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) | ||
| Technical features of 3-month lag index-linked gilts | ||
| Formulae for Calculating Gilt Prices from Yields - 3rd edition (for examples see documents from 8 June 1998 and 13 June 2005) | ||
| Method for calculating cash flows on index-linked gilts (last updated on 8 December 2005) | ||
| Price/yield and Accrued Interest Calculation Examples | ||
| Price/yield calculation examples for gilt strips (Excel format) | ||
| UK Bank Holiday series (Excel format) |
Available below are previous versions of documents on calculating gilt prices from yields.
Archive of Previous Formulae and Examples Documents
| Title | Size | Date Published |
|---|---|---|
| Methodology for calculating the first dividend payment and the accrued interest for 2% Index-linked Treasury Stock 2035 | ||
| Accrued Interest Calculations on 4¼% Treasury Stock 2032 until 7 December 2000 | ||
| GEMMA Reference Prices - Calculation Methodology (last updated on 8 July 2015) | ||
| Accrued Interest and Coupon Calculations for Floating Rate Gilts | ||
| Bank of England publication: Changes to Gilt Market Trading Conventions | ||
| Formulae for Calculating Gilt Prices from Yields - 2nd edition (last updated on 15 January 2002) | ||
| Formulae for Calculating Gilt Prices from Yields - 1st edition (last updated on 01 November 1998) | ||
| Bank of England: Formulae for Calculating Gilt Prices from Yields |