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arXiv · 1801.06028

A closed-form formula for pricing bonds between coupon payments

Sylvia Gottschalk
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Abstract

We derive a closed-form formula for computing bond prices between coupon payments. Our results cover both the `Treasury' and the `Street' pricing methods used by sovereign and corporate issuers. We apply our formulas to two UK gilts, the 8% Treasury Gilt 2015, and the 0.5% Treasury Gilt 2022, and show that we can obtain the dirty price of these bonds at any date with a minimum of calculations, and without intensive computational resources.

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Sylvia Gottschalk. 2018-01-18. A closed-form formula for pricing bonds between coupon payments. https://arxiv.org/abs/1801.06028

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