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The Bond Pricing component provides coverage of 20 sovereign government bonds, together with generic bond functions that allow users to determine a bond's price, yield, equivalent yields, and cash flow map with any combination of the various pricing conventions. The bond markets covered in this development are the same as those included in the JP Morgan Government Bond Index, and comprise the following countries (and bond series): |
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Country |
Bond Type |
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Australia (AU) |
CGB's |
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Austria (AT) |
Bunds |
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Belgium (BE) |
OLO's |
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Canada (CA) |
CAD's |
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Denmark (DK) |
DGB's |
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Finland (FI) |
Markkas |
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France (FR) |
OAT's |
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Germany (DE) |
Bunds |
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Ireland (IE) |
IGB's |
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Italy (IT) |
BTPs |
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Japan (JP) |
JGB's |
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Netherlands (NL) |
DSL's |
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New Zealand (NZ) |
NZG's |
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Portugal (PT) |
OT's |
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South Africa (ZA) |
Gilts |
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Spain (ES) |
Bonos |
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Sweden (SE) |
Statssobligations |
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Switzerland (CH) |
SGB's |
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United Kingdom (GB) |
Gilts |
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United States (US) |
T-Bonds |
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The two-letter alphabetic country codes are based on an international standard and are sourced from, the "Codes for the Representation of Names of Countries (ISO 3166-1993 (E)), American National Standards Institute, Inc". |
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Each of the sovereign bonds, as well as the generic bonds, has 4 associated functions. These are the Price, Yield, Equivalent Yield, and Cash Flow Map functions. The outputs for each function are summarized in the following table (see Bond Functions for a detailed description): |
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Price Output |
Yield Output |
Equivalent Yield Output |
Cash Flow Map Output |
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Clean Price |
Yield |
Annual Yield |
CF Dates (nominal) |
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Accrued Interest |
Accrued Interest |
Semi-Annual Yield |
CF Dates (actual) |
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Dirty Price |
Dirty Price |
Quarterly Yield |
Coupon Amount |
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Macaulay Duration |
Macaulay Duration |
Monthly Yield |
Face Value |
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Modified Duration |
Modified Duration |
True Yield |
Total Cash Flow |
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Convexity |
Convexity |
US Street Yield |
Next CF Date |
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Price Value of Basis Point |
Price Value of Basis Point |
US Treasury Yield |
Number of Days in Coupon Period |
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JGB Simple Yield |
Previous CF Date |
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Money Market a/360 |
Days to Maturity |
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Money Market a/365 |
Years to Maturity |
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Days to Next Coupon |
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Days Accrued |
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No. of Cash Flows |
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Next Ex-Div Date |
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Days in Period (actual) |
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Days in Period (accrued) |
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Copyright © 2005 Resolution Financial Software.