Skip to content
All library documents

Correcting a Treasury Bond Benchmark Price for an Errata

Article Quant Q&A · Author: Magnyz
Read the original

Summary

This exchange addresses a small discrepancy in a Treasury bond pricing implementation checked against the Securities Industry Association’s standard calculation examples. The question describes a bond with irregular first and last coupon periods and reports a mismatch between the calculated price and the printed benchmark.

The response says the cited benchmark is incorrect and attributes the discrepancy to a published erratum. It gives the corrected price from a later printing, showing why benchmark provenance and edition matter when validating bond calculations. The exchange does not explain the pricing algorithm or independently derive the correction, so it is useful as a reference-checking lesson rather than a full method for pricing irregular-coupon Treasuries.

Key ideas

  • A printed benchmark can contain errors, so confirm it against errata or a corrected edition.
  • The example concerns Treasury pricing with irregular first and last coupon periods.
  • The reply identifies the original benchmark as incorrect and supplies a corrected value from a later printing.

Tags

Fixed incomeUS marketsDerivatives pricing
Full text
# issue with benchmarks in "standard securities calculation methods"


# issue with benchmarks in "standard securities calculation methods"












I wonder if anyone is using the benchmark cases in "Standard securities calculation methods" issued by Securities Industry Association (Vol 1, 3rd ed.) to calibrate their implementations for US Treasuries. My impression is that this is still an important reference in the industry. I have some problems to verify a few cases (ex. #18) and would really like to discuss this with someone. Thanks.

Edit: adding details on example 18

case #18A Benchmark result for price is 90.422798. My result is 90.422450. Small diff, yes, but these are benchmarks to verify an implementation so need to match all decimals (providing benchmark is ok which I actually doubt it is after spending some time with this). FYI, it is a case with odd first and odd last periods.

```
Type: Treasury bond
Settledate: 10/12/92
Maturity: 06/15/20
Issuedate: 08/01/92
Fistcpndate: 12/31/92
Lastcpndate: 12/31/19
Daycount: ActAct
Freq: semi-ann
Cpnrate: 5.75%
Yield: 6.5%
```

## Answer by user50494 (score 4)

https://quant.stackexchange.com/a/58767

90.422798 is not the correct value for price for Benchmark 18A. If you were the original purchaser of the book in 1993 you would have received an errata correcting that benchmark. If you have a second printing from 1996 it contains the correct value for price of 99.422450.

I hope that helps.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.