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oMMdisc_Yield( ) - Discount MM Instrument Yield Function

Component

Resolution - Bond Pricing

 

 

Function Definition

oMMdisc_Yield(Price, YieldType, SettlementDate, MaturityDate, Principal, AccrualConvention, OutputFlag)

Returns the instrument's fair value, dollar discount, days to maturity, as well as the risk statistics.

 

 

Bond Types

Discount money market instruments.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

Price

 

Price per one hundred (PPH) of the instrument.

 

Double

Price >= 0

YieldType

 

Flags whether a yield or a discount rate is used when pricing the instrument.

 

Enumerated Constant

 

1 = Yield
2 = Discount Rate

SettlementDate

 

Valuation date of the instrument.

 

Date

 

SetDate < MatDate

MaturityDate

 

Maturity date of the instrument.

 

Date

 

MatDate > SetDate

Principal

 

Redemption value for the instrument paid at maturity.

Double

 

Principal >= 0

AccrualBasis

 

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: The YieldType Parameter (Yield or Discount Rate), Dollar Discount, Days to Maturity, 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 seven outputs
1 - Yield or DiscRate
2 - Dollar Discount
3 - Days to Maturity
4 - Risk Statistics
5 - Mac Duration
6 - Mod Duration
7 - Convexity only
8 - PVBP only

 

 

 

 

 

 

 

See Also

Parameter Types

Money Market Function Parameters

oMMcpn_Yield( ) - Coupon Bearing MM Instrument Yield Function

oMMdisc_Price( ) - Discount MM Instrument Price Function

oBond3_Yield( ) - Generic Bond Yield Function 3

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