Fixed Income Securities Formulas
Price, Yield, and Accrued Interest
This Fourth Edition of Volume 1 is an update of the 1993 third edition, plus additional new material. As with the prior three editions, the book
contains the industry standard formulas and discussions of calculating techniques, for the
computation of yields and prices for municipal, corporate, money market, US. Government and Federal Agency fixed income securities.
New and updated in the Fourth Edition:
- Formulas have been added for Coupon Bearing Certificates of Deposit.
- Formulas have been added for Payment in Kind (PIK) securities.
- The 30/360 Day Count Basis methodology has been adjusted to consider coupon payment
cycles (End-of-Month rule).
- A section detailing how to calculate the component parts of a coupon period, including quasi-coupons, has been added.
- Information from the U.S. Treasury on calculations for Treasury securities in the primary market has been added.
- MSRB Rule G-33 information has been changed to reflect the 2016 rule modification whereby the number of
coupons per year are considered in calculations.
- All of the calculation examples and Benchmarks have been updated to reflect current generally accepted practices and calculation rules.
For more details on Volume 1 and the updates and new additions, including samples, or to purchase a subscription, please visit