A closed-form formula for pricing bonds between coupon payments

Article

Gottschalk, S. 2018. A closed-form formula for pricing bonds between coupon payments. Mathematical Finance Letters. 2018, pp. 1-16. https://doi.org/10.28919/mfl/3650
TypeArticle
TitleA closed-form formula for pricing bonds between coupon payments
AuthorsGottschalk, S.
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.

PublisherSCIK Publishing Corporation.
JournalMathematical Finance Letters
ISSN2051-2929
Publication dates
Online14 Apr 2018
Print11 May 2018
Publication process dates
Deposited22 Jun 2018
Submitted16 Jan 2018
Accepted14 Feb 2018
Output statusPublished
Publisher's version
Copyright Statement

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.

Additional information

Article number = 2

Digital Object Identifier (DOI)https://doi.org/10.28919/mfl/3650
LanguageEnglish
Permalink -

https://repository.mdx.ac.uk/item/87qzz

Log in to edit

Download files

Publisher's version
3650-8427-1-PB.pdf

  • 58
    total views
  • 17
    total downloads
  • 5
    views this month
  • 2
    downloads this month

Export as

Related outputs

Demand for external finance by environmentally-motivated SMEs: An exploration of geographical disparities and potential in relation to Net Zero
Gottschalk, S. and Owen, R. 2023. Demand for external finance by environmentally-motivated SMEs: An exploration of geographical disparities and potential in relation to Net Zero. London, UK Enterprise Research Centre (ERC).
International financial regulation of cryptoassets and asset-backed tokens
Gottschalk, S. 2023. International financial regulation of cryptoassets and asset-backed tokens. in: Kim, S. (ed.) Fintech, Pandemic, and the Financial System: Challenges and Opportunities Bingley, UK Emerald Publishing Limited. pp. 145-181
Institutional and geopolitical aspects of bond spreads impacts on corporate capital structure in emerging markets
Gottschalk, S. and Ndang, B. 2023. Institutional and geopolitical aspects of bond spreads impacts on corporate capital structure in emerging markets. Global Business & Economics Review. 28 (3), pp. 266-297. https://doi.org/10.1504/GBER.2023.129996
Social Enterprise: Market Trends 2019
Owen, R., Lyon, F., Vickers, I. and Gottschalk, S. 2021. Social Enterprise: Market Trends 2019. London DCMS.
Digital currency price formation: a production cost perspective
Gottschalk, S. 2022. Digital currency price formation: a production cost perspective. Quantitative Finance and Economics. 6 (4), pp. 669-695. https://doi.org/10.3934/QFE.2022030
The impact of the financial crisis on the Euro area
Holland, D., Barrell, R., Fic, T., Gottschalk, S., Hurst, I., Liadze, I. and Orazgani, A. 2008. The impact of the financial crisis on the Euro area. National Institute Economic Review. 206, pp. 90-100. https://doi.org/10.1177/0027950108099854
From Black Wednesday to Brexit: Macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom
Gottschalk, S. 2021. From Black Wednesday to Brexit: Macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom. International Journal of Finance & Economics. 28 (3), pp. 2843-2873. https://doi.org/10.1002/ijfe.2567
Product quality and the international location of manufacturing industry
Gottschalk, S. 2002. Product quality and the international location of manufacturing industry. Journal of economic integration. 17 (2), pp. 363-376. https://doi.org/10.11130/jei.2002.17.2.363
Can market size outweigh adverse comparative advantage?
Gottschalk, S. 2002. Can market size outweigh adverse comparative advantage? The Journal of International Trade & Economic Development. 11 (1), pp. 43-61. https://doi.org/10.1080/09638190110093154
Entropy measure of credit risk in highly correlated markets
Gottschalk, S. 2017. Entropy measure of credit risk in highly correlated markets. Physica A: Statistical Mechanics and its Applications. 478, pp. 11-19. https://doi.org/10.1016/j.physa.2017.02.083
Capital adequacy requirements in emerging markets
Barrell, R. and Gottschalk, S. 2010. Capital adequacy requirements in emerging markets. in: Gottschalk, R. (ed.) The Basel Capital Accords in developing countries: Challenges for development finance London, UK. Palgrave Macmillan. pp. 97-140
The impact of EMU on growth and employment
European Commission, Directorate General Economic and Financial Affairs, Barrell, R., Gottschalk, S., Holland, D., Khoman, E., Liazde, I. and Pomerantz, O. 2008. The impact of EMU on growth and employment. Brussels ,Belgium European Commission. https://doi.org/10.2765/63598
Foreign direct investment and exchange rate uncertainty in South‐East Asia
Gottschalk, S. and Hall, S. 2008. Foreign direct investment and exchange rate uncertainty in South‐East Asia. International Journal of Finance & Economics. 13 (4), pp. 349-359. https://doi.org/10.1002/ijfe.355
Fiscal policy in Europe
Barrell, R. and Gottschalk, S. 2007. Fiscal policy in Europe. National Institute Economic Review. 201 (1), pp. 33-36. https://doi.org/10.1177/0027950107083047
Macroeconomic policy in Europe: Experiments with monetary responses and fiscal impulses
Barrell, R., Becker, B., Byrne, J., Gottschalk, S., Hurst, I. and van Welsum, D. 2004. Macroeconomic policy in Europe: Experiments with monetary responses and fiscal impulses. Economic Modelling. 21 (5), pp. 877-931. https://doi.org/10.1016/j.econmod.2003.10.005
The volatility of the output gap in the G7
Barrell, R. and Gottschalk, S. 2004. The volatility of the output gap in the G7. National Institute Economic Review. 188, pp. 100-107. https://doi.org/10.1177/00279501041881008