Hi Prince, Thanks for your feedback. Attached is an excel sheet with the macro and am getting zero....did i do it wrong?
Thanks and regards,
Boreh
On 11 December 2012 14:27, Prince <prince141...@gmail.com> wrote:
> Hi Kip,
>
> I got 91.7021557489662 value in price variable and i call this function
> as per the parameter provided by you ie :
>
> Sub test()
> Call PRICE364("31-10-2012", "22/4/2013", 11.5, 10.293, 100, 2)
> End Sub
>
> Please check may be you the way you passing the parameter in it is wrong.
>
> Regards
> Prince
>
>
> On Tuesday, December 11, 2012 2:49:41 PM UTC+5:30, kip wrote:
>>
>> 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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Bond Test.xlsm
Description: Binary data
