GenCurveBondPriceRVOddFirstHol() function

GenCurveBondPriceRVOddFirstHol() function
GenCurveBondPriceRVOddFirstHol(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. Cashflows are adjusted to the next valid business day using the holiday array, if they happen to fall on weekends or holidays. 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
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