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.
TypePre-print
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.

Keywordsbond pricing; accrued interest; dirty price; clean price; closed-form vs. extended form; fixed-income analytics
Sustainable Development Goals9 Industry, innovation and infrastructure
Middlesex University ThemeCreativity, Culture & Enterprise
Preprint server/collectionarXiv
ISSN2331-8422
Publication dates
Online16 Apr 2018
Publication process dates
Submitted18 Jan 2018
Deposited21 Mar 2025
Output statusPublished
Web address (URL)https://www.arxiv.org/abs/1801.06028v2
Web of Science identifierPPRN:12877669
Related Output
Has metadatahttps://publons.com/wos-op/publon/57134433/
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