Hello,I have a puzzle with the calculation of YTM of bonds.With the coupon rates, maturity date given by somewebsites, I calculated the YTMs of bonds. But these YTMs are not consistent with the data on these sites.I used exponential compound rate Exp[-r*t] and annual compound rate (1+r)^t to do calculation. Neither of them fits the data. For example, here is the today's data for a bond issed by CocaCoupon Maturity Price YTM5.750 11-01-2008 101.743 5.040With exponential compound rate, 5.750/2 * Exp[-r*65/360] + 5.750/2 * Exp[-r*65/360-0.5r] + 5.750/2 * Exp[-r*65/360 - r] + 5.750/2 * Exp[-r*65/360 - 1.5r] + 5.750/2 * Exp[-r*65/360 - 2r] + 5.750/2 * Exp[-r*65/360 - 2.5r] + 100 *Exp[-r*65/360 - 2.5r] = 101.743, I get the YTM r = 5.7024;With annual compund rate,5.750/2 /(1+r)^(65/360) + 5.750/2 /(1+r)^(0.5+65/360) + 5.750/2 /(1+r)^(1+65/360) + 5.750/2 /(1+r)^(1.5+65/360) + 5.750/2 /(1+r)^(2+65/360) + 5.750/2 /(1+r)^(2.5+65/360) + 100 /(1+r)^(2.5+65/360) = 101.743,I get the YTM r = 5.8681Will anyone help me understand what a convention is adopted by the websites to get the YTM? Many thanks!

What's the coupon frequency?Is your date format MM-DD-YYYY or DD-MM-YYY?What is the date count convention? Actual/360, actual/actual etc etcWhen is the settlement date? Is it settling today (24th Fri) or is it priced as if it settled yesterday or some future date next week?Have you tried the bond price functions in Excel ?

The date format is MM-DD-YYYY.I used actual/360. Even if I use actual/actual, the results don'e make much difference.Thanks for your reply.The coupono is semi-annual.Here is the description. It's from www.bondpage.comCOCA COLA ENTERPRISES INC Coupon: 5.750 Non Callable Maturity: 11-01-2008 Description CUSIP: 191219BF0 Industry: Industrial Pay Frequency: Semi-Annual Listed: No Dated Date: 11-02-1998 First Coupon: 05-01-1999 Ratings: A2/A Delivery: Registered Only Call Schedule: Non Callable Payment Months: May,Nov This if from yahoo: Price Coupon Maturity YTMCOCA 102.12 5.750 1-Nov-2008 4.890If I use actual/360 and exponential compound rate, the YTM is 5.5531.

Bond yields are quoted with semi-annual compounding in the US. So redo your computation usingsemi-annual compounding. It would also help to clearly specify the settlement date for the quotation.Yield from price is calculated in an iterative fashion (typically using a Newton Raphson scheme) since thebond price equation is a polynomial equation that cannot be solved analytically for yield in terms of theother parameters (unless the bond has only one coupon payment left). The idea is to vary the yielduntil the computed price equals the observed market price.

Bond prices are quoted as "clean" prices, which is the "dirty" price (the sum of the PVs of the cashflows discounted to the settlement date) minus accrued interest as of the settlement date.I strongly suggest you take OzQuant's advice, bring up the function wizard in Excel, and look at the function help messages for PRICE() and YIELD().

Thank you for your valuable advices.I tried Excel, with a rough view, it seems as what you said. From the help of function price, we can see semi-annual compounding is used. Many many thanks!