Financial Toolbox

Pricing and Computing Yields for Fixed-Income Securities

The Securities Industry Association (SIA) has established conventions regarding bond pricing, yield calculation and quotation, time factors and accrued interest, coupon and quasi-coupon dates, and duration and convexity sensitivity measures. The Financial Toolbox includes SIA-compliant functions to compute accrued interest, determine prices and yields, as well as calculate convexity and duration of fixed-income securities. It also includes a set of functions to generate and analyze term structure of interest rates.

SIA-compliant functions can be used with U.S. Treasury bills, bonds, and notes; corporate bonds; and municipal bonds. Bonds can have long, normal or short first or last coupon periods.

The Function Reference identifies SIA-compliant functions. These functions have been thoroughly tested against the benchmarks found in Jan Mayle's Standard Securities Calculation Methods document listed in the Bibliography.

Annuities

Terminology