GenCurveBondPriceRVHol() function

GenCurveBondPriceHol() function

GenCurveBondPriceRVHol(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

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