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186 Apéndice D: Fórmulas utilizadas
File name: hp 12c_user's guide_Spanish_HDPMBF12S31 Page: 186 of 208
Printered Date: 2005/7/29 Dimension: 14.8 cm x 21 cm
Bonos
Referencia:
Spence, Graudenz, and Lynch, Standard Securities Calculation Methods, Securities Industry
Association, New York, 1973.
DIM = días entre la fecha de emisión y la fecha de vencimiento.
DSM = días entre la fecha de liquidación y la fecha de vencimiento.
DCS = días entre el inicio del período del cupón actual y la fecha de
liquidación.
E = número de días en el período del cupón en el que se produce la
liquidación.
DSC = EDCS = días desde la fecha de liquidación hasta la siguiente fecha
de cupón semestral.
N = número de cupones semestrales que se deben pagar entre la fecha de
liquidación y la fecha de vencimiento.
CPN = tasa de cupón anual (como porcentaje).
YIELD = rendimiento anual (como porcentaje).
PRICE = cotización en euros por valor nominal de 100 €.
RDV = valor de amortización.
Para un cupón semestral que vence en 6 meses o menos tiempo:
×
×+
+
=
2
)
2
(100
)
2
(100
CPN
E
DCS
YIELD
E
DSM
CPN
RDV
PRICE
Para un cupón semestral que vence dentro de más de 6 meses:
×
+
+
+
=
=
+
+
E
DCSCPN
YIELD
CPN
YIELD
RDV
PRICE
N
K
E
DSC
K
E
DSC
N
2
200
1
2
200
1
1
1
1
186


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