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Mathematical Finance Letters ISSN 2051-2929

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Math. Finance Lett. 2018 (2018), Article ID 2

A closed-form formula for pricing bonds between coupon payments

Sylvia Gottschalk

PDF (168.3 KB) https://doi.org/10.28919/mfl/3650

Abstract

We derive a closed-form formula for computing bond prices between coupon payments. Our results cover both the `Treasury' and the `Street' pricing methods used by sovereign and corporate issuers. We apply our formulas to two UK gilts, the 8% Treasury Gilt 2015, and the 0.5% Treasury Gilt 2022, and show that we can obtain the dirty price of these bonds at any date with a minimum of calculations, and without intensive computational resources.

Published
11 May 2018
Volume
2018 (2018)
License
CC BY 3.0

Copyright © 2018 Sylvia Gottschalk. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Cite this article

S. Gottschalk, A closed-form formula for pricing bonds between coupon payments, Math. Finance Lett. 2018 (2018), 2. https://doi.org/10.28919/mfl/3650

BibTeX
@article{Gottschalk2018,
  author  = {Gottschalk, Sylvia},
  title   = {A closed-form formula for pricing bonds between coupon payments},
  journal = {Math. Finance Lett.},
  volume  = {2018},
  year    = {2018},
  pages   = {2},
  doi     = {10.28919/mfl/3650}
}