GenCurveBondPriceRVOddFirstOAS() function  Previous topicNext topicFirst topicLast topic

GenCurveBondPriceRVOddFirstOAS() function

GenCurveBondPriceRVOddFirstOAS(argument list…)

This function returns an OAS given 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 = Cana
dian 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
Bond_Price the bond price > 0

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