Financial Instruments

Bonds

Functions

This group includes 27 functions for the calculation of price and risk metrics (Macaulay Duration, Modified Duration, Convexity, DV01) for the following types of bonds:

  • Zero coupon bond
  • Fixed coupon bond (including amortizing schedule)
  • Floating coupon bond (including amortizing schedule)

The following table summarizes the outputs of the functions:

Bonds module: summary table with outputs of the functions

Besides, there is a function for calculating the value of convertible bond.

Workbooks- Examples

  • GIA_Bonds_Examples_Zero
  • GIA_Bonds_Examples_FixedAmort
  • GIA_Bonds_Examples_Fixed
  • GIA_Bonds_Examples_FixedAmort
  • GIA_Bonds_Examples_Floater
  • GIA_Bonds_Examples_FloaterAmort

Workbooks-Templates

  • GIA_Bonds_Templates_NelsonSiegel
  • GIA_Bonds_Templates_Scenarios