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
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Is new version ofA closed-form formula for pricing bonds between coupon payments
LanguageEnglish
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