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I have a fixed-coupon bond with the following characteristics:

Settlement: 11 July 2013
Maturity: 4 April 2022
Face Value: 100
YTM: 4.24403 %
Coupon: 4.08 %
Coupon Frequency: Annual
Day Count Convention: Actual/360

I have a C# function that according to my Bloomberg screen should churn out a price of $98.8073, but I just can't seem to get it right. Could someone please show me a paper or some code that would fix this problem? I'm only off with about a dollar so I think I'm doing something wrong with how I handle the day count.

Thanks in advance!

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Also, sorry that I didn't post any code but it's all on my work computer and I'm currently out of the office. I can post it tomorrow if that would help you help me. – L1meta Jul 9 '13 at 20:18
up vote 2 down vote accepted

I see 98.81 as well, so that is definitely correct.

From hearing that you are about a dollar off it looks to me as if you may have omitted accrued interest which should come to around that value given the last coupon payment date was in April and settlement is in the middle of July and a coupon of around 4 dollars.

Note the distinction between clean vs. dirty bond prices, one includes accrued interest the other not. Generally the true price of a bond includes accrued interest because that will have you arrive at the net price you end up paying/receiving for the bond.

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Thanks, it was the accrued interest in combination with the day count convention that messed up my numbers. :) – L1meta Jul 10 '13 at 11:14

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