Beruflich Dokumente
Kultur Dokumente
FI6051
Finbarr Murphy
Dept. Accounting & Finance
University of Limerick
Autumn 2009
t
en
m
on 25 ttle on 5 y
u p . Se t e u p 2 u rit 5
Co -0
= Da 0 Co 0 . t
Ma 0 .
7
T = = =
T T T
Quoted Prices
The seller is due the price of the bond PLUS the
accrued interest due
In this simple example, the seller is due
0.05x½x0.5 = 1.25% addittional
ly
Days Between Dates 3-Ju
0
4 5 6 7 8
/0 1/0 1/0 1/0 /0 ep
Ma
r 01 0 0 0 01 -S
- 01
01 Reference Period
Daycount Conventions
Look at the number of dates between 01/03 and
03/07 Ju
ly
Days Between Dates -
03
/0
4
/0
5
/06 /0
7
/0
8
e p
Ma
r 01 01 01 01 01
1-S
- 0
01 Reference Preiod
Price
Issue Maturity Interest Yield
Security Term Type Per CUSIP
Date Date Rate % %
$100
INTEL MICROSOFT
LIBOR
LIBOR
Using a Swap to Transform a Liability
The net effect is that Microsoft are paying out a
fixed rate of 5.1%