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BondPrice2Step() function

BondPrice2Step(argument list…)

This function returns a bond's "flat" price (i.e. price without accrued interest) from yield for a bond with a 2-step coupon. The function uses the following arguments:

Argument Description Restrictions
Settlement_Date bond settlement date valid Excel date number
Stepped_Coupon_Date date at which the bond coupon changes valid Excel date number
> Settlement_Date
Maturity_Date bond maturity date valid Excel date number
> Settlement_Date
> Stepped_Coupon_Date
First_Coupon_Rate annual bond coupon to the Stepped_Coupon_Date in decimal form (e.g. six percent entered as 0.06) >= 0
Second_Coupon_Rate annual bond coupon after the Stepped_Coupon_Date in decimal form >= 0
YTM bond yield to maturity in decimal form >= 0
Redemption bond's redemption value per $100 par > 0
(typically 100)
Frequency number of bond coupons per annum (in the case of zero coupon bonds, indicates the compounding frequency) 1, 2, 4, or 12
DCB day count basis 0 = 30/360 (US)
1 = act/act for CAD/US T-Bonds
2 = act/360
3 = act/365
4 = 30/360 (European)


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