Price quotes of the T-bond: Example Today is march 5, 2003 The bond is an 11% coupon bond Maturity date: July 10, 2023 Quoted price:95-16(9516/32=95.5) The first coupon date is Jan 10, 2003 The second coupon date is July 10 2003 Charles cao 16
16 Charles Cao Price quotes of the T-bond: Example ◼ Today is March 5, 2003 ◼ The bond is an 11% coupon bond ◼ Maturity date: July 10, 2023 ◼ Quoted price: 95-16 (95 16/32 = 95.5) ◼ The first coupon date is Jan. 10, 2003 ◼ The second coupon date is July 10, 2003
Price quotes of the T-bond: Example There are 54 days between Jan. 10 and March 5,2003 There are 181 days between Jan. 10 and July 10, 2003 Coupon payment is $5.5 Charles cao
17 Charles Cao Price quotes of the T-bond: Example ◼ There are 54 days between Jan. 10 and March 5, 2003 ◼ There are 181 days between Jan. 10 and July 10, 2003 ◼ Coupon payment is $5.5
Price quotes of the T-bond: Example The accrued interest between jan 10 and march 5 is 54 $55=$1.64 181 Thus, the cash price is $95.5+$1.64=$97.14 Charles cao
18 Charles Cao Price quotes of the T-bond: Example ◼ The accrued interest between Jan. 10 and March 5 is: $5.5 $1.64 181 54 = $95.5+$1.64 = $97.14 Thus, the cash price is: