Bond Price with Excel

Bond Price with ExcelBond price with EXCEL built-in functionsExample bond:6.5% NZGOVT 13Range for Combo BoxSelected value1Coupon rate6.50%6500US (NASD) 30/3602Yield6.59%1Actual/actualSettlement date16-Jul-022Actual/360Next coupon date15-Oct-023Actual/365Maturity date15-Apr-134European 30/360Shifted Maturity Date15-Apr-130Years to maturity10.749Final redemption (%)100.00%of face valueCoupons per year2Day count basis to usePrices per $100 of face valueClean Price$99.3014Accrued Interest$1.6339Dirty Price$100.9353Duration (years)7.762Modified Duration7.514Series Duration GraphSeries Yield Graph15-Apr-087.760.00%100.94Example quote sheet for NZ bonds15-Apr-137.766.59%100.9415-Apr-1306.59%015-Apr-137.766.59%100.94$100.947.76$100.947.7615-Apr-08$101.204.810%$171.508.559858369615-Apr-09$101.145.481%$157.558.448967492415-Apr-10$101.086.112%$144.968.334253321315-Apr-11$101.036.693%$133.588.215806889515-Apr-12$100.987.254%$123.298.093743583515-Apr-13$100.947.765%$113.987.968203440915-Apr-14$100.898.256%$105.547.839351112615-Apr-15$100.858.707%$97.897.70737546715-Apr-16$100.829.138%$90.947.572488818815-Apr-17$100.789.529%$84.627.4349257815-Apr-18$100.759.9010%$78.887.294941733715-Apr-19$100.7210.2511%$73.647.152810949415-Apr-20$100.6910.5712%$68.877.008824361915-Apr-21$100.6610.8813%$64.526.863287052715-Apr-22$100.6311.1714%$60.556.716515477115%$56.916.568834491816%$53.586.42057424217%$50.536.272066972218%$47.736.123643827319%$45.165.9756317083

Bonds in New Zealand are quoted by yield. This means an investor must determine the actual price of the instrument using the RBNZ (Reserve Bank) formula. In this Excel sheet it is shown how to use Excel built-in functions to determine a bond price. Excel returns the "clean price" without accrued coupon, so we must add it back to find the "dirty price".If your Excel does not recognize the functions below, use Menu Tool - Add-ins.. - click on Analysis ToolPack to define them.

Bond Price with Excel

verticalhorizontalYieldDirty Price ($)

Formulas

verticalhorizontalMaturity DateDuration (years)

RBNZ (Reserve Bank Of New Zealand Formula)where:P:Market Value of BondFV:Nominal or face value of bondi:Annual market yield / 2 (in %)c:Annual coupon rate in %C:Coupon Payment (= c/2 * FV) semi-annual couponn:number of full coupon periods remaining until maturity (equals number of remaining coupons minus 1)a:Number of days from settlement to next coupon dateb:Number of days from last to next coupon dateFormula used in Excel (which is equivalent to the RBNZ formula except for the last term (takes off the accrued coupon to find the "clean price")where:P:Market Value of BondFV:Nominal or face value of bondr:Annual market yield (in %)f:Frequency of coupon payments (usually 2 in for bonds in New Zealand)c:Annual coupon rate in %N:Number of remaining couponsa:Number of days from settlement to next coupon dateb:Number of days from last to next coupon date

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