HP-92 Simulation Attempt

[bshoring]

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Hi Bob,

Still scratching my head :-)

From page 87, example 1 of HP92 Investor Apps Manual...

Semi annual
30/360 basis
Issue date = JUL 6, 1976
Settlement = AUG 23, 1976 (47 days)
Maturity = DEC 20, 1976 (117 days)

My guesses...
Issue date = start of coupon period
End of coupon period = 180 - (47 + 117) = 16 days after maturity
E (seems) to be days between Issue and Maturity (164 days)

Using the HP-92 to manually key in the calculation on 113 of HP-92 manual, I get an answer of 100.036. (Rounded = 100.34) The manual states an answer of 100.03

There is a small discrepancy which I cannot account for, which could mean the method I am using is still in error.

I think I have the accrued interest calculations working now for both 30/360 and actual/360.

cheers

Tony
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Hi Tony,

Using my HP-80, I also get 100.03.

This one is not a bond, so the characteristics would be a little different. It's a certificate of deposit or a short term note. Issue date is July 6, 1976, and the end of the coupon period in this case I believe would be the maturity date, since this is not a true bond.

I tend to agree with you that E would likely be the number of days between Issue and Maturity.

On my HP-80, when I entered the settle date and maturity date, there was no 30/360 option given as with later calculators, so I only got 119, which is the calendar days, then I entered the yield as "i" and the coupon of 5.80 as "PMT" and pressed shift-Bond and still got the same result as in the 92 book. I don't know if the number of days got changed when i pressed shift "Bond". But certainly in the instructions for the illustration given here for HP-92 it stated clearly to set the day basis to 360. In the tape in the illustration I see 0.77 AI and later 0.76 AI, which I'm sure is accrued interest, but I am wondering why they show two amounts that differ by a penny. OK, it must be 0.76 on a 30/360 basis and 0.77 on a calendar day basis.

I don't know if any of these could account for the difference you're getting, but you might try them.