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oMMcpn_Price( ) - Coupon Bearing MM Instrument Price Function

Component

Resolution - Bond Pricing

 

 

Function Definition

oMMcpn_Price(Yield, SettlementDate, DatedDate, MaturityDate, Principal, CouponRate, AccrualConvention, OutputFlag)

Returns the instrument's clean price, dirty price, accrued interest, yield, coupon amount, as well as the risk statistics.

 

 

Bond Types

Coupon bearing money market instruments.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

Yield

 

The redemption yield for the instrument.

 

Double

Yield >= 0

SettlementDate

 

Valuation date of the instrument.

 

Date

 

SetDate < MatDate
SetDate
>DatedDate

DatedDate

 

Date on which the instrument begins to accrue interest.

 

Date

 

DatedDate<MatDate

MaturityDate

 

Maturity date of the instrument.

 

Date

 

MatDate > DatedDate

Principal

 

Redemption value for the instrument paid at maturity.

Double

 

Principal >= 0

CouponRate

Coupon rate of the instrument, expressed as a decimal.

 

Double

Coupon Rate >= 0

AccrualConventoin

 

Day basis for determining accrued interest and length of discounting period.

 

Enumerated Constant

 

1 - Act/360
2 - Act/365
3 - Act/Act

OutputFlag

 

Flags the output to be returned from the function. Entering a 0 will output: Yield, Clean Price, Accrued Interest, Dirty Price, Coupon Amount, Macaulay Duration, Modified Duration, Convexity, and Price Value of a Basis Point. Entering a 5 will output: Macaulay Duration, Modified Duration, Convexity, and Price Value of a Basis Point.

 

Enumerated Constant

 

0 - All eight outputs
1 - Clean Price only
2 - Acc Interest only
3 - Dirty Price only
4
- Coupon Amount
5 - Risk Statistics
6 - Mac Duration
7 - Mod Duration
8 - Convexity only
9 - PVBP only

 

 

 

 

 

 

 

See Also

Parameter Types

Money Market Function Parameters

oMMcpn_Yield( ) - Coupon Bearing MM Instrument Yield Function

oMMdisc_Price( ) Example

oBond3_Price( ) - Generic Bond Price Function 3

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