To compute accrued interest, press # until the AI variable appears. The
calculator automatically computes AI in terms of dollars per $100 of par
value.
Computing Modified Duration (DUR)
To compute modified duration, press # until the DUR variable appears.
The calculator automatically computes DUR.
Example: Computing Bond Price, Accrued Interest,
and Modified Duration
You consider buying a semiannual corporate bond maturing on
December 31, 2007 and settling on June 12, 2006. The bond is based on
the 30/360 day-count method with a coupon rate of 7%, redeemable at
100% of par value. For an 8% yield to maturity, compute the bond’s
price, accrued interest, and modified duration.
Computing Bond Price, Accrued Interest, and Modified
Duration
Answer: The bond price is $98.56 per 100. The accrued interest is $3.15
per 100. Modified duration is 1.44.
To Press Display
Select Bond worksheet. & l SDT = 12-31-1990
Enter settlement date. 6.1206 ! SDT = 6-12-2006
Enter coupon rate. # 7 ! CPN = 7.00
Enter redemption date. # 12.3107 ! RDT = 12-31-2007
Leave redemption value as is. # RV = 100.00
Select 30/360 day-count
method.
# & V 360
Leave two coupon payments
per year.
# 2/Y
Enter yield. # 8 ! YLD = 8.00
Compute price # % PRI = 98.56
View accrued interest. # AI = 3.15
View modified duration # DUR = 1.44
To compute accrued interest, press # until the AI variable appears. The
calculator automatically computes AI in terms of dollars per $100 of par
value.
Computing Modified Duration (DUR)
To compute modified duration, press # until the DUR variable appears.
The calculator automatically computes DUR.
Example: Computing Bond Price, Accrued Interest,
and Modified Duration
You consider buying a semiannual corporate bond maturing on
December 31, 2007 and settling on June 12, 2006. The bond is based on
the 30/360 day-count method with a coupon rate of 7%, redeemable at
100% of par value. For an 8% yield to maturity, compute the bond’s
price, accrued interest, and modified duration.
Computing Bond Price, Accrued Interest, and Modified
Duration
Answer: The bond price is $98.56 per 100. The accrued interest is $3.15
per 100. Modified duration is 1.44.
To Press Display
Select Bond worksheet. & l SDT = 12-31-1990
Enter settlement date. 6.1206 ! SDT = 6-12-2006
Enter coupon rate. # 7 ! CPN = 7.00
Enter redemption date. # 12.3107 ! RDT = 12-31-2007
Leave redemption value as is. # RV = 100.00
Select 30/360 day-count
method.
# & V 360
Leave two coupon payments
per year.
# 2/Y
Enter yield. # 8 ! YLD = 8.00
Compute price # % PRI = 98.56
View accrued interest. # AI = 3.15
View modified duration # DUR = 1.44