Bond price with EXCEL built-in functions

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
them.

Example bond: 6.5% NZGOVT 13 200.0

Coupon rate 6.50% 650 180.0

Yield 6.59%
160.0
Settlement date 16-Jul-02
Next coupon date 28-Dec-02
140.0
Maturity date 15-Apr-13
Shifted Maturity Date 28-Jun-13 74 120.0
Years to maturity 10.951
Final redemption (%) 100.00% of face value

Dirty Price ($)

100.0
Coupons per year 2
Day count basis to use Actual/actual 80.0

Prices per $100 of face value 60.0

Clean Price $ 99.3011
Accrued Interest $ 0.3197 40.0
Dirty Price $ 99.6207
20.0
Duration (years) 7.965
0.0
Modified Duration 7.711
% % % % % % % %
00 00 00 00 00 .0
0
.0
0
.0
0
0. 2. 4. 6. 8. 10 12 14 16

Yield
Example quote sheet for NZ bonds
ctual price of the instrument

e. Excel returns the "clean

Analysis ToolPack to define

12.0

10.0

8.0
Duration (years)

6.0

4.0

2.0

0.0
6 9 2 14 7 20 3 25
-0 -0 -1 c- -1 n- -2 c-
0% 0% 0% 0% 0% 0% 0% 0% ct J ul pr e ep u ar e
-O 6- A -D -S -J -M D
6.
0
8.
0 .0 .0 .0 .0 .0 .0
10 1- 18 9-
10 12 14 16 18 20 27 22 15

Yield 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

7 20 3 25
-1 n- -2 c-
ep u ar e
S -J -M D
18 15 9-
Series Duration Graph Series Yield Graph
y Date 28-Jun-08 7.96 0.00% 99.62
28-Jun-13 7.96 6.59% 99.62

28-Jun-13 0 6.59% 0
28-Jun-13 7.96 6.59% 99.62

$ 99.62 7.96 $ 99.62 7.96

28-Jun-08 $ 99.88 5.01 0% $ 171.50 8.762628
28-Jun-09 $ 99.82 5.68 1% $ 157.23 8.651737
28-Jun-10 $ 99.76 6.31 2% $ 144.38 8.537023
28-Jun-11 $ 99.71 6.90 3% $ 132.78 8.418576
28-Jun-12 $ 99.67 7.45 4% $ 122.31 8.296513
28-Jun-13 $ 99.62 7.96 5% $ 112.85 8.170973
28-Jun-14 $ 99.58 8.45 6% $ 104.29 8.04212
28-Jun-15 $ 99.54 8.90 7% $ 96.53 7.910145
28-Jun-16 $ 99.50 9.33 8% $ 89.51 7.775258
28-Jun-17 $ 99.47 9.73 9% $ 83.13 7.637695
28-Jun-18 $ 99.43 10.10 10% $ 77.33 7.497711
28-Jun-19 $ 99.40 10.45 11% $ 72.07 7.35558
28-Jun-20 $ 99.38 10.78 12% $ 67.27 7.211594
28-Jun-21 $ 99.35 11.08 13% $ 62.90 7.066056
28-Jun-22 $ 99.32 11.37 14% $ 58.91 6.919285
15% $ 55.27 6.771604
16% $ 51.94 6.623344
17% $ 48.89 6.474836
18% $ 46.10 6.326413
19% $ 43.53 6.178401
RBNZ (Reserve Bank Of New Zealand Formula)

n
P=

where:
( 1+i )
1
a
b
[[ ∑
k =0
C
( 1+i )k
+
]
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

100×c
P=

where:
P:
FV:
[ ∑
N

k=1
( )
Market Value of Bond
1+
r
f
Nominal or face value of bond
f
(k −1+ b ) a
][+

( )1+
r
f
FV
( N−1+

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
 C
1+i )k
+
FV
(1+i )n ] ]
aining coupons minus 1)

pt for the last term (takes off the accrued coupon to find the "clean price")

FV 100×c b−a
[ ]
1+
r
f ) ( N−1+
a
b )
]
−
f
×
b