A closed-form formula for pricing bonds between coupon payments
Pre-print
Gottschalk, S. 2018. A closed-form formula for pricing bonds between coupon payments.
Type | Pre-print |
---|---|
Title | A closed-form formula for pricing bonds between coupon payments |
Authors | Gottschalk, 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. |
Keywords | bond pricing; accrued interest; dirty price; clean price; closed-form vs. extended form; fixed-income analytics |
Sustainable Development Goals | 9 Industry, innovation and infrastructure |
Middlesex University Theme | Creativity, Culture & Enterprise |
Preprint server/collection | arXiv |
ISSN | 2331-8422 |
Publication dates | |
Online | 16 Apr 2018 |
Publication process dates | |
Submitted | 18 Jan 2018 |
Deposited | 21 Mar 2025 |
Output status | Published |
Web address (URL) | https://www.arxiv.org/abs/1801.06028v2 |
Web of Science identifier | PPRN:12877669 |
Related Output | |
Has metadata | https://publons.com/wos-op/publon/57134433/ |
Is previous version of | A closed-form formula for pricing bonds between coupon payments |
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