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Chapter 5. Bonds. Manual for SOA Exam FM/CAS Exam 2.
 

Summary: 1/10
Chapter 5. Bonds.
Manual for SOA Exam FM/CAS Exam 2.
Chapter 5. Bonds.
Section 5.4. Book value between coupon payments dates.
c 2009. Miguel A. Arcones. All rights reserved.
Extract from:
"Arcones' Manual for the SOA Exam FM/CAS Exam 2,
Financial Mathematics. Fall 2009 Edition",
available at http://www.actexmadriver.com/
c 2009. Miguel A. Arcones. All rights reserved. Manual for SOA Exam FM/CAS Exam 2.
2/10
Chapter 5. Bonds. Section 5.4. Book value between coupon payments dates.
Book value between coupon payments dates
We know that the book value of a bond immediately after a
coupon payment is given by
Bk = Fran-k|i +Cn-k
= C +(Fr -Ci)an-k|i = C +C(g -i)an-k|i .
We want to determine the book value of a bond between
successive coupon dates. We use as a unit of time coupon periods.

  

Source: Arcones, Miguel A. - Department of Mathematical Sciences, State University of New York at Binghamton

 

Collections: Mathematics