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Bond Function Parameters

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 pre-defined.

For further information on the generic bond functions: oBond1, oBond2 and oBond3

For further information on the sovereign bond functions

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 non-business 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 non-standard 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.

Ex-Date Convention

Basis for which the ex-dividend method is determined, e.g. business days, calendar days, day of month etc.

Ex-Day Unit

The number of days/months prior to a coupon payment during which the bond trades ex-dividend. Can also be the day of the month which the bond begins to trade ex-dividend (depending on the Ex-Date 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 ex-dividend period will have a constant ex-dividend date (ExDate).

Final Period Start

Basis for determining if the final period starts on the ex-date (if applicable) or the actual date of the penultimate coupon.

Holiday Schedule

A schedule of non-business 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.

 

 

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