Q: Bond issued by the Government “7.27% GS 2030”. Maturity date: May 5th 2030. Coupon: 7.27% semi annual. Bond is priced in between two coupon dates on July 6th 2020. YTM: 6.50%. Market convention for day count: 30/360. Coupon payment start date: Nov 5th 2020. Coupon payment end date: May 5th 2030. Value the bond on July 6th 2020 and also calculate: a. Dirty Price b. Clean Price c. Accrued Interest
Could anybody help here?
Also, I could not figure whether 299 days or 119 days should be taken.
Answer provided is: DP as 106.7484, AI as 1.3319, CP as 105.5166
I tried this out on the BOND worksheet on my BAII:
SDT 7.0620
CPN 7.27
RDT 5.0530
RV 100
360
2/Y
YLD 6.5
PRI 105.5165534
AI 1.231
I don’t know where they’re getting AI = 1.3319. 
thanks a lot breadmaker. 
I think there could be print error. Instead of 3 it should have been 2.
For the days, count between 5 May 2020 and 6 July 2020, assuming each month has 30 days = 25 + 30 + 6 = 61
AI = 0.5 * 7.27 * 61/360 = 1.23186
thanks a lot breadmaker for the calculation of AI in no. of days.
When I use the BOND function in the BA II Plus calculator, my YLD comes to be 1118.151816, PRI comes to be 3.53-13, but AI comes correct as 1.231861111. I input just as your solution. May be I missed out something.
I will try the non calculator way by using formula.
Thank you once again.
Hello.
I have a small doubt. why are we considering May 5th 2020 for counting 61 days? The Q says the coupon payment start date is Nov 5th 2020 and ends on May 5th 2030. Don’t we need to discount the first coupon payment of Nov 5th 2020 plus the second coupon payment of May 5th 2030 to Jul 6th 2020?
Thanks in advance.
All the fields except for price and AI are inputs. Also, I am using US date format (MM-DD-YYYY).
You owned the bond from 5 May 2020 up to and including 6 July 2020. Hence, you earned 61/180 of the first coupon payable Nov 5 2020.
thanks a lot breadmaker. got it now.
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