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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.

200.0
Example bond: 6.5% NZGOVT 13

Coupon rate 6.50% 650 180.0


Yield 6.59%
Settlement date 16-Jul-02 160.0
Next coupon date 28-Dec-02
Maturity date 15-Apr-13 140.0
Shifted Maturity Date 28-Jun-13 74
Years to maturity 10.951 120.0

Dirty Price ($)


Final redemption (%) 100.00% of face value
Coupons per year 2 100.0
Day count basis to use Actual/actual
80.0
Prices per $100 of face value
Clean Price $171.1803 60.0
Accrued Interest $0.3197
Dirty Price $171.5000 40.0

Duration (years) 7.964 20.0


Modified Duration 7.710
0.0
0.00% 5.00% 10.00% 15.00%
Yield
Example quote sheet for NZ bonds
ctual price of the instrument

ce. Excel returns the "clean

Analysis ToolPack to define

6.0

5.0

4.0
Duration (years)

3.0

2.0

1.0

0.0
00% 10.00% 15.00% 20.00% 14-Jan-04 6-Jul-09 27-Dec-14 18-Jun-20 9-Dec-25
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

-14 18-Jun-20 9-Dec-25


Series Duration Graph Series Yield Graph
Date 28-Jun-08 5.01 0.00% 171.50
28-Jun-13 5.01 6.59% 171.50

28-Jun-13 0 6.59% 0
28-Jun-13 5.01 6.59% 171.50

$171.50 5.01 $171.50 7.96


28-Jun-08 $99.88 5.01 0% $171.50 8.76
28-Jun-09 $99.82 5.01 1% $171.50 8.65
28-Jun-10 $99.76 5.01 2% $171.50 8.54
28-Jun-11 $99.71 5.01 3% $171.50 8.42
28-Jun-12 $99.67 5.01 4% $171.50 8.3
28-Jun-13 $99.62 5.01 5% $171.50 8.17
28-Jun-14 $99.58 5.01 6% $171.50 8.04
28-Jun-15 $99.54 5.01 7% $171.50 7.91
28-Jun-16 $99.50 5.01 8% $171.50 7.77
28-Jun-17 $99.47 5.01 9% $171.50 7.64
28-Jun-18 $99.43 5.01 10% $171.50 7.5
28-Jun-19 $99.40 5.01 11% $171.50 7.35
28-Jun-20 $99.38 5.01 12% $171.50 7.21
28-Jun-21 $99.35 5.01 13% $171.50 7.07
28-Jun-22 $99.32 5.01 14% $171.50 6.92
15% $171.50 6.77
16% $171.50 6.62
17% $171.50 6.47
18% $171.50 6.33
19% $171.50 6.18
RBNZ (Reserve Bank Of New Zealand Formula)

[[ ∑ ]
n
1 C
P= a k

b k =0  1i 
 1i 
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

[   ] [
100× c
N
f FV
P= ∑ 
 k−1 b a
 N −1
k=1
1
r
f
1
r
f 
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
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
− ×
 a
 f b
1
r
f  N −1
b