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88 APPENDIX - Reference Information
Yield is found through an iterative search process using the “Price with
more than one coupon period to redemption” formula.
Accrued interest for securities with standard coupons or interest at
maturity:
where:
AI =accrued interest
PA R =par value (principal amount to be paid at maturity)
Depreciation
RDV = CST N SAL N accumulated depreciation
Values for
DEP, RDV, CST, and SAL are rounded to the number of
decimals you choose to be displayed.
In the following formulas,
FSTYR = (13 N MO1) P 12.
Straight-line depreciation
First year:
Last year or more:
DEP = RDV
Sum-of-the-years’-digits depreciation
First year:
Last year or more:
DEP = RDV
AI PAR
R
M
----
A
E
---
=
Modified Duration
Duration
1
Y
M
----
+
---------------------
=
Dur 1
Y
M
----
+
Dsr
Rv
100 R
M
------------------
+
1
Dsr Y
EM
----------------- -
+
2
----------------------------------------
EMPri
--------------------- -----------------------------------------
=
Dur 1
Y
M
-----
+
Rv N 1–
Dsc
E
---------
+
1
Y
M
----
+
N
Dsc
E
---------
+
------------------------------------------------
100
R
M
----
k 1–
Dsc
E
---------
+
1
Y
M
----
+
k
Dsc
E
---------
+
------------------------------------------------------------
k 1=
N
+
MPri
----------------------------------------------------------------------------------------------------------------------------------------
=
CST SAL–
LIF
---------------------------
CST SAL–
LIF
---------------------------
FSTYR
LIF 2 YR– FSTYR–+ CST SAL–
LIF LIF 1+ 2
-------------------------------------------------------------------------------------------------- -
LIF CST SAL–
LIF LIF 1+2
------------------------------------------------------------
FSTYR
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