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Gilt Market

Formulae and Examples

This page provides the official DMO gilt market formulae along with some examples, and other technical documents. The DMO is working on making more such information available on this page and welcomes any suggestions you may have.

Please note that the information below is provided on a “best endeavours” basis. Users are referred to the website’s Terms of Use. In the unlikely event that any errors are found, or if you have any suggestions for additional material for this page, please e-mail DMO's Research Team.

TitleSizeDate Published
Price/yield, Accrued Interest and Dividend Calculation Examples for 3-month lag index-linked gilts (Excel format)
68KB
13 Jun 2005
PDFTechnical features of 3-month lag index-linked gilts
271KB
15 Apr 2005
PDFFormulae for Calculating Gilt Prices from Yields - 3rd edition (for examples see documents from 8 June 1998 and 13 June 2005)
212KB
16 Mar 2005
PDFMethod for calculating cash flows on index-linked gilts (last updated on 8 December 2005)
170KB
10 Jul 2002
PDFPrice/yield and Accrued Interest Calculation Examples
24KB
8 Jun 1998
Price/yield calculation examples for gilt strips (Excel format)
25KB
N/A
UK Bank Holiday series (Excel format)
38KB
N/A

Available below are previous versions of documents on calculating gilt prices from yields.

Archive of Previous Formulae and Examples Documents

TitleSizeDate Published
PDFMethodology for calculating the first dividend payment and the accrued interest for 2% Index-linked Treasury Stock 2035
38KB
23 Aug 2002
PDFAccrued Interest Calculations on 4¼% Treasury Stock 2032 until 7 December 2000
26KB
16 May 2000
PDFGEMMA Reference Prices - Calculation Methodology (last updated on 8 July 2015)
92KB
9 Jun 1999
PDFAccrued Interest and Coupon Calculations for Floating Rate Gilts
211KB
26 Nov 1998
PDFBank of England publication: Changes to Gilt Market Trading Conventions
55KB
18 Feb 1998
PDFFormulae for Calculating Gilt Prices from Yields - 2nd edition (last updated on 15 January 2002)
104KB
15 Jan 2002
PDFFormulae for Calculating Gilt Prices from Yields - 1st edition (last updated on 01 November 1998)
115KB
08 Jun 1998
PDFBank of England: Formulae for Calculating Gilt Prices from Yields
123KB
Dec 1997

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