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Introduction to Bond Pricing

The Bond Pricing component provides coverage of 20 sovereign government bonds, together with generic bond functions that allow users to determine a bond's price, yield, equivalent yields, and cash flow map with any combination of the various pricing conventions. The bond markets covered in this development are the same as those included in the JP Morgan Government Bond Index, and comprise the following countries (and bond series):

Country

Bond Type

 

 

 

Australia (AU)

CGB's

 

Austria (AT)

Bunds

 

Belgium (BE)

OLO's

 

Canada (CA)

CAD's

 

Denmark (DK)

DGB's

 

Finland (FI)

Markkas

 

France (FR)

OAT's

 

Germany (DE)

Bunds

 

Ireland (IE)

IGB's

 

Italy (IT)

BTPs

 

Japan (JP)

JGB's

 

Netherlands (NL)

DSL's

 

New Zealand (NZ)

NZG's

 

Portugal (PT)

OT's

 

South Africa (ZA)

Gilts

 

Spain (ES)

Bonos

 

Sweden (SE)

Statssobligations

 

Switzerland (CH)

SGB's

 

United Kingdom (GB)

Gilts

 

United States (US)

T-Bonds

 

 

The two-letter alphabetic country codes are based on an international standard and are sourced from, the "Codes for the Representation of Names of Countries (ISO 3166-1993 (E)), American National Standards Institute, Inc".

 

Each of the sovereign bonds, as well as the generic bonds, has 4 associated functions. These are the Price, Yield, Equivalent Yield, and Cash Flow Map functions. The outputs for each function are summarized in the following table (see Bond Functions for a detailed description):

 

Price Output

Yield Output

Equivalent Yield Output

Cash Flow Map Output

 

Clean Price

Yield

Annual Yield

CF Dates (nominal)

Accrued Interest

Accrued Interest

Semi-Annual Yield

CF Dates (actual)

Dirty Price

Dirty Price

Quarterly Yield

Coupon Amount

Macaulay Duration

Macaulay Duration

Monthly Yield

Face Value

Modified Duration

Modified Duration

True Yield

Total Cash Flow

Convexity

Convexity

US Street Yield

Next CF Date

Price Value of Basis Point

Price Value of Basis Point

US Treasury Yield

Number of Days in Coupon Period

 

 

JGB Simple Yield

Previous CF Date

 

 

Money Market a/360

Days to Maturity

 

 

Money Market a/365

Years to Maturity

 

 

 

Days to Next Coupon

 

 

 

Days Accrued

 

 

 

No. of Cash Flows

 

 

Next Ex-Div Date

 

 

 

Days in Period (actual)

 

 

 

Days in Period (accrued)

 

 

 

 

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