volume 1, Third Edition, Securities Industry Association Inc., New York, 1993.

For semi-annual coupon with 6 months or less to maturity:

For semiannual coupon with more than 6 months to maturity:

Where:

• DIM = days between issue date and maturity date.
• DSM = days between settlement date and maturity date.
• DCS = days between beginning of current coupon period and settlement date.
• E = number of days in coupon period where settlement occurs.
• DSC = E – DCS = days from settlement date to next 6–month coupon date.
• N = number of semiannual coupons payable between settlement date and maturity date.
• CPN = annual coupon rate (as a percentage).
• YIELD = annual yield (as a percentage).
• PRICE = dollar price per \$100 par value.
• RDV = redemption value.

Footnotes:

Jan Mayle is president of TIPS, Inc. (Trading & Investment Programs & Systems, Inc.) and author of the Securities Industry Association’s (SIA) “Standard Securities Calculation Methods -- Fixed Income Securities Formulas.” Mr. Mayle developed and produced the Standard Securities Calculations Software Library. The library was designed to help the securities industry standardize the valuation and analysis of fixed income securities. He co-authored, with John Lynch, the revised edition of “Standard Securities Calculations Methods -- Fixed Income Securities Formulas, Volume I” in 1986 and created software that was used to produce examples and benchmark calculations for the book. During that same year, he incorporated TIPS, Inc. During the period from 1986 to 1988, Jan Mayle and a team of TIPS, Inc. programmers developed core software that accurately performs standard calculations which is the basis for the “SIA/PSA Standard Securities Calculations Software Library.” From 1988 to 1990, Mr. Mayle edited the “Fixed Income Quarterly Report” for the SIA and, using TIPS, Inc. Software, reviewed calculator and software products to determine their accuracy in following SIA standard calculations.

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