There are four different groups of Bond Functions. The first of these are the oBond3 functions which have no preset conventions allowing complete customization of all parameters. The next are the oBond2 functions which have some of the conventions preset to allow for simplified use followed by the oBond1 functions which have further simplification. Finally there are the sovereign bond functions which have all relevant conventions predefined. For further information on the generic bond functions: oBond1, oBond2 and oBond3 
Parameter 
Definition 


Price Method 
Indicates whether the function takes a price or a yield input. 
Price/Yield 
Clean price (dirty price less accrued interest) or the yield of the bond. Note, must be consistent with the Price Method parameter. 
Yield 
The annual nominal redemption yield. 
Settlement Date 
Valuation date of the bond. 
Dated Date 
The day the bond begins to accrue interest. Can be a nonbusiness day. 
First Coupon Date 
This signifies whether the first coupon payment is larger than normal to compensate for a long first coupon period, is smaller than normal to compensate for a short first coupon period, or is zero (and thereby creating a (normal) first period). Note, all bonds have this feature, and it is implemented by setting the FirstCpnDate parameter to a date that creates an odd first period. 
Penultimate Coupon Date 
Indicates bonds that have a nonstandard last coupon period length. Note, only the generic functions support this feature, and it is implemented by setting the PenultCpnDate parameter to a date that creates an odd last period. 
Maturity Date 
Maturity date of the bond. 
Face Value 
Par value of the bond at maturity. 
Coupon Rate 
The annual coupon rate, expressed as a decimal. 
Coupon Frequency 
Defines the number of notional coupon payments per annum. 
Compounding Frequency 
Defines the Number of compounding periods per annum, relating to quoted yield. Will in most cases be identical to the coupon frequency, but can be used to set a compounding frequency for yield calculations that differs from the coupon frequency. 
Business Day Convention 
Business day convention for coupon payments dates. 
Yield Method 
Basis for which the yield is calculated in all periods except for the final period. 
Final Period Yield Method 
Basis for which the yield is calculated for bonds in their final period. 
Discount Basis 
Basis for determining the day count for discounting purposes. 
Accrual Basis 
Basis for determining accrued interest. 
ExDate Convention 
Basis for which the exdividend method is determined, e.g. business days, calendar days, day of month etc. 
ExDay Unit 
The number of days/months prior to a coupon payment during which the bond trades exdividend. Can also be the day of the month which the bond begins to trade exdividend (depending on the ExDate Convention). 
Coupon Type 
Basis for determining if coupons are 'equal' throughout the bond schedule or are 'exact'. Exact coupons vary according to the number of days in the coupon period. 
PPHRounding 
Controls the rounding applied to clean price, accrued interest, dirty price and yield of the bond. Most sovereign Government bonds have their PPHRounding convention set to 12 decimal places. 
Adjusted End of Month 
Basis for forcing coupons to fall at the end of a month or to fall on the same day of the month (which is standard for most sovereign Government bonds). If the coupon falls on the same day of the month, then bonds that have an exdividend period will have a constant exdividend date (ExDate). 
Final Period Start 
Basis for determining if the final period starts on the exdate (if applicable) or the actual date of the penultimate coupon. 
Holiday Schedule 
A schedule of nonbusiness days (excluding weekends). Required if there is a business day convention other than 'no adjustment'. 
Output Flag 
Determines which output(s) the function is to return. 


Copyright 2013 Hedgebook Ltd.