A closed-form formula for pricing bonds between coupon payments
Gottschalk, Sylvia 
ORCID: https://orcid.org/0000-0002-8629-7209
(2018)
A closed-form formula for pricing bonds between coupon payments.
Mathematical Finance Letters, 2018
, 2.
pp. 1-16.
ISSN 2051-2929
[Article]
(doi:10.28919/mfl/3650)
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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.
| Item Type: | Article |
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| Additional Information: | Article number = 2 |
| Research Areas: | A. > Business School > Accounting and Finance |
| Item ID: | 24405 |
| Notes on copyright: | Copyright © 2018 Sylvia Gottschalk. This is an open access article distributed under the Creative Commons Attribution License(http://creativecommons.org/licenses/by/3.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. |
| Useful Links: | |
| Depositing User: | Sylvia Gottschalk |
| Date Deposited: | 22 Jun 2018 15:19 |
| Last Modified: | 29 Nov 2022 19:57 |
| URI: | https://eprints.mdx.ac.uk/id/eprint/24405 |
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