Component |
Resolution - Bond Pricing |
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Function Definition |
oBondCH_Price(Yield, Settlement Date, DatedDate, FirstCpnDate, MaturityDate, FaceValue, CouponRate, OutputFlag) Calculates bond price using the Swiss Government bond pricing conventions. Returns the bond's clean price, dirty price, accrued interest, as well as the risk statistics. |
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Bond Types |
Switzerland Government bonds (SGB's). |
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Function Parameters |
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Parameters |
Description |
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Parameter Type |
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Restrictions |
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. |
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Yield |
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The redemption yield for the bond. |
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Double |
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Yield >= 0 |
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Settlement Date |
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Valuation date of the bond. |
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Date |
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SetDate < MatDate |
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Dated Date |
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Date on which the bond begins to accrue interest. |
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Date |
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DatedDate<MatDate |
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First CpnDate |
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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. |
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Date |
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F.C.D > DatedDate |
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Maturity Date |
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Maturity date of the bond. |
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Date |
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MatDate > DatedDate |
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Face Value |
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Redemption value for the bond paid at maturity. |
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Double |
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FaceValue >= 0 |
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Coupon Rate |
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Coupon rate of the bond, expressed as a decimal. |
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Double |
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Coupon Rate >= 0 |
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Output Flag |
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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. |
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Enumerated Constant |
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0 - All eight outputs |
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Copyright 2013 Hedgebook Ltd.