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HP Forum Archive 08

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17BII: Bond yields different from NYT tables?
Message #1 Posted by Peter Lampione on 19 May 2002, 2:59 a.m.

I must be using the 17BII in the wrong way: I get a discrepancy between the bond yields reported by the New York Times, and those computed by the 17BII. For instance, here is some data I got from today's NYT:

Treasury bonds, from NYT Table:

  • Month: Mar 03
  • Rate: 5.5
  • Bid/Ask: 102.23/102.24
  • Yld: 2.23
I entered:
  • Type: actual/actual, semi-annual
  • Settlement: Mar 17, 2002
  • Maturity: March 31, 2003 (should I have used March 1, 2003 instead? It makes only a minor difference)
  • CPN% = 5.5
  • CALL = 100
  • PRICE = 102.23
And I get YIELD = 2.89, which is more than the yield listed by the NYT.
If I use PRICE = 102.23 - ACCRU = 101.52, I get YIELD = 3.7%.

Where is my mistake? Why do the two rates, computed by me and reported by the NYT, differ?

Thanks,

Peter


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