Yany preguntado en Negocios y finanzasFinanzas · hace 1 década

¿como se calcula el precio limpio y el precio sucio de un bono?

estoy haciendo unos ejercicios de calculo del precio de bonos, y uno pide sacar el precio limpio y sucio, yo el precio del bono ya lo saque, pero no puedo encontrar las formulas para sacar estos dos. Si alguien tiene idea como se calcula se lo agradecería muchísimo.

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Calificación
  • hace 1 década
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    Determining Interest Accrued

    Accrued interest is the fraction of the coupon payment that the bond seller earns for holding the bond for a period of time between bond payments. The bond price's inclusion of any interest accrued since the last payment period determines whether the bond's price is "dirty" or "clean." Dirty bond prices include any accrued interest that has accumulated since the last coupon payment while clean bond prices do not. In newspapers, the bond prices quoted are often clean prices.

    However, because many of the bonds traded in the secondary market are often traded in between coupon payment dates, the bond seller must be compensated for the portion of the coupon payment he or she earns for holding the bond since the last payment. The amount of the coupon payment that the buyer should receive is the coupon payment minus accrued interest. The following example will make this concept more clear.

    Example 3: On March 1, 2003, Francesca is selling a corporate bond with a face value of $1,000 and a 7% coupon paid semi-annually. The next coupon payment after March 1, 2003, is expected on June 30, 2003. What is the interest accrued on the bond?

    1. Determine the Semi-Annual Coupon Payment: Because the coupon payments are semi-annual, divide the coupon rate in half, which gives a rate of 3.5% (7% / 2). Each semi-annual coupon payment will then be $35 ($1,000 X 0.035).

    2. Determine the Number of Days Remaining in the Coupon Period: Because it is a corporate bond, we will use the 30/360 day-count convention.

    Time Period = Days Counted

    March 1-30 = 30 days

    April 1-30 = 30 days

    May 1-30 = 30 days

    June 1-30 = 30 days

    Total Days = 120 days

    There are 120 days remaining before the next coupon payment, but because the coupons are paid semi-annually (two times a year), the regular payment period if the bond is 180 days, which, according to the 30/360 day count, is equal to six months. The seller, therefore, has accumulated 60 days worth of interest (180-120).

    3. Calculate the Accrued Interest: Accrued interest is the fraction of the coupon payment that the original holder (in this case Francesca) has earned. It is calculated by the following formula:

    In this example, the interest accrued by Francesca is $11.67. If the buyer only paid her the clean price, she would not receive the $11.67 to which she is entitled for holding the bond for those 60 days of the 180-day coupon period.

    Now you know how to calculate the price of a bond, regardless of when its next coupon will be paid. Bond price quotes are typically the clean prices, but buyers of bonds pay the dirty, or full price. As a result, both buyers and sellers should understand the amount for which a bond should be sold or purchased. In addition, the tools you learned in this section will better enable you to learn the relationship between coupon rate, required yield and price as well as the reasons for which bond prices change in the market.

    Fuente(s): Acá en este link vas a encontrar de donde lo saqué y la fórmula para el interés que ya pasó para que le puedas calcular el precio sucio o el limpio. También tenés el libro de Fabozzi que es exelente para bonos por si lo podés conseguir. http://www.investopedia.com/university/advancedbon...
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