GenCurveBondPriceRVOddFirstHolOAS() function  Previous topicNext topicFirst topicLast topic

GenCurveBondPriceRVOddFirstHolOAS() function

GenCurveBondPriceRVOddFirstHolOAS(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. 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 = 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
Bond_Price the bond price > 0

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