Bonds — functions

Zero Coupon Bond

1. GIA_Bonds_ZeroCoupon_PriceFromYield

(FaceValue, MDate, DR, Yield, SDate, Comp, Days)

Returns the price of a zero coupon bond, given a single interest rate for discounting future cash flows.

2. GIA_Bonds_ZeroCoupon_PriceFromCurve

(FaceValue, MDate, DR, DCurveDates, DCurveRates, SDate, Comp, Days, Interp)

Returns the price of a zero coupon bond, given an interest rate curve for discounting future cash flows.

3. GIA_Bonds_ZeroCoupon_RiskFromYield

(FaceValue, MDate, DR, Yield, SDate, Comp, Days, RM)

Returns the risk measures (DV01, Macaulay Duration, Modified Duration, Convexity) of a zero coupon bond, given a single interest rate for discounting future cash flows.

4. GIA_Bonds_ZeroCoupon_RiskFromCurve

(FaceValue, MDate, DR, DCurveDates, DCurveRates, SDate, Comp, Days, Interp, RM)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration, Convexity) of a zero coupon bond, given an interest rate curve for discounting future cash flows.

5. GIA_Bonds_ZeroCoupon_YTM

(FaceValue, MDate, DR, SDate, Comp, Days, Price)

Returns the yield to maturity of a zero coupon bond, given its price.

Fixed Coupon Bond

6. GIA_Bonds_Fixed_PriceFromYield

(FaceValue, CRate, CFr, FirstAccrDate, MDate, DR, DaysCoupon, ExDays, Yield, SDate, Comp, Days, PriceType)

Returns the price (Clean, Dirty) of a bond generating periodic fixed coupon payments, given a single interest rate for discounting future cash flows.

7. GIA_Bonds_Fixed_PriceFromCurve

(FaceValue, CRate, CFr, FirstAccrDate, MDate, DR, DaysCoupon, ExDays, DCurveDates, DCurveRates, SDate, Comp, Days, Interp, PriceType)

Returns the price (Clean, Dirty) of a bond generating periodic fixed coupon payments, given an interest rate curve for discounting future cash flows.

8. GIA_Bonds_Fixed_AccruedInterest

(FaceValue, CRate, CFr, FirstAccrDate, MDate, DR, DaysCoupon, ExDays, SDate)

Returns the accrued interest of a bond generating periodic fixed coupon payments, given all bond’s terms.

9. GIA_Bonds_Fixed_AccruedInterestFromCouponAmount

(PrevCDate, NextCDate, NextCAmount, CFr, DaysCoupon, ExDays, SDate)

Returns the accrued interest of a bond generating periodic fixed coupon payments, given the next coupon amount.

10. GIA_Bonds_Fixed_RiskFromYield

(FaceValue, CRate, CFr, FirstAccrDate, MDate, DR, DaysCoupon, ExDays, Yield, SDate, Comp, Days, RM)

Returns the risk measures (DV01, MacaulayDuration, Modified Duration, Convexity) of a bond generating periodic fixed coupon payments, given a single interest rate for discounting future cash flows.

11. GIA_Bonds_Fixed_RiskFromCurve

(FaceValue, CRate, CFr, FirstAccrDate, MDate, DR, DaysCoupon, ExDays, DCurveDates, DCurveRates, SDate, Comp, Days, Interp, RM)

Returns the risk measures (DV01, MacaulayDuration, Modified Duration, Convexity) of a bond generating periodic fixed coupon payments, given an interest rate curve for discounting future cash flows.

12. GIA_Bonds_Fixed_RiskFromPrice

(FaceValue, CRate, CFr, FirstAccrDate, MDate, DR, DaysCoupon, Price, SDate, Comp, Days, PriceType, RM)

Returns the risk measures (DV01, MacaulayDuration, Modified Duration, Convexity) of a bond generating periodic fixed coupon payments, given its price.

13. GIA_Bonds_Fixed_YTM

(FaceValue, CRate, CFr, FirstAccrDate, MDate, DR, DaysCoupon, SDate, Comp, Days, Price, PriceType)

Returns the yield to maturity of a bond generating periodic fixed coupon payments, given its price.

Fixed Coupon Amortizing Bond

14. GIA_Bonds_FixedAmort_PriceFromYield

(FaceValue, CRate, CFr, FirstAccrDate, FPPD, FrPP, PPP, MDate, DR, DaysCoupon, ExDays, Yield, SDate, Comp, Days, PriceType)

Returns the price (Clean, Dirty) of an amortizing bond generating periodic principal and fixed coupon payments, given a single interest rate for discounting future cash flows.

15. GIA_Bonds_FixedAmort_PriceFromCurve

(FaceValue, CRate, CFr, FirstAccrDate, FPPD, FrPP, PPP, MDate, DR, DaysCoupon, ExDays, DCurveDates, DCurveRates, SDate, Comp, Days, Interp, PriceType)

Returns the price (Clean, Dirty) of an amortizing bond generating periodic principal and fixed coupon payments, given an interest rate curve for discounting future cash flows.

