Financial Toolbox

SIA Semiannual Yield Conventions

Within the SIA framework, all yields and time factors for price-to-yield conversion are quoted on a semiannual bond basis (see bndprice, bndyield, and cfamounts) regardless of the period of the bond's coupon payments (including zero-coupon bonds). In addition, any yield-related sensitivity (i.e., duration and convexity), when quoted on a periodic basis, assumes semiannual coupon periods. (See bndconvp, bndconvy, bnddurp, and bnddury).

SIA Coupon Date Calculations

Pricing Functions