Bonds module
Calculate value and risk metrics of bonds, perform stress scenarios and validate models using 28 functions, 7 Excel workbooks containing examples and templates included in this module.
Instrument coverage and functionality
28 functions related to bondsFunctions in this module calculate value (clean/dirty), risk metrics (Macaulay Duration, Modified Duration, Convexity and DV01) and additional outputs such as accrued interest and yield to maturity of the following types of bonds (including amortizing schedule):
- Zero coupon bonds
- Fixed coupon bonds
- Floating coupon bonds
- Convertible bonds
Excel examples and templates
7 Excel workbooks with dozens of spreadsheets illustrating the use of functions and their various implementations5 Excel workbooks accompanied with the module include examples of all functions related to bonds. We recommend to use the relevant workbooks before your first use of the specific function.
By one click a table including forward rates, cash flows, discount factors and discounted cash flows is generated.
2 additional Excel workbooks include templates, illustrating possible implementations of the functions – building zero curve using Nelson-Siegel model and stress scenarios of the bond portfolio.
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Windows 7 – 10
Frequent questions
How can we know that the functions provide correct results?
In the GIA_Bonds_Examples_XXXX files, by clicking on the button “Click here to generate future cash flows and their present values”, you can see the “behind the scenes” calculations leading to the final result.
Is the amortization schedule supported?
Yes, the relevant functions are GIA_Bonds_FixedAmort_XXXX and GI_Bonds_Floater_XXXX.
How are future cash flows generated in floaters?
Future cash flows in floaters are generated using forward interest rates.
What outcomes besides value and risk metrics are available for bonds?
Yield to maturity, accrued interest and last reset date are among additional outputs in this module.