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.

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