Generic Functions (bonds, bond futures and swaptions)

Last updated 9 November 2026

Function reference › Bonds › Additional Functions

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

GIA_Bonds_Generic_RiskFromCurve

Return the risk of a zero coupon bond, floater bond, fixed bond, future or swaption given the interest rate curve.

GIA_Bonds_Generic_RiskFromCurve(ProductType, ProductSubtype, Notional, Strike, OptionEDate, CRate, CFr, StartDate, PFr, NPPD, PPP, MDate, DR, Days, ExDays, CurveComp, CurveDays, Sp, Vol, WhichVol, DCurveDates, DCurveRates, VDate, Interp, RM, [StartTerm], [EndTerm])

Argument	Use	Description
`ProductType`	Required	The type of product (zerocoupon, fixed, floater, swaption, future, future option)
`ProductSubtype`	Required	The type of bond/swaption (Bullet, AmortEven; Payer, Receiver; Call, Put)
`Notional`	Required	The bond's face value.
`Strike`	Required	The option's strike price.
`OptionEDate`	Required	The option's expiry date.
`CRate`	Required	The fixed bond's rate, the floater bond's last reset or the swaption's strike.
`CFr`	Required	The coupon frequency (Fixed/float separated by '/' for swaptions)
`StartDate`	Required	The swap/bond's start date.
`PFr`	Required	The principal frequency.
`NPPD`	Required	The next principal payment date
`PPP`	Required	The percent of the principal in each payment.
`MDate`	Required	The swap/bond's maturity rate.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`Days`	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.
`CurveComp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`CurveDays`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Sp`	Required	The spread (in basis points) that is added to the discounting curve
`Vol`	Required	The swaption's volatility
`WhichVol`	Required	The type of volatility (Lognormal, Normal)
`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.
`VDate`	Required	The settlement date.
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`RM`	Required	The risk measure type (DV01, MacaulayDuration, ModifiedDuration, Convexity, KR01, BucketDV01, KRDuration, BucketDuration)
`StartTerm`	Optional	The starting term for Bucket and Key Rate measures.
`EndTerm`	Optional	The ending term for Bucket and Key Rate measures.

GIA_Bonds_Generic_ValueFromCurve

Return the value of a zero coupon bond, floater bond, fixed bond, future or swaption given the interest rate curve.

GIA_Bonds_Generic_ValueFromCurve(ProductType, ProductSubtype, Notional, Strike, OptionEDate, CRate, CFr, StartDate, PFr, NPPD, PPP, MDate, DR, Days, ExDays, CurveComp, CurveDays, Sp, Vol, WhichVol, DCurveDates, DCurveRates, VDate, Interp)

Argument	Use	Description
`ProductType`	Required	The type of product (zerocoupon, fixed, floater, swaption, option, future, future option)
`ProductSubtype`	Required	The type of bond/swaption (Bullet, AmortEven; Payer, Receiver; Call, Put)
`Notional`	Required	The bond's face value.
`Strike`	Required	The option's strike price.
`OptionEDate`	Required	The option's expiry date.
`CRate`	Required	The fixed bond's rate, the floater bond's last reset or the swaption's strike.
`CFr`	Required	The coupon frequency (Fixed/float separated by '/' for swaptions)
`StartDate`	Required	The swap/bond's start date.
`PFr`	Required	The principal frequency.
`NPPD`	Required	The next principal payment date
`PPP`	Required	The percent of the principal in each payment.
`MDate`	Required	The swap/bond's maturity rate.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`Days`	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.
`CurveComp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`CurveDays`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Sp`	Required	The spread (in basis points) that is added to the discounting curve
`Vol`	Required	The swaption's volatility
`WhichVol`	Required	The type of volatility (Lognormal, Normal)
`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.
`VDate`	Required	The settlement date.
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)