Bonds — parameters
Below is the complete list of the functions’ parameters.
| BCPI | |
|---|
| Description: | The CPI level at the inception of the deal. |
| Instruments: | Convertible bond. |
| BloombergDays | |
|---|
| Description: | Time basis in Bloomberg used for coupon and accrued interest calculation. |
| Instruments: | GIA_Bonds_Additional_BloombergTimeBasisConvertor. |
| CFr | |
|---|
| Description: | The frequency of the bond's coupon payments.
(Annual, SemiAnnual, Quarterly, Monthly) |
| Instruments: | All types of bonds, except zero coupon bonds. |
| Comp | |
|---|
| Description: | The compounding basis of the interest rates.
(Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous) |
| Instruments: | All types of bonds. |
| ConversionRatio | |
|---|
| Description: | The number of shares received while converting one bond. |
| Instruments: | Convertible bond. |
| CouponsPerYear | |
|---|
| Description: | The number of coupons per yerar. |
| Instruments: | GIA_Bonds_Additional_CouponNumberConvertor. |
| CRate | |
|---|
| Description: | The bond's coupon rate. |
| Instruments: | Fixed coupon bond. |
| CreditSpread | |
|---|
| Description: | The credit spread, expressed in basis points, using for discounting future cash flows. |
| Instruments: | Convertible bond. |
| Days | |
|---|
| Description: | The time basis of the interest rates.
(act/act, act/360, act/365, 30/360, 30E/360, 30U/360, 30I/360, 30G/360, NL-365) |
| Instruments: | All types of bonds. |
| DaysCoupon (1) | |
|---|
| Description: | The time basis for the accrual period calculation.
(act/act, act/360, act/365, 30/360, 30E/360, 30U/360, 30I/360, 30G/360, NL-365) |
| Instruments: | All types of bonds, except zero coupon bonds. |
| DCurveDates | |
|---|
| Description: | The array of dates in the interest rate curve used for discounting cash flows. |
| Instruments: | All types of bonds. |
| DCurveRates | |
|---|
| Description: | The array of rates in the interest rate curve used for discounting cash flows. |
| Instruments: | All types of bonds. |
| DividendYield | |
|---|
| Description: | The continuous annual dividend yield. |
| Instruments: | Convertible bond. |
| DR | |
|---|
| Description: | The date rolling method. Non-business days are Saturdays and Sundays, holidays are not supported.
(Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment) |
| Instruments: | All types of bonds. |
| ExDays | |
|---|
| Description: | The number of days before coupon payment, during which the bond buyer is not entitled to receive the coupon. |
| Instruments: | All types of bonds exept zero coupon bonds. |
| FaceValue | |
|---|
| Description: | The bond's face value. |
| Instruments: | All types of bonds. |
| FCurveDates | |
|---|
| Description: | The array of dates in the interest rate curve used in calculating forward rates. |
| Instruments: | Floater |
| FCurveRates | |
|---|
| Description: | The array of rates in the interest rate curve used in calculating forward rates. |
| Instruments: | Floater |
| FirstAccrDate | |
|---|
| Description: | The start date of the bond's first accrual period. |
| Instruments: | All types of bonds, except zero coupon bonds. |
| FirstCouponDate | |
|---|
| Description: | The date of the bond's first coupon. |
| Instruments: | Convertible bond. |
| FPPD | |
|---|
| Description: | The first principal payment date. |
| Instruments: | Amortizing bond, convertible bond. |
| FrPP | |
|---|
| Description: | The frequency of principal payments.
(Annual, SemiAnnual, Quarterly, Monthly) |
| Instruments: | Amortizing bond, convertible bond. |
| Interp | |
|---|
| Description: | The interpolation method.
(Linear, LogLinear, CubicSpline, Exponential) |
| Instruments: | All types of bonds. |
| IDate | |
|---|
| Description: | The bond’s issue date. |
| Instruments: | Convertible bond. |
| LastCouponDate | |
|---|
| Description: | The date of the bond's last coupon. |
| Instruments: | Convertible bond. |
| LCPI | |
|---|
| Description: | The CPI level at the value date. |
| Instruments: | Convertible bond. |
| LR | |
|---|
| Description: | The last reset rate of the floater's reference interest rate. |
| Instruments: | Floater |
| MDate | |
|---|
| Description: | The bond's maturity date. |
| Instruments: | All types of bonds. |
| NominalInterestRate | |
|---|
| Description: | The nominal interest rate using for discounting future cash flows. |
| Instruments: | Convertible bond. |
| PPP | |
|---|
| Description: | The percent of the principal in each payment. |
| Instruments: | Amortizing bond. |
| Price | |
|---|
| Description: | The bond's price |
| Instruments: | All types of bonds. |
| PriceType | |
|---|
| Description: | Bond price type.
(Clean, Dirty) |
| Instruments: | All types of bonds, except zero coupon bonds. |
| RealInterestRate | |
|---|
| Description: | The real interest rate using for discounting future cash flows. |
| Instruments: | Convertible bond. |
| RM | |
|---|
| Description: | The risk measure type.
(DV01, MacaulayDuration, ModifiedDuration, Convexity) |
| Instruments: | All types of bonds. |
| S | |
|---|
| Description: | The spot price of the underlying asset. |
| Instruments: | Convertible bond. |
| Sp | |
|---|
| Description: | The floater's spread, expressed in basis points. |
| Instruments: | Floater |
| SDate | |
|---|
| Description: | The settlement date. |
| Instruments: | All types of bonds. |
| Steps | |
|---|
| Description: | The number of steps in the binomial tree. |
| Instruments: | Convertible bonds. |
| Vol | |
|---|
| Description: | The volatility of the underlying asset. |
| Instruments: | Convertible bond. |
| Yield | |
|---|
| Description: | The flat discounting interest rate. |
| Instruments: | Zero coupon bond, fixed coupon bond. |
