Hi,
I have the following macro which i am trying to get the price of a bond but
ends up giving me zero value. What could be the prblem?
Function PRICE364(settlement As Date, maturity As Date, rate As Double, yld
As Double, redemption, frequency)
'Initialize Variables
Dim COUPNCD As Date
Dim COUPPCD As Date
coup = 0
cppayleft_exact = (maturity - settlement) / (364 / frequency)
CPPAYLEFT = WorksheetFunction.RoundUp(cppayleft_exact, 0)
mosToMat = (CPPAYLEFT - 1) * (12 / frequency)
mosToMatprev = (CPPAYLEFT) * (12 / frequency)
COUPNCD = DateAdd("m", -1 * mosToMat, maturity)
COUPPCD = DateAdd("m", -1 * mosToMatprev, maturity)
N = CPPAYLEFT
A = (settlement - COUPPCD)
k = 1
e = 364 / frequency
DCS = e - A
yfactor = 1 + (yld / frequency)
prin = redemption / (yfactor ^ (N - 1 + (DCS / e)))
Do Until k = N + 1
num = 100 * (rate / frequency)
den = yfactor ^ (k - 1 + (DCS / e))
coup = coup + (num / den)
k = k + 1
Loop
acr = 100 * (rate / frequency) * (A / e)
PRICE = prin + coup - acr
End Function
The bond details are as follows
Settlement date 31-10-2012
maturity date 22/4/2013
coupon rate 11.5%
Yield to maturity 10.293%
Frequency 2
Redemption is 100.
The price i should be getting using actual/364 is 100.8238 but the above
macro is giving me zero. Any ideas where the problem is?
Regards,
Boreh
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