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Finance[CleanPrice] - calculate the clean price of a bond
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Calling Sequence
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CleanPrice(bond, yield, compounding, opts)
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Parameters
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bond
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fixed or floating rate bond data structure; bond
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yield
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non-negative constant; desired yield
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compounding
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Simple, Continuous, Compounded, or SimpleThenCompounded; the underlying compounding type
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opts
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equations of the form option = value where option is evaluationdate; specify options for the CleanPrice command
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Description
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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.
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Options
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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).
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Compatibility
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The Finance[CleanPrice] command was introduced in Maple 15.
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Examples
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![Settings([daycounter = Historical, settlementdays = 0, businessdayconvention = Unadjusted, compounding = Continuous])](/support/helpjp/helpview.aspx?si=8826/file01598/math151.png)
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![[daycounter = Historical, settlementdays = 0, businessdayconvention = Unadjusted, compounding = Continuous]](/support/helpjp/helpview.aspx?si=8826/file01598/math154.png)
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Consider a zero-coupon bond with a face value of 100 maturing in one year.
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Consider a 3-year bond with a face value of 100 that pays a fixed coupon of 3 percent issued on March 15, 2005.
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Calculate the bond's clean price given its yield and vice-versa.
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Consider the same bond but with semi-annual coupons.
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Calculate the bond's clean price given its yield and vice-versa.
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Note that since the bond has semi-annual coupons, the Compounded yield is based on semi-annual compounding.
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![cashflows3 := [`1.500000000 on 'March 17, 2007'`, `1.500000000 on 'September 17, 2007'`, `1.500000000 on 'March 17, 2008'`, `100. on 'March 17, 2008'`]](/support/helpjp/helpview.aspx?si=8826/file01598/math343.png)
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![add(t[amount]*DiscountFactor(rate2, t[date], compounding = Semiannual), `in`(t, cashflows3))](/support/helpjp/helpview.aspx?si=8826/file01598/math347.png)
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See Also
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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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Download Help Document
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