Auction Yield is same as the CD-Compound discount method Where: CF = cash flow y = yield in percentage form d = days in the period using the applicable day count b = day count basis using the applicable day count 5: Zero-Coupon Bonds that Calculate a Simple Discount Yield Used for Zero-Coupon bonds that are quoted on a discount to par basis. Auction Yield is the calculation used to calculate the price of a new Treasury note/bond from the winning auction yield. Primary price/yield calculation is Auction Yield on ticketing functions. Treasuries Used for when-issued US Treasury notes/bonds issued without accrued interest (i.e., the Issue Date and Interest Accrual Dates match). However there may be individual securities that apply their own specific market convention. Settlement defaults to T+1 for US Treasuries and Agencies, T+3 for all others. Coupon amounts for standard coupon periods are calculated as coupon / coupon frequency * face regardless of day count. In the last period simple yield is applied. Yields are calculated on a compounded basis on the same frequency as the coupon frequency for all periods except the last period. Please contact your sales representative if you have any questions.ΔΆ 2 1: Notes and Bonds, Street Convention Standard yield formula used most commonly on US Treasuries, corporate securities, and Eurobonds. 1 VALID CALCULATION TYPES 26 September 2014 Note: This document may not necessarily include all valid calculation types.
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