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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
Treasury bonds, from NYT Table:
- Month: Mar 03
- Rate: 5.5
- Bid/Ask: 102.23/102.24
- Yld: 2.23
And I get YIELD = 2.89, which is more than the yield listed by the NYT.
- 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
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?
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