| GenCurveBondPriceRVOddFirst() function | |
GenCurveBondPriceRVOddFirst() functionGenCurveBondPriceRVOddFirst(argument list…)
This function prices a bond with an odd first coupon (short or long) using a zero curve. 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 >= Issue_Date |
| Maturity_Date | bond maturity date | valid Excel date number >= Settlement_Date > Issue_Date > First_Coup_Date |
| Issue_Date | the issue date of the bond | < First_Coup_Date |
| First_Coup_Date | the first coupon date of the bond | same coupon cycle as Maturity_Date (i.e. consistent with Freq argument) |
| 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 |
| 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 |
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