GenCurveBondPriceRVHol() function  Previous topicNext topicFirst topicLast topic

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 = Cana
dian 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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