FGN bond calculator
Price an FGN bond from its yield, or find its yield from the price, with accrued interest, duration and every remaining coupon.
- Dirty priceClean price plus accrued interest
- 101.0805
- Accrued interestPer ₦100, since the last coupon
- 2.1335
- Settlement amountFor ₦1,000,000 face value
- ₦1,010,804.79
- Current yieldCoupon ÷ clean price
- 16.9687%
- Macaulay durationYears
- 5.0187
- Modified duration% price change for a 1-point yield move
- 4.6255
- Convexity
- 33.4384
- DV01Price change per ₦100 for 0.01% of yield
- 0.0468
- Coupons remaining
- 20
- Years to maturity
- 9.88
Arithmetic on the figures entered. Not investment advice.
Remaining payments
Each coupon and the principal due after settlement, in naira, for ₦1,000,000 face value.
| Date | Coupon | Principal | Total |
|---|---|---|---|
| Mar 16, 2027 | 83,950.00 | 0.00 | 83,950.00 |
| Sep 16, 2027 | 83,950.00 | 0.00 | 83,950.00 |
| Mar 16, 2028 | 83,950.00 | 0.00 | 83,950.00 |
| Sep 16, 2028 | 83,950.00 | 0.00 | 83,950.00 |
| Mar 16, 2029 | 83,950.00 | 0.00 | 83,950.00 |
| Sep 16, 2029 | 83,950.00 | 0.00 | 83,950.00 |
| Mar 16, 2030 | 83,950.00 | 0.00 | 83,950.00 |
| Sep 16, 2030 | 83,950.00 | 0.00 | 83,950.00 |
| Mar 16, 2031 | 83,950.00 | 0.00 | 83,950.00 |
| Sep 16, 2031 | 83,950.00 | 0.00 | 83,950.00 |
| Mar 16, 2032 | 83,950.00 | 0.00 | 83,950.00 |
| Sep 16, 2032 | 83,950.00 | 0.00 | 83,950.00 |
| Mar 16, 2033 | 83,950.00 | 0.00 | 83,950.00 |
| Sep 16, 2033 | 83,950.00 | 0.00 | 83,950.00 |
| Mar 16, 2034 | 83,950.00 | 0.00 | 83,950.00 |
| Sep 16, 2034 | 83,950.00 | 0.00 | 83,950.00 |
| Mar 16, 2035 | 83,950.00 | 0.00 | 83,950.00 |
| Sep 16, 2035 | 83,950.00 | 0.00 | 83,950.00 |
| Mar 16, 2036 | 83,950.00 | 0.00 | 83,950.00 |
| Sep 16, 2036 | 83,950.00 | 1,000,000.00 | 1,083,950.00 |
How it is calculated
dirty price = Σ CFₖ ÷ (1 + y/f)^(w + k)w = days to the next coupon ÷ days in the coupon periodaccrued = face × c/f × days since the last coupon ÷ days in the periodclean price = dirty price − accruedmodified duration = Macaulay duration ÷ (1 + y/f)c coupon rate, y yield, f coupons a year, CFₖ the k-th remaining paymentFGN bonds pay a fixed coupon twice a year on the maturity date's day of the month, and repay face value at maturity. Coupon dates are counted back from maturity in six-month steps; a day past the end of a shorter month moves to its last day.
Prices are per ₦100 of face value. The quoted clean price leaves out accrued interest, counted Actual/Actual (ICMA); the buyer pays the dirty price. Yield from price is solved by bisection between −99% and 1,000%. Settlement on a coupon date carries no accrued interest, and a bond settling on or after its maturity has no price.