Fixed Coupon Swap-like Amortizing Bond

Last updated 9 November 2026

Function reference › Bonds › Fixed Coupon Bonds

9 GIAnalyzer functions for Excel. Optional arguments are shown in [brackets].

GIA_Bonds_FixedAmortSpecified_AccruedInterest

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

GIA_Bonds_FixedAmortSpecified_AccruedInterest(FaceValue, CRate, CFr, StartAccrDate, FPPD, PFr, PPP, MDate, DR, DaysCoupon, ExDays, SDate)

Returns: Accrued interest of an amortizing bond generating periodic principal and fixed coupon payments

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`CRate`	Required	The bond's coupon rate.
`CFr`	Required	The frequency of the bond's coupon payments (Annual, SemiAnnual, Quarterly, Monthly)
`StartAccrDate`	Required	The start date of the bond's first accrual period.
`FPPD`	Required	The first principal payment date.
`PFr`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly, Single, Biennial)
`PPP`	Required	The percent of the principal in each payment.
`MDate`	Required	The bond's maturity date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`DaysCoupon`	Required	The time basis for the accrual period calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`ExDays`	Required	The number of days before coupon payment, during which the bond buyer is not entitled to receive the coupon.
`SDate`	Required	The settlement date.

GIA_Bonds_FixedAmortSpecified_CarryRollDown

Returns the carry or roll-down of an amortizing bond generating periodic principal and fixed coupon payments, given an interest rate curve for discounting future cash flows.

GIA_Bonds_FixedAmortSpecified_CarryRollDown(FaceValue, CRate, CFr, StartAccrDate, FPPD, PFr, PPP, MDate, HDate, DR, DaysCoupon, ExDays, DCurveDates, DCurveRates, SDate, CountAccrual, Comp, Days, Interp, Spread, MT)

Returns: Carry or roll-down of an amortizing bond generating periodic principal and fixed coupon payments

Argument	Use	Description
`FaceValue`	Required	The bond's face value. For a long position, the sign is positive, and for a short position, it is negative.
`CRate`	Required	The bond's coupon rate.
`CFr`	Required	The frequency of the bond's coupon payments (Annual, SemiAnnual, Quarterly, Monthly)
`StartAccrDate`	Required	The start date of the bond's first accrual period.
`FPPD`	Required	The first principal payment date.
`PFr`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly)
`PPP`	Required	The percent of the principal in each payment.
`MDate`	Required	The bond's maturity date.
`HDate`	Required	The horizon date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`DaysCoupon`	Required	The time basis for the accrual period calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`ExDays`	Required	The number of days before coupon payment, during which the bond buyer is not entitled to receive the coupon.
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`SDate`	Required	The settlement date.
`CountAccrual`	Required	Whether the accrued but unpaid value of the last coupon is added to the carry. (Yes, No)
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`Spread`	Required	The spread (in basis points) that is added to the discounting curve
`MT`	Required	The measure type. (Carry, Roll-down)

GIA_Bonds_FixedAmortSpecified_RiskFromCurve

Returns the risk measures (DV01, Macaulay Duration, Modified Duration, Convexity, KR01, Bucket DV01, Key Rate Duration or Bucket Duration) of an amortizing bond generating periodic fixed principal and coupon payments, given an interest rate curve for discounting future cash flows.

GIA_Bonds_FixedAmortSpecified_RiskFromCurve(FaceValue, CRate, CFr, StartAccrDate, FPPD, PFr, PPP, MDate, DR, DaysCoupon, ExDays, DCurveDates, DCurveRates, SDate, Comp, Days, Interp, RM, Spread, [StartTerm], [EndTerm])

Returns: Risk measures (DV01, Macaulay Duration, Modified Duration, Convexity, KR01, Bucket DV01, Key Rate Duration or Bucket Duration) of an amortizing bond generating periodic fixed principal and coupon payments

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`CRate`	Required	The bond's coupon rate.
`CFr`	Required	The frequency of the bond's coupon payments (Annual, SemiAnnual, Quarterly, Monthly)
`StartAccrDate`	Required	The start date of the bond's first accrual period.
`FPPD`	Required	The first principal payment date.
`PFr`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly, Single, Biennial)
`PPP`	Required	The percent of the principal in each payment.
`MDate`	Required	The bond's maturity date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`DaysCoupon`	Required	The time basis for the accrual period calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`ExDays`	Required	The number of days before coupon payment, during which the bond buyer is not entitled to receive the coupon.
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`SDate`	Required	The settlement date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`RM`	Required	The risk measure type (DV01, MacaulayDuration, ModifiedDuration, Convexity, KR01, BucketDV01, KRDuration, BucketDuration)
`Spread`	Required	The spread (in basis points) that is added to the discounting curve
`StartTerm`	Optional	The starting term for Bucket and Key Rate measures.
`EndTerm`	Optional	The ending term for Bucket and Key Rate measures.

