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Bijlage - Naslaginformatie 99
Obligaties
1
Prijs (gegeven rendement) met één couponperiode of minder tot de
aflossing:
waarbij:
PRI =prijs in euro's per 100 nominale waarde
RV =aflossingswaarde van de obligatie per 100 nominale
waarde (RV = 100 behalve in die gevallen waarbij er rekening
moet worden gehouden met opvraag- of verkoopoptie-functies)
R =jaarlijks rentepercentage (als decimale waarde; CPN _ 100)
M =standaard aantal couponperioden per jaar voor de
betrokken obligatie (ingesteld op 1 of 2 in het werkblad
Obligaties)
DSR =aantal dagen vanaf de startdatum tot de aflossingsdatum
(einddatum, opvraagdatum, verkoopoptie-datum enz.)
E =aantal dagen in de couponperiode waarin de startdatum valt
Y =jaarlijks rendement (als decimale waarde) van de investering
waarbij de obligatie gehouden wordt tot de aflossing (YLD P
100)
A =aantal dagen vanaf het begin van de couponperiode tot de
startdatum (opgebouwde rentedagen)
Opmerking: De eerste term berekent de contante waarde van het
aflossingsbedrag, inclusief rente, op basis van het rendement voor de
geïnvesteerde periode. De tweede term berekent de opgebouwde rente
die volgens de overeenkomst betaald wordt aan de verkoper.
Rendement (gegeven prijs) met één couponperiode of minder tot de
aflossing:
1.Bron voor obligatieformules (behalve looptijd): Lynch, John J., Jr. en Jan H. Mayle.
Standard Securities Calculation Methods. New York: Securities Industry Association,
1986.
PRI
RV
100 R×
M
------------------+
1
DSR
E
-----------
Y
M
-----
×
+
---------------------------------------
A
E
---
100 R×
M
------------------
×=
Y
RV
100
---------
R
M
-----+
⎝⎠
⎛⎞
PRI
100
----------
A
E
---
R
M
-----
×
⎝⎠
⎛⎞
+
⎝⎠
⎛⎞
PRI
100
----------
A
E
---
R
M
-----
×
⎝⎠
⎛⎞
+
---------------------------------------------------------------------------
ME×
DSR
--------------
×=
103


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