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oBondUS_Yield( ) - United States Government Bond Yield Function

Component

Resolution - Bond Pricing

 

 

Function Definition

oBondUS_Yield(CleanPrice, Settlement Date, DatedDate, FirstCpnDate, MaturityDate, FaceValue, CouponRate, OutputFlag)

Calculates the bond yield using United States Government bond pricing conventions. Returns the bond's yield, dirty price, and accrued interest, as well as the risk statistics.

 

 

Bond Types

United States Government bonds (T-Bonds).

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CleanPrice

Clean price per 100 (PPH) of the bond

 

Double

CleanPrice >= 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

Penult CpnDate

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

 

Date

 

P.C.D > DatedDate
P.C.D
> F.C.D
P.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 - Yield 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

United States (T-Bonds) Bond Pricing Conventions

oBondUS_Price( ) - United States Government Bond Price Function

oBond3_Yield( ) - Generic Bond Yield Function 3

oBondUS_CFM( ) - United States Government Bond Cash Flow Map Function

oBondUS_EYield( ) - United States Government Bond Equivalent Yield Function

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