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B: Meer over de berekeningen 249
Naam bestand : Dutch-MP02-1-040308(Print).doc Afdrukdatum : 2004/3/9
=0
( )
k
j
j
j
TOTAL n CF
Berekeningen aan obligaties
Referentie: Lynch, John J., Jr. and Jan H. Mayle, Standard Securities Berekening
Methods, Securities Industry Association, New York, 1986.
A=verlopen dagen, het aantal dagen van het begin van een couponperiode tot de
afrekendatum.
E=aantal dagen van de coupon tot de gekoppelde vervaldag. Bij overeenkomst is
E 180 (of 360) bij een kalenderbasis van 30/360.
DSC=aantal dagen van de afrekendatul tot de eerstevolgende vervaldag.
(
DSC=EA).
M=aantal couponperioden per jaar ( 1 = jaarlijks, 2 = zesmaandelijks),
N=aantal couponperiodes tussen de afrekendatum en de dag van terugbetaling.
Indien N een deel heeft na de komma (afrekendatum verschilt van de
vervaldag) rond u hen af tot het eerstvolgend geheel getal.
Y=jaarlijkse opbrengst als een decimale breuk, YLD% / 100.
Voor een couponperiode of minder tot aan de terugbetaling:

+



=−×








%
%
1
CPN
CALL
ACPN
M
PRICE
DSC Y
EM
EM
voor meer dan één couponperiode tot aan de vervaldag:
−+



=



+




1
1
DSC
N
E
CALL
PRICE
Y
M
249

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