This is machine translation

Translated by Microsoft
Mouse over text to see original. Click the button below to return to the English verison of the page.

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.

Was this topic helpful?