Operation Manual

188 Appendix E: Formulas Used
30/360 Day Basis
DAYS = f(DT
2
) – f(DT
1
)
f(DT) = 360 (yyyy) + 30mm + z
for f(DT
1
)
if dd
1
= 31 then z = 30
if dd
1
≠ 31 then z = dd
1
for f(DT
2
)
if dd
2
= 31 and dd
1
= 30 or 31 then z = 30
if dd
2
= 31 and dd
1
< 30 then z = dd
2
if dd
2
< 31 then z = dd
2
Bonds
Reference:
Spence, Graudenz, and Lynch, Standard Securities Calculation Methods, Securi-
ties Industry Association, New York, 1973.
For semiannual coupon with 6 months or less to maturity:
PRICE =
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.
100 RDV
CPN
2
------------+


100
DSM
E
-------------
YIELD
2
------------------
×


+
----------------------------------------------------------
DCS
E
------------
CPN
2
------------
×–