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oBond1_Price( ) - Generic Bond Price Function 1

Component

Resolution - Bond Pricing

 

 

Function Definition

oBond1_Price(Yield, SettlementDate, DatedDate, MaturityDate, FaceValue, CouponRate, CouponFreq, DaysBasis, OutputFlag)

Calculates bond price using the a generic bond pricing solution. Returns the bond's clean price, dirty price, accrued interest, as well as the risk statistics.

This function is a simplified version of the oBond3_Price( ) Function with several parameters set to default values (see note below).

 

Bond Types

All bonds. No pricing conventions are assumed.

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

Yield

 

The redemption yield for the bond

 

Double

Yield >= 0

SettlementDate

 

Valuation date of the bond.

Date

SetDate < MatDate
SetDate
>DatedDate

DatedDate

 

Date on which the bond begins to accrue interest.

Date

DatedDate<MatDate

MaturityDate

 

Maturity date of the bond.

Date

 

MatDate>DatedDate

FaceValue

 

Redemption value for the bond paid at maturity.

 

Double

 

FaceValue >= 0

CouponRate

 

Coupon rate of the bond, expressed as a decimal.

 

Double

Coupon Rate >= 0

CouponFreq

 

Frequency of coupons per annum.

Enumerated Constant

 

 

1 - Annual
2 - Semi-Annual
3 - Quarterly
4 - Monthly

DaysBasis

 

Array of two Enumerated Constants

Discount Basis: Basis for determining present and future values of cash flows

Accrual Basis: Basis for determining accrued interest

see Day Count Conventions

If both conventions are identical then just enter a single Enumerated Constant

 

Enumerated Constant or an array of Enumerated Constants

 

1 - Act/Act (actual)
2 - Act/Act (bond)
3 - Act/360
4 - Act/365
5 - Act/365 ISDA
6 - Act/365 JGB (NL)
7 - 30/360 ISDA
8 - 30/360 PSA
9 - 30E/360
10 - 30E+/360
11 - Act/365L

OutputFlag

 

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function. Entering a 0 will output: Yield, Clean Price, Accrued Interest, Dirty Price, Macaulay Duration, Modified Duration, Convexity, and Present Value of a Basis Point. Entering a 4 will output: Macaulay Duration, Modified Duration, Convexity, and Present Value of a Basis Point.

 

Enumerated Constant

 

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

 

 

Default Settings

 

 

 

Parameter

 

Description

 

Value

FirstCpnDate

 

Date that the first coupon is paid (if bond does not have an odd first period, leave blank)

 

None

PenultCpnDate

 

Date that the penultimate coupon is paid (if bond does not have an odd last period, leave blank)

 

None

CompoundingFreq

 

Number of compounding periods per annum, relating to quoted yield.

 

Annual

BusinessDayCon

 

Business day convention for coupon payment dates.

see Business Day Conventions

 

No Adjustment

YieldMethod

 

Yield convention for all coupon periods except for the final period.

 

Compound Yield

PFYieldMethod

 

Yield convention for the final period.

 

Compound Yield

ExDateConvention

 

Basis for which the ex-dividend method is determined (if applicable). Used in conjunction with ExDayUnit.

see Ex-Dividend Conventions

 

No Ex-Date.

CouponType

 

Flags whether coupons are 'equal' throughout bond schedule or are 'exact'. Exact coupons vary according to number of days in coupon period.

 

Equal Coupons

PPHRounding

 

Array of 3 entries indication the number of decimal places the following outputs are to be rounded to: Clean Price, Accrued Interest, and Dirty Price.

Or a single entry if all are following the same rounding convention.

 

12

AdjEndOfMonth

 

If coupons falls at end of month, do you wish to adjust all other coupons to fall at end of month accordingly?

 

No

FinalPeriodStart

 

Determines whether the final period starts on the ex-date of the penultimate coupon (if applicable) or on the actual day of the penultimate coupon.

 

Ex-Date of PC

HolidaySchedule

 

Schedule of non-business days (excluding weekends).

 

None

 

 

 

 

 

See Also

Parameter Types

oBond1_CFM( ) - Generic Bond Cash Flow Map Function 1

oBond1_EYield( ) - Generic Bond Equivalent Yield Function 1

oBond1_Yield( ) - Generic Bond Yield Function 1

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