Formulae and Examples
This page provides the official DMO gilt market formulae along with some examples, and other technical documents.
Please note that the information below is provided on a “best endeavours” basis. Users are referred to the website’s Terms of Use.
Title | Size | Date Published |
---|---|---|
Price/yield, Accrued Interest and Dividend Calculation Examples for 3-month lag index-linked gilts (Excel format) | 68KB | 13 Jun 2005 |
Technical features of 3-month lag index-linked gilts | 271KB | 15 Apr 2005 |
Formulae for Calculating Gilt Prices from Yields - 3rd edition (for examples see documents from 8 June 1998 and 13 June 2005) | 212KB | 16 Mar 2005 |
Method for calculating cash flows on index-linked gilts (last updated on 8 December 2005) | 170KB | 10 Jul 2002 |
Price/yield and Accrued Interest Calculation Examples | 24KB | 8 Jun 1998 |
Price/yield calculation examples for gilt strips (Excel format) | 25KB | N/A |
UK Bank Holiday series (Excel format) | 56KB | N/A |
Available below are previous versions of documents on calculating gilt prices from yields.
Archive of Previous Formulae and Examples Documents
Title | Size | Date Published |
---|---|---|
Methodology for calculating the first dividend payment and the accrued interest for 2% Index-linked Treasury Stock 2035 | 38KB | 23 Aug 2002 |
Accrued Interest Calculations on 4¼% Treasury Stock 2032 until 7 December 2000 | 26KB | 16 May 2000 |
GEMMA Reference Prices - Calculation Methodology (last updated on 8 July 2015) | 92KB | 9 Jun 1999 |
Accrued Interest and Coupon Calculations for Floating Rate Gilts | 211KB | 26 Nov 1998 |
Bank of England publication: Changes to Gilt Market Trading Conventions | 55KB | 18 Feb 1998 |
Formulae for Calculating Gilt Prices from Yields - 2nd edition (last updated on 15 January 2002) | 104KB | 15 Jan 2002 |
Formulae for Calculating Gilt Prices from Yields - 1st edition (last updated on 01 November 1998) | 115KB | 08 Jun 1998 |
Bank of England: Formulae for Calculating Gilt Prices from Yields | 123KB | Dec 1997 |