16. GIA_Bonds_FixedAmort_AccruedInterest

(FaceValue, CRate, CFr, FirstAccrDate, FPPD, FrPP, PPP, MDate, DR, DaysCoupon, ExDays, SDate)

Returns the accrued interest of an amortizing bond generating periodic principal and fixed coupon payments.

17. GIA_Bonds_FixedAmort_RiskFromYield

(FaceValue, CRate, CFr, FirstAccrDate, FPPD, FrPP, PPP, MDate, DR, DaysCoupon, Yield, SDate, Comp, Days, RM)

Returns the risk measures (DV01, Macaulay Duration, Modified Duration, Convexity) of an amortizing bond generating periodic fixed principal and coupon payments, given a single interest rate for discounting future cash flows.

18. GIA_Bonds_FixedAmort_RiskFromCurve

(FaceValue, CRate, CFr, FirstAccrDate, FPPD, FrPP, PPP, MDate, DR, DaysCoupon, DCurveDates, DCurveRates, SDate, Comp, Days, Interp, RM)

Returns the risk measures (DV01, Macaulay Duration, Modified Duration, Convexity) of an amortizing bond generating periodic fixed principal and coupon payments, given an interest rate curve for discounting future cash flows.

19. GIA_Bonds_FixedAmort_YTM

(FaceValue, CRate, CFr, FirstAccrDate, FPPD, FrPP, PPP, MDate, DR, DaysCoupon, SDate, Comp, Days, Price, PriceType)

Returns the yield to maturity of an amortizing bond generating periodic principal and fixed coupon payments, given its price.

Floating Coupon Bond

20. GIA_Bonds_Floater_Price

(FaceValue, CFr, Sp, LR, FirstAccrDate, MDate, DR, DaysCoupon, ExDays, DCurveDates, DCurveRates, FCurveDates, FCurveRates, SDate, Comp, Days, Interp, PriceType)

Returns the price (Clean, Dirty) of a bond generating periodic floating coupon payments, given interest rate curves for discounting future cash flows and for calculating forward rates.

21. GIA_Bonds_Floater_AccruedInterest

(FaceValue, CFr, Sp, LR, FirstAccrDate, MDate, DR, DaysCoupon, ExDays, SDate)

Returns the accrued interest of a bond generating periodic floating coupon payments.

22. GIA_Bonds_Floater_Risk

(FaceValue, CFr, Sp, LR, FirstAccrDate, MDate, DR, DaysCoupon, DCurveDates, DCurveRates, FCurveDates, FCurveRates, SDate, Comp, Days, Interp, RM)

Returns the risk measures (DV01, MacaulayDuration, Modified Duration, Convexity) of a bond generating periodic floating coupon payments, given interest rate curves for discounting future cash flows and for calculating forward rates.

23. GIA_Bonds_Floater_LastResetDate

(MDate, FirstAccrDate, CFr, DR, SDate)

Returns the last reset date of the reference interest rate.

Floating Coupon Amortizing Bond

24. GIA_Bonds_FloaterAmort_Price

(MDate, FirstAccrDate, CFr, DR, SDate)

Returns the last reset date of the reference interest rate.

25. GIA_Bonds_FloaterAmort_AccruedInterest

(FaceValue, CFr, Sp, LR, FirstAccrDate, FPPD, FrPP, PPP, MDate, DR, DaysCoupon, ExDays, SDate)

Returns the accrued interest of an amortizing bond generating periodic principal and floating coupon payments.

26. GIA_Bonds_FloaterAmort_Risk

(FaceValue, CFr, Sp, LR, FirstAccrDate, FPPD, FrPP, PPP, MDate, DR, DaysCoupon, DCurveDates, DCurveRates, FCurveDates, FCurveRates, SDate, Comp, Days, Interp, RM)

Returns the risk measures (DV01, Macaulay Duration, Modified Duration, Convexity) of an amortizing bond generating periodic principal and floating coupon payments, given an interest rate curve for discounting future cash flows and an interest rate curve for calculating forward rates.

27. GIA_Bonds_FloaterAmort_LastResetDate

(MDate, FirstAccrDate, CFr, DR, SDate)

Returns the last reset date of the reference interest rate.

Convertible Bond

28. GIA_Bonds_Convertible_Price

(FaceValue, ConversionRatio, IDate, MDate, CRate, CFr, FirstCouponDate, LastCouponDate, FPPD, FrPP, BCPI, S, Vol, DividendYield, NominalInterestRate, InflationInterestRate, CreditSpread, LCPI, SDate, Comp, Days, Steps)

Returns the price of a convertible bond generating periodic principal and floating coupon payments, given a nominal interest rate and real interest rate for discounting future cash flows.

Additional Functions

13. GIA_Bonds_Additional_BloombergTimeBasisConvertor

(BloombergDays)

Converts the time basis notation in Bloomberg to the one in GIA.

30. GIA_Bonds_Additional_CouponNumberConvertor

(CouponsPerYear)

Converts the number of coupons per year to coupon frequency in GIA (1, 2, 4 and 12 become Annual, SemiAnnual, Quarterly and Monthly, accordingly).