GIA_Bonds_FixedAmortSpecified_RiskFromPrice

Returns the risk measures (DV01, Macaulay Duration, Modified Duration, Convexity) of an amortizing bond generating periodic fixed principal and coupon payments, given bond price.

GIA_Bonds_FixedAmortSpecified_RiskFromPrice(FaceValue, CRate, CFr, StartAccrDate, FPPD, PFr, PPP, MDate, DR, DaysCoupon, ExDays, Price, SDate, Comp, Days, ValueType, RM)

Returns: Risk measures (DV01, Macaulay Duration, Modified Duration, Convexity) of an amortizing bond generating periodic fixed principal and coupon payments

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`CRate`	Required	The bond's coupon rate.
`CFr`	Required	The frequency of the bond's coupon payments (Annual, SemiAnnual, Quarterly, Monthly)
`StartAccrDate`	Required	The start date of the bond's first accrual period.
`FPPD`	Required	The first principal payment date.
`PFr`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly, Single, Biennial)
`PPP`	Required	The percent of the principal in each payment.
`MDate`	Required	The bond's maturity date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`DaysCoupon`	Required	The time basis for the accrual period calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`ExDays`	Required	The number of days before coupon payment, during which the bond buyer is not entitled to receive the coupon.
`Price`	Required	The bond's price
`SDate`	Required	The settlement date.
`Comp`	Required	The compounding basis of the interest rate (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`ValueType`	Required	Bond price type (Clean, Dirty)
`RM`	Required	The risk measure type (DV01, MacaulayDuration, ModifiedDuration, Convexity)

GIA_Bonds_FixedAmortSpecified_RiskFromYield

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.

GIA_Bonds_FixedAmortSpecified_RiskFromYield(FaceValue, CRate, CFr, StartAccrDate, FPPD, PFr, PPP, MDate, DR, DaysCoupon, ExDays, Yield, SDate, Comp, Days, RM)

Returns: Risk measures (DV01, Macaulay Duration, Modified Duration, Convexity) of an amortizing bond generating periodic fixed principal and coupon payments

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`CRate`	Required	The bond's coupon rate.
`CFr`	Required	The frequency of the bond's coupon payments (Annual, SemiAnnual, Quarterly, Monthly)
`StartAccrDate`	Required	The start date of the bond's first accrual period.
`FPPD`	Required	The first principal payment date.
`PFr`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly, Single, Biennial)
`PPP`	Required	The percent of the principal in each payment.
`MDate`	Required	The bond's maturity date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`DaysCoupon`	Required	The time basis for the accrual period calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`ExDays`	Required	The number of days before coupon payment, during which the bond buyer is not entitled to receive the coupon.
`Yield`	Required	The flat discounting interest rate.
`SDate`	Required	The settlement date.
`Comp`	Required	The compounding basis of the interest rate (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`RM`	Required	The risk measure type (DV01, MacaulayDuration, ModifiedDuration, Convexity)

GIA_Bonds_FixedAmortSpecified_ValueFromCurve

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

GIA_Bonds_FixedAmortSpecified_ValueFromCurve(FaceValue, CRate, CFr, StartAccrDate, FPPD, PFr, PPP, MDate, DR, DaysCoupon, ExDays, DCurveDates, DCurveRates, SDate, Comp, Days, Interp, ValueType, Spread)

Returns: Value (Clean, Dirty) of an amortizing bond generating periodic principal and fixed coupon payments

Argument	Use	Description
`FaceValue`	Required	The bond's face value. For a long position, the sign is positive, and for a short position, it is negative.
`CRate`	Required	The bond's coupon rate.
`CFr`	Required	The frequency of the bond's coupon payments (Annual, SemiAnnual, Quarterly, Monthly)
`StartAccrDate`	Required	The start date of the bond's first accrual period.
`FPPD`	Required	The first principal payment date.
`PFr`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly, Single, Biennial)
`PPP`	Required	The percent of the principal in each payment.
`MDate`	Required	The bond's maturity date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`DaysCoupon`	Required	The time basis for the accrual period calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`ExDays`	Required	The number of days before coupon payment, during which the bond buyer is not entitled to receive the coupon.
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`SDate`	Required	The settlement date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`ValueType`	Required	Bond price type (Clean, Dirty)
`Spread`	Required	The spread (in basis points) that is added to the discounting curve

