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oBond2_EYield( ) - Generic Bond Equivalent Yield Function 2

Component

Resolution - Bond Pricing

 

 

Function Definition

oBond2_EYield(PriceMethod, YieldOrPrice, SettlementDate, DatedDate, FirstCpnDate, PenultCpnDate, MaturityDate, FaceValue, CouponRate, CouponFreq, BusinessDayCon, DaysBasis, OutputFlag)

Calculates equivalent yield(s) using a generic bond pricing solution. Returns a number of equivalent yields.

This function is a simplified version of the oBond3_EYield( ) 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

.

PriceMethod

 

Indicates whether the PriceOrYield argument contains the clean price or the yield.

 

Enumerated Constant

1 - Clean Price
2 - Yield

PriceOrYield

The clean price or the yield for the bond.

 

Double

 

PriceOrYield > 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

FirstCpnDate

 

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

Date

 

F.C.D > DatedDate
F.C.D
< P.C.D
F.C.D <
MatDate

PenultCpnDate

 

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

Date

 

P.C.D > DatedDate
P.C.D
> F.C.D
P.C.D
< 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

BusinessDayCon

 

Business day convention for coupon payments dates.


see Business Day Conventions


 

Enumerated Constant

 

1 - No Adjustment
2 - Previous
3 - Following
4 - Mod Previous
5 - Mod Following
6 - EOM No Adjust
7 - EOM previous
8 - EOM following

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 Domestic Yield, followed by all other equivalent yields (1-10).

 

Enumerated Constant

 

0 - All Equiv Yields
1 - Annual Yield
2 - Semi-Ann Yield
3 - Quarterly Yield
4 - Monthly Yield
5 - True Yield
6 - US Street Yield
7 - US Treasury Yield
8 - JGB Simple Yield
9 - MM actual/360
10 - MM actual/365

 

Default Settings

 

Parameter

 

Description

 

Value

CompoundingFreq

 

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

 

Annual

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

oBond2_CFM( ) - Generic Bond Cash Flow Map Function 2

oBond2_Price( ) - Generic Bond Price Function 2

oBond2_Yield( ) - Generic Bond Yield Function 2

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