convert yield (act/365) to yield (act/act) excel

bonosmate · November 28th, 2011, 2:44 pm

hi, i've searched the web all morning for a simple way of converting yield (act/365) to yield (act/act) in excel. Is there any simple way? I've calulcated a yield using the xirr function in excel but now i want to convert this yield from a act/365 daycount to a act/act daycount.

daveangel · November 28th, 2011, 2:53 pm

price a zero coupon bond using the yield and act/365 (use the PRICE function) and then calculate the yield using the YIELD function and specify act/act ?

bonosmate · November 28th, 2011, 3:18 pm

thanks daveangel.....im not getting the difference i would expect......0.000000000615%. The convention i need to get to is Act/Actual (ICMA)

daveangel · November 28th, 2011, 3:24 pm

what is the ICMA convention ?

bonosmate · November 28th, 2011, 3:46 pm

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bonosmate · November 30th, 2011, 7:37 am

QuoteOriginally posted by: daveangelprice a zero coupon bond using the yield and act/365 (use the PRICE function) and then calculate the yield using the YIELD function and specify act/act ?if my underlying bond has a long first period, would this approach still work?