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Finance[CleanPrice] - calculate the clean price of a bond
Calling Sequence
CleanPrice(bond, yield, compounding, opts)
Parameters
bond
-
fixed or floating rate bond data structure; bond
yield
non-negative constant; desired yield
compounding
Simple, Continuous, Compounded, or SimpleThenCompounded; the underlying compounding type
opts
equations of the form option = value where option is evaluationdate; specify options for the CleanPrice command
Description
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.
Options
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).
Compatibility
The Finance[CleanPrice] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
Examples
Consider a zero-coupon bond with a face value of 100 maturing in one year.
Consider a 3-year bond with a face value of 100 that pays a fixed coupon of 3 percent issued on March 15, 2005.
Calculate the bond's clean price given its yield and vice-versa.
Consider the same bond but with semi-annual coupons.
Note that since the bond has semi-annual coupons, the Compounded yield is based on semi-annual compounding.
See Also
Finance[AccruedInterest], Finance[DayCounter], Finance[DirtyPrice], Finance[EvaluationDate], Finance[FixedCouponBond], Finance[FloatingRateBond], Finance[FormatDate], Finance[ParseDate], Finance[Settings], Finance[YearFraction], Finance[YieldFromCleanPrice], Finance[YieldFromDirtyPrice], Finance[ZeroCouponBond]
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