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) 38KB 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