GIA_Bonds_FixedAmortSpecified_ValueFromYield

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

GIA_Bonds_FixedAmortSpecified_ValueFromYield(FaceValue, CRate, CFr, StartAccrDate, FPPD, PFr, PPP, MDate, DR, DaysCoupon, ExDays, Yield, SDate, Comp, Days, ValueType)

Returns: Value (Clean, Dirty) of an amortizing bond generating periodic principal and fixed coupon payments

Argument	Use	Description
`FaceValue`	Required	The bond's face value. For a long position, the sign is positive, and for a short position, it is negative.
`CRate`	Required	The bond's coupon rate.
`CFr`	Required	The frequency of the bond's coupon payments (Annual, SemiAnnual, Quarterly, Monthly)
`StartAccrDate`	Required	The start date of the bond's first accrual period.
`FPPD`	Required	The first principal payment date.
`PFr`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly, Single, Biennial)
`PPP`	Required	The percent of the principal in each payment.
`MDate`	Required	The bond's maturity date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`DaysCoupon`	Required	The time basis for the accrual period calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`ExDays`	Required	The number of days before coupon payment, during which the bond buyer is not entitled to receive the coupon.
`Yield`	Required	The flat discounting interest rate.
`SDate`	Required	The settlement date.
`Comp`	Required	The compounding basis of the interest rate (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`ValueType`	Required	Bond price type (Clean, Dirty)

GIA_Bonds_FixedAmortSpecified_YTM

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

GIA_Bonds_FixedAmortSpecified_YTM(FaceValue, CRate, CFr, StartAccrDate, FPPD, PFr, PPP, MDate, DR, DaysCoupon, ExDays, Value, SDate, Comp, Days, ValueType, Precision, InitialGuess)

Returns: Yield to maturity of an amortizing bond generating periodic principal and fixed coupon payments

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`CRate`	Required	The bond's coupon rate.
`CFr`	Required	The frequency of the bond's coupon payments (Annual, SemiAnnual, Quarterly, Monthly)
`StartAccrDate`	Required	The start date of the bond's first accrual period.
`FPPD`	Required	The first principal payment date.
`PFr`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly, Single, Biennial)
`PPP`	Required	The percent of the principal in each payment.
`MDate`	Required	The bond's maturity date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`DaysCoupon`	Required	The time basis for the accrual period calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`ExDays`	Required	The number of days before coupon payment, during which the bond buyer is not entitled to receive the coupon.
`Value`	Required	The bond's price
`SDate`	Required	The settlement date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`ValueType`	Required	Bond price type (Clean, Dirty)
`Precision`	Required	The absolute calculation precision.
`InitialGuess`	Required	The initial guess for numerical YTM calculation.

GIA_Bonds_FixedAmortSpecified_Zspread

Returns the Z-spread of an amortizing bond generating periodic principal and fixed coupon payments, given its value and zero interest rate curve for discounting future cash flows.

GIA_Bonds_FixedAmortSpecified_Zspread(FaceValue, CRate, CFr, StartAccrDate, FPPD, PFr, PPP, MDate, DR, DaysCoupon, ExDays, Value, DCurveDates, DCurveRates, SDate, Comp, Days, Interp, ValueType, Precision, InitialGuess)

Returns: Z-spread of an amortizing bond generating periodic principal and fixed coupon payments

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`CRate`	Required	The bond's coupon rate.
`CFr`	Required	The frequency of the bond's coupon payments (Annual, SemiAnnual, Quarterly, Monthly)
`StartAccrDate`	Required	The start date of the bond's first accrual period.
`FPPD`	Required	The first principal payment date.
`PFr`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly, Single, Biennial)
`PPP`	Required	The percent of the principal in each payment.
`MDate`	Required	The bond's maturity date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`DaysCoupon`	Required	The time basis for the accrual period calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`ExDays`	Required	The number of days before coupon payment, during which the bond buyer is not entitled to receive the coupon.
`Value`	Required	The bond's price
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`SDate`	Required	The settlement date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`ValueType`	Required	Bond price type (Clean, Dirty)
`Precision`	Required	The absolute precision of internal bond value calculations.
`InitialGuess`	Required	The initial guess for the numerical calculation of Z-spread.