| GenCurveBondPriceRVHol() function | |
GenCurveBondPriceHol() functionGenCurveBondPriceRVHol(argument list…)
This function prices a bond using a zero curve. It takes into account that payments received on a weekend or holiday should be discounted using a payment date on the next valid business date, and thus this is the most accurate of all the pricing functions. The zero curve can be defined either by zero rates or discount factors, and different interpolation methods are offered. The function uses the following arguments:
| Argument | Description | Restrictions |
| Valuation_Date | valuation date (e.g. today) | valid Excel date number |
| Settlement_Date | bond settlement date | valid Excel date number >= Valuation_Date |
| Maturity_Date | bond maturity date | valid Excel date number >= Settlement_Date |
| Coupon | annual bond coupon in decimal form (e.g. six percent entered as 0.06). For zero coupon (strip) bonds, enter 0. | >= 0 |
| Freq | number of bond coupons per annum | 1, 2, 4, or 12 |
| DCB | day count basis | 0 = 30/360 (US) 1 = act/act for US T-Bonds 2 = act/360 3 = act/365 4 = 30/360 (European) 5 = Canadian modified act/365 |
| Redemption | redemption value of bond per $100 par | typically $100 |
| Holidays | array of holiday dates | valid Excel date numbers strictly ascending order |
| Curve_Type | defines how the Zero_Rates array is to be interpreted | 0 = continuously compounded riskless rates in, decimal form 1 = discount factors (first must be 1.0, and must be declining) |
| Interpolation | the interpolation method to employ for the Zero_Rates array | 0 = cubic-spline 1 = linear 2 = log-linear |
| Zero_Dates | array of zero coupon curve dates | strictly ascending order The first date of this array must be Valuation_Date |
| Zero_Rates | an array of zero rates or discount factors corresponding to Zero_Dates | |
| OAS | parallel shift of the zero curve in decimal form | |
| Bucket_Start | beginning of bucket for zero curve shifts | set to 0 if curve shift is not desired |
| Bucket_End | end of bucket for zero curve shift | >= Bucket_Start |
| Bucket_Shift | parallel shift of the zero curve between Bucket_Start and Bucket_End in decimal form | set to 0 if curve shock is not desired |
© 1995-98 Leap of Faith Research Inc.