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oBondAU_Price( ) - Australian Government Bond Price Function


Resolution - Bond Pricing



Function Definition

oBondAU_Price(Yield, Settlement Date, DatedDate, FirstCpnDate, MaturityDate, FaceValue, CouponRate, OutputFlag)

Calculates bond price using the Australian Government bond pricing conventions. Returns the bond's clean price, dirty price, accrued interest, as well as the risk statistics.



Bond Types

Australian Government bonds (CGB's).



Function Parameters





Parameter Type






The redemption yield for the bond.



Yield >= 0

Settlement Date


Valuation date of the bond.




SetDate < MatDate

Dated Date


Date on which the bond begins to accrue interest.





First CpnDate


Date that the first coupon is paid. Only required if bond has an odd first coupon period. If not required, leave either blank or enter 0 as the date.




F.C.D > DatedDate
F.C.D < MatDate

Maturity Date


Maturity date of the bond.




MatDate > DatedDate

Face Value


Redemption value for the bond paid at maturity.



FaceValue >= 0

Coupon Rate

Coupon rate of the bond, expressed as a decimal.



Coupon Rate >= 0

Output Flag


Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function. Entering a 0 will output: Yield, Clean Price, Accrued Interest, Dirty Price, Macaulay Duration, Modified Duration, Convexity, and Present Value of a Basis Point. Entering a 4 will output: Macaulay Duration, Modified Duration, Convexity, and Present Value of a Basis Point.


Enumerated Constant


0 - All eight outputs
1 - Clean Price only
2 - Acc Interest only
3 - Dirty Price only
4 - Risk Statistics
5 - Mac Duration
6 - Mod Duration
7 - Convexity only
8 - PVBP only








See Also

Parameter Types

Australian (CGB's) Bond Pricing Conventions

oBond3_Price( ) - Generic Bond Price Function 3

oBondAU_Yield( ) - Australian Government Bond Yield Function

oBondAU_CFM( ) - Australian Government Bond Cash Flow Map Function

oBondAU_EYield( ) - Australian Government Bond Equivalent Yield Function

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