A closed-form formula for pricing bonds between coupon payments

Gottschalk, Sylvia ORCID logoORCID: 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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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
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.
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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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