Previous Topic

Next Topic

oBond2_Yield( ) - Generic Bond Yield Function 2

Component

Resolution - Bond Pricing

 

 

Function Definition

oBond2_Yield(CleanPrice, SettlementDate, DatedDate, FirstCpnDate, PenultCpnDate, MaturityDate, FaceValue, CouponRate, CouponFreq, DaysBasis, OutputFlag)

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

This function is a simplified version of the oBond3_Yield( ) 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

.

CleanPrice

 

Clean price per one hundred (PPH) of the bond

 

Double

CleanPrice >= 0

SettlementDte

 

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

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 - Yield 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

 

CompoundingFreq

 

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

 

Annual

BusinessDayCon

 

Business day convention for coupon payments dates.

see Business Day Conventions

 

No Adjustment

YieldMethod

 

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

 

Compound Yield

FPYieldMethod

 

Yield convention for the final coupon 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 at 'exact'. Exact coupons vary according to number of days in coupon period.

 

Equal Coupons

 

PPHRounding

 

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

Alternatively, if all 3 follow the same rounding convention then just enter a single number.

 

12

 

 

 

AdjEndOfMonth

 

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

 

No (N/A)

 

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_EYield( ) - Generic Bond Equivalent Yield Function 2

oBond2_Price( ) - Generic Bond Price Function 2

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.