evaluationdate = a string containing a date specification in a format recognized by ParseDate or a Date data structure -- This option specifies the evaluation date. By default this is set to the global evaluation date (see EvaluationDate).

The CleanPrice command computes the clean price of a bond, given its yield. Clean price does not include any accrued interest that has accumulated since the last coupon payment.

The parameter bond is either a fixed coupon bond or floating rate bond. The parameter yield is the desired yield.

$\mathrm{with}\left(\mathrm{Finance}\right)\:$

$\mathrm{SetEvaluationDate}\left(''November\; 25,\; 2006''\right)\:$

$\mathrm{EvaluationDate}\left(\right)$

$''November\; 25,\; 2006''$

$\mathrm{Settings}\left(\left[\mathrm{daycounter}\=\mathrm{Historical}\,\mathrm{settlementdays}\=0\,\mathrm{businessdayconvention}\=\mathrm{Unadjusted}\,\mathrm{compounding}\=\mathrm{Continuous}\right]\right)$

$\left[\mathrm{daycounter}=\mathrm{Historical}\,\mathrm{settlementdays}=0\,\mathrm{businessdayconvention}=\mathrm{Unadjusted}\,\mathrm{compounding}=\mathrm{Continuous}\right]$

$\mathrm{bond1}≔\mathrm{ZeroCouponBond}\left(100\,5\,\mathrm{Years}\right)\:$

$\mathrm{price1}≔\mathrm{CleanPrice}\left(\mathrm{bond1}\,0.05\,\mathrm{Compounded}\right)$

$\mathrm{price1}≔78.35261665$

$100\mathrm{DiscountFactor}\left(0.05\,5\,\mathrm{compounding}\=\mathrm{Annual}\right)$

$78.35261665$

$100{\left(\frac{1}{1.05}\right)}^5$

$78.35261665$

$\mathrm{yield1}≔\mathrm{YieldFromCleanPrice}\left(\mathrm{bond1}\,\mathrm{price1}\right)$

$\mathrm{yield1}≔0.04879016417$

$\mathrm{EquivalentRate}\left(\mathrm{yield1}\,\mathrm{Continuous}\,\mathrm{Annual}\right)$

$0.05000000000$

$\mathrm{yield1}≔\mathrm{YieldFromCleanPrice}\left(\mathrm{bond1}\,\mathrm{price1}\,\mathrm{Compounded}\right)$

$\mathrm{yield1}≔0.05000000006$

$\mathrm{Settings}\left(\mathrm{daycounter}\=\mathrm{Thirty360European}\right)\:$

$\mathrm{Settings}\left(\mathrm{daycounter}\right)$

$\mathrm{Thirty360European}$

$\mathrm{principal2}≔100\:$

$\mathrm{coupon2}≔0.03\:$

$\mathrm{rate2}≔0.05\:$

$\mathrm{bond2}≔\mathrm{FixedCouponBond}\left(\mathrm{principal2}\,3\,\mathrm{Years}\,\mathrm{coupon2}\,\mathrm{issuedate}\=''March\; 17,\; 2005''\right)\:$

$\mathrm{yield2}≔\mathrm{YieldFromCleanPrice}\left(\mathrm{bond2}\,100\,\mathrm{Compounded}\right)$

$\mathrm{yield2}≔0.02992505925$

$\mathrm{cleanprice2}≔\mathrm{CleanPrice}\left(\mathrm{bond2}\,\mathrm{yield2}\,\mathrm{Compounded}\right)$

$\mathrm{cleanprice2}≔100.0000000$

$\mathrm{YieldFromCleanPrice}\left(\mathrm{bond2}\,\mathrm{cleanprice2}\right)$

$0.02948604163$

$\mathrm{CleanPrice}\left(\mathrm{bond2}\,\mathrm{rate2}\right)$

$97.35137029$

$\mathrm{dirtyprice2}≔\mathrm{DirtyPrice}\left(\mathrm{bond2}\,\mathrm{rate2}\right)$

$\mathrm{dirtyprice2}≔99.41803696$

$\mathrm{YieldFromDirtyPrice}\left(\mathrm{bond2}\,\mathrm{dirtyprice2}\right)$

$0.05000000002$

$\mathrm{bond3}≔\mathrm{FixedCouponBond}\left(\mathrm{principal2}\,3\,\mathrm{Years}\,\mathrm{coupon2}\,\mathrm{issuedate}\=''March\; 17,\; 2005''\,\mathrm{frequency}\=\mathrm{Semiannual}\right)\:$

$\mathrm{yield3}≔\mathrm{YieldFromCleanPrice}\left(\mathrm{bond3}\,100\,\mathrm{Compounded}\right)$

$\mathrm{yield3}≔0.02997946101$

$\mathrm{cleanprice3}≔\mathrm{CleanPrice}\left(\mathrm{bond3}\,\mathrm{yield3}\,\mathrm{Compounded}\right)$

$\mathrm{cleanprice3}≔100.0000000$

$\mathrm{YieldFromCleanPrice}\left(\mathrm{bond3}\,\mathrm{cleanprice3}\right)$

$0.02975698958$

$\mathrm{CleanPrice}\left(\mathrm{bond3}\,\mathrm{rate2}\right)$

$97.41008628$

$\mathrm{dirtyprice3}≔\mathrm{DirtyPrice}\left(\mathrm{bond3}\,\mathrm{rate2}\right)$

$\mathrm{dirtyprice3}≔97.97675295$

$\mathrm{YieldFromDirtyPrice}\left(\mathrm{bond3}\,\mathrm{dirtyprice3}\right)$

$0.05000000002$

$\mathrm{dirtyprice3}≔\mathrm{DirtyPrice}\left(\mathrm{bond3}\,\mathrm{rate2}\,\mathrm{Compounded}\right)$

$\mathrm{dirtyprice3}≔98.05440635$

$\mathrm{cashflows3}≔\mathrm{CashFlows}\left(\mathrm{bond3}\right)$

$\mathrm{cashflows3}≔\left[\mathrm{1.500000000\; on\; \text{'}March\; 17,\; 2007\text{'}}\,\mathrm{1.500000000\; on\; \text{'}September\; 17,\; 2007\text{'}}\,\mathrm{1.500000000\; on\; \text{'}March\; 17,\; 2008\text{'}}\,\mathrm{100.\; on\; \text{'}March\; 17,\; 2008\text{'}}\right]$

$\mathrm{add}\left(t_{\mathrm{amount}}\mathrm{DiscountFactor}\left(\mathrm{rate2}\,t_{\mathrm{date}}\,\mathrm{compounding}\=\mathrm{Semiannual}\right)\,t\∈\mathrm{cashflows3}\right)$

$98.05440635$

The Finance[CleanPrice] command was introduced in Maple 15.

For more information on Maple 15 changes, see Updates in Maple 15.