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 

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 

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

Enumerated Constant or an array of Enumerated Constants 

1  Act/Act (actual) 

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 




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. 

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 exdividend method is determined (if applicable). Used in conjunction with ExDayUnit. 

No ExDate. 

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 exdate of the penultimate coupon (if applicable) or on the actual day of the penultimate coupon. 

ExDate of PC 

HolidaySchedule 

Schedule of nonbusiness days (excluding weekends). 

None 






See Also oBond1_CFM( )  Generic Bond Cash Flow Map Function 1 
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