## A closed-form formula for pricing bonds between coupon payments

16 Apr 2018  ·  Gottschalk Sylvia ·

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. read more

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