## oBond3_CFM( ) Example

 Description Consider a 10-year bond that has a semi-annual coupon of 8.25%, a dated date of 1 March 1998, a first coupon date of 1 June 1998, a maturity date of 1 June 2008, and a face value of \$100,000. The bond discounts all cash flows on an Actual/365 JGB basis and accrues interest on a Actual/Actual (bond) basis. Yield is calculated on a semi-annual compounding basis. There is no ex-dividend period, cash flows are rounded to 12dp, and cash flows that fall on a non-business day are not adjusted. Coupons are exact and the bond is priced using the ISMA formula. Generate the cash flow map of this bond assuming a settlement date of 1 March 2003. Function Specification =oBond3_CFM({"1/3/03", "1/3/1998", "1/6/1998", "", "1/6/2008"}, 100000, 0.0825, 2, 2, 1, 1, 1, {6, 2}, 1, , 2, 12, 0, 2, , 0) Parameter Name Parameter Value Settlement Date 1/3/2003 Dated Date 1/3/1998 First Coupon Date 1/6/1998 Penultimate Coupon Date Maturity Date 1/6/2008 Face Value 100000 Coupon Rate 0.0825 Coupon Frequency 2 Compounding Frequency 2 Business Day Convention 1 Yield Method 1 Final Period Yield Method 1 Discount Basis 6 Accrual Basis 2 ExDate Convention 1 ExDay Unit Coupon Type 2 PPH Rounding 12 Adjusted End of Month 0 Final Period Start 2 Holiday Schedule Output Flag 0 Solution The following results are obtained: Nominal Date Actual Date Coupon Amount (\$) Face Value (\$) Total Cash Flow (\$) Number of Days 1/6/03 1/6/03 4,113.6986 0.0000 4,113.6986 182 1/12/03 1/12/03 4,136.3014 0.0000 4,136.3014 183 1/6/04 1/6/04 4,136.3014 0.0000 4,136.3014 183 1/12/04 1/12/04 4,125.0000 0.0000 4,125.0000 183 1/6/05 1/6/05 4,113.6986 0.0000 4,113.6986 182 1/12/05 1/12/05 4,136.3014 0.0000 4,136.3014 183 1/6/06 1/6/06 4,113.6986 0.0000 4,113.6986 182 1/12/06 1/12/06 4,136.3014 0.0000 4,136.3014 183 1/6/07 1/6/07 4,113.6986 0.0000 4,113.6986 182 1/12/07 1/12/07 4,136.3014 0.0000 4,136.3014 183 1/6/08 1/6/08 4,136.3014 100,000.0000 104,136.3014 183 For further details on how the above prices and statistics are calculated, see the ISMA formula.