I'm trying to price the following floating rate note:

enter image description here

The price displayed on Bloomberg is 100.103063.

If I pass the following to the PRICE() function in Bloomberg, I get 100.1019629.

=PRICE(Settlement, Maturity, Rate, Yield, Redemption, Frequency, Basis)

Settlement: 11/10/17 Maturity: 4/30/19 Rate: 1.258560% Yield: 1.188560% Redemption: 100 Frequency: 4 Basis 2 (Act/360)

Is it possible to use an Excel function to arrive at that price of 100.103063?


  • $\begingroup$ It's easily possible. Are you familiar with VBA at all? I am happy to help if you send me the calculations that you need the function to execute. Also, this will most likely be flagged as off topic so if you email me I'll respond. My address is in my profile. $\endgroup$
    – amdopt
    Nov 9 '17 at 21:41

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