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The image below shows yields for Australian treasury bonds for a settlement date of 04-jun-2021. Focus on the 21-Apr-29 bond. Assuming a face value of
The image below shows yields for Australian treasury bonds for a settlement date of 04-jun-2021. Focus on the 21-Apr-29 bond. Assuming a face value of $100 and an actual/actual day count convention and noting that there are 183 days in the period 21-Apr-2021 to 21-Oct-2021 and 139 days in the period 04-Jun-2021 and 21-Oct-2021 and detailing any intermediate calculations, compute(to 3 decimal places) the:
a) dirty price,
b) the accrued interest and thus
c) the clean price, for the April-29 bond paying 3.25%p.a. semi-annual coupons.
MATURIT COUPON ISSUE CLOSING (%) SIZE (SM YIELD 21-May-28 2.25 29,700 1.20 21-Nov-28 2.75 31,100 1.30 21-Apr-29 3.25 33,000 1.38 21-Nov-29 2.75 32.900 1.48 21-May-30 2.50 36,600 1.57 MATURIT COUPON ISSUE CLOSING (%) SIZE (SM YIELD 21-May-28 2.25 29,700 1.20 21-Nov-28 2.75 31,100 1.30 21-Apr-29 3.25 33,000 1.38 21-Nov-29 2.75 32.900 1.48 21-May-30 2.50 36,600 1.57Step by Step Solution
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