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oBondPT_Price( ) - Portuguese Government Bond Price Function

Component

Resolution - Bond Pricing

 

 

Function Definition

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

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

 

 

Bond Types

Portuguese Government bonds (OT's).

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

Yield

 

The redemption yield for the bond.

 

Double

Yield >= 0

Settlement Date

 

Valuation date of the bond.

 

Date

 

SetDate < MatDate
SetDate >DatedDate

Dated Date

 

Date on which the bond begins to accrue interest.

 

Date

 

DatedDate<MatDate

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.

 

Date

 

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

Maturity Date

 

Maturity date of the bond.

 

Date

 

MatDate > DatedDate

Face Value

 

Redemption value for the bond paid at maturity.

Double

 

FaceValue >= 0

Coupon Rate

 

Coupon rate of the bond, expressed as a decimal.

 

Double

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 Price Value of a Basis Point. Entering a 4 will output: Macaulay Duration, Modified Duration, Convexity, and Price 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

Portuguese (OT's) Bond Pricing Conventions

oBond3_Price( ) - Generic Bond Price Function 3

oBondPT_Yield( ) - Portuguese Government Bond Yield Function

oBondPT_CFM( ) - Portuguese Government Bond Cash Flow Map Function

oBondPT_EYield( ) - Portuguese Government Bond Equivalent Yield Function

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