Bond Pricing and Yields
The pricing and yield formulas for fixed-income securities come
from:
[1] Golub, B.W. and L.M. Tilman, Risk Management:
Approaches for Fixed Income Markets Wiley, 2000.
[2] Martellini, L., P. Priaulet, and S. Priaulet Fixed
Income Securities Wiley, 2003.
[3] Mayle, Jan, Standard Securities Calculation Methods
New York: Securities Industry Association, Inc. Vol. 1, 3rd ed.,
1993, ISBN 1-882936-01-9. Vol. 2, 1994, ISBN 1-882936-02-7.
[4] Tuckman, B. Fixed Income Securities: Tools for
Today's Markets Wiley, 2002.
In many cases these formulas compute the price of a security
given yield, dates, rates, and other data. These formulas are nonlinear,
however; so when solving for an independent variable within a formula, Financial Toolbox software
uses Newton's method. See any elementary numerical methods textbook
for the mathematics underlying Newton's method.
 | Bibliography | | Term Structure of Interest Rates |  |
Now On Demand
Network with industry peers and learn the latest applications of the leading software product for computational finance.
Store 
