GenCurveBondPriceRVHolOAS() function

GenCurveBondPriceRVHolOAS() function

GenCurveBondPriceRVHolOAS(argument list…)

This function returns the OAS of a bond relative to the zero curve rates given a price. A bond with a higher OAS is relatively "cheap" compared to bonds priced exactly on the zero curve. This function 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
Bond_Price	the bond price	> 0