Bond price with EXCEL built-in functions

Example bond: 6.5% NZGOVT 13
Coupon rate 6.50% 650
Yield 6.59%
Settlement date 16-Jul-02
Next coupon date 15-Oct-02
Maturity date 15-Apr-13
Shifted Maturity Date 15-Apr-13 0
Years to maturity 10.749
Final redemption (%) 100.00% of face value
Coupons per year 2
Day count basis to use
Prices per $100 of face value
Clean Price 99.3014 $
Accrued Interest 1.6339 $
Dirty Price 100.9353 $
Duration (years) 7.762
Modified Duration 7.514
Example quote sheet for NZ bonds
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
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Bonds in New Zealand are quoted by yield. This means an investor must determine the actual price of the instrument
in functions to determine a bond price. Excel returns the "clean
click on Analysis ToolPack to define
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Yield
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10-Oct-06 6-Jul-09 1-Apr-12 27-Dec-14 22-Sep-17
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Maturity Date
Range for Combo Box
Selected value 1
0 US (NASD) 30/360 2
1 Actual/actual
2 Actual/360
3 Actual/365
4 European 30/360
Series Duration Graph Series Yield Graph
15-Apr-08 7.76 0.00% 100.94
15-Apr-13 7.76 6.59% 100.94
15-Apr-13 0 6.59% 0
15-Apr-13 7.76 6.59% 100.94
100.94 $ 7.76 100.94 $ 7.76
15-Apr-08 101.20 $ 4.81 0% 171.50 $ 8.559858
15-Apr-09 101.14 $ 5.48 1% 157.55 $ 8.448967
15-Apr-10 101.08 $ 6.11 2% 144.96 $ 8.334253
15-Apr-11 101.03 $ 6.69 3% 133.58 $ 8.215807
15-Apr-12 100.98 $ 7.25 4% 123.29 $ 8.093744
15-Apr-13 100.94 $ 7.76 5% 113.98 $ 7.968203
15-Apr-14 100.89 $ 8.25 6% 105.54 $ 7.839351
15-Apr-15 100.85 $ 8.70 7% 97.89 $ 7.707375
15-Apr-16 100.82 $ 9.13 8% 90.94 $ 7.572489
15-Apr-17 100.78 $ 9.52 9% 84.62 $ 7.434926
15-Apr-18 100.75 $ 9.90 10% 78.88 $ 7.294942
15-Apr-19 100.72 $ 10.25 11% 73.64 $ 7.152811
15-Apr-20 100.69 $ 10.57 12% 68.87 $ 7.008824
15-Apr-21 100.66 $ 10.88 13% 64.52 $ 6.863287
15-Apr-22 100.63 $ 11.17 14% 60.55 $ 6.716515
15% 56.91 $ 6.568834
16% 53.58 $ 6.420574
17% 50.53 $ 6.272067
22-Sep-17 18-Jun-20 15-Mar-23
18% 47.73 $ 6.123644
19% 45.16 $ 5.975632
RBNZ (Reserve Bank Of New Zealand Formula)
where:
P: Market Value of Bond
FV: Nominal or face value of bond
i: Annual market yield / 2 (in %)
c: Annual coupon rate in %
C: Coupon Payment (= c/2 * FV) – semi-annual coupon
n: number of full coupon periods remaining until maturity (equals number of remaining coupons minus 1)
a: Number of days from settlement to next coupon date
b: Number of days from last to next coupon date
Formula 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 Bond
FV: Nominal or face value of bond
r: 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 coupons
a: Number of days from settlement to next coupon date
b: Number of days from last to next coupon date
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Formula 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")
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