Inside the Currency Market: Mechanics, Valuation, and Strategies

Calculate Canada Bonds and Yields

Treasury Bills are calculated as simple interest using actual/365. The price per $100 par value of a T-Bill yielding Y calculates as:

p = 100/(1 + Y × T/365)

Yield = (365/T) (100 – p)/p)

Short Canada bond—sum of the quoted price plus accrued interest paid on actual/365 basis. Interest accrues at the rate of 1/365th of annual coupon rate per day. Accrued interest for a bond that pays interest semiannually at an annual rate of C as a percent of par is calculated as:

A = C(D/365)

where

D = number of days to settlement date.

For a Canada bond with one coupon remaining, the price of a bond with T days remaining to maturity to yield y,

More than one coupon payment until maturity factors as actual/actual because ...