oBond3_Price( ) - Generic Bond Price Function 3

Component

Resolution - Bond Pricing

Function Definition

oBond3_Price(Yield, Dates, FaceValue, CouponRate, CouponFreq, CompoundingFreq, BusinessDayCon, YieldMethod, FPYieldMethod, DaysBasis, ExDateConvention, ExDayUnit, CouponType, PPHRounding, AdjEndOfMonth, FinalPeriodStart, HolidaySchedule, 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.

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

Dates

5 dates entered as an array:

Array (of Dates)

SettlementDate: Valuation date of the bond.

SetDate < MatDate
SetDate >DatedDate

DatedDate: Date on which the bond begins to accrue interest.

DatedDate<MatDate

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

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)

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

MaturityDate: Maturity date of the bond.

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

CompoundingFreq

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

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

YieldMethod

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

Enumerated Constant

1 - Compound Yield
2 - Money Market
3 - True Yield
4 - Iterative Yield
5 - JGB

FPYieldMethod

Yield convention for the final coupon period.

Enumerated Constant

1 - Compound Yield
2 - MM (Act/360)
3 - MM (Act/365)
4 - MM (Act/Act)
5 - True Yield
6 - Iterative Yield
7 - JGB

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

ExDateConvention

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

see Ex-Dividend Conventions

Enumerated Constant

1 - No Ex-Date
2 - Calendar Days
3 - Business Days
4 - Day of Month
5 - Day of Prev Mth
6 - Months Prior

ExDayUnit

No. of days in the ex-dividend period (if ExDateConvention = 1, 2, or 3), day of month (if ExDateConvention = 4, 5), or No. months (if ExDateConvention = 6).

Integer

ExDayUnit >= 0

CouponType

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

Enumerated Constant

1 - Equal Coupons
2 - Exact 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.

Long, or an array of Longs

PPHRounding >= 0

AdjEndOfMonth

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

Enumerated Constant

0 - Not Applicable
1 - Yes
2 - 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.

Enumerated Constant

1 - Ex-Date of P.C
2 - Act Date of P.C

HolidaySchedule

Schedule of non-business days (excluding weekends)

Date Range

Leave blank if not applicable

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

See Also

Parameter Types

oBond3_Yield( ) - Generic Bond Yield Function 3

oBond3_CFM( ) - Generic Bond Cash Flow Map Function 3

oBond3_EYield( ) - Generic Bond Equivalent Yield Function 3