Option on a Zero Coupon Bond

Last updated 9 November 2026

Function reference › Bonds › Bond Options

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

GIA_Bonds_OptionZeroCoupon_RiskFromCurve

Returns the risk of a European option on a zero coupon bond, given an interest rate curve for discounting future cash flows.

GIA_Bonds_OptionZeroCoupon_RiskFromCurve(OptionType, Strike, Vol, OptionEDate, FaceValue, BondSDate, BondMDate, DR, DCurveDates, DCurveRates, VDate, Comp, Days, Interp, RM, [StartTerm], [EndTerm])

Returns: Risk of a European option on a zero coupon bond

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`Strike`	Required	The option's strike price.
`Vol`	Required	The volatility of the underlying bond's price
`OptionEDate`	Required	The option's expiry date.
`FaceValue`	Required	The bond's face value.
`BondSDate`	Required	The bond's settlement date.
`BondMDate`	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)
`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 value 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)
`StartTerm`	Optional	The starting term for Bucket and Key Rate measures.
`EndTerm`	Optional	The ending term for Bucket and Key Rate measures.

GIA_Bonds_OptionZeroCoupon_RiskFromYield

Returns the risk of a European option on a zero coupon bond, given a single interest rate for discounting future cash flows.

GIA_Bonds_OptionZeroCoupon_RiskFromYield(OptionType, Strike, Vol, InterestRate, OptionEDate, FaceValue, BondSDate, BondMDate, DR, Yield, VDate, Comp, Days, RM)

Returns: Risk of a European option on a zero coupon bond

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`Strike`	Required	The option's strike price.
`Vol`	Required	The volatility of the underlying bond's price.
`InterestRate`	Required	The interest rate.
`OptionEDate`	Required	The option's expiry date.
`FaceValue`	Required	The bond's face value.
`BondSDate`	Required	The bond's settlement date.
`BondMDate`	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)
`Yield`	Required	The flat discounting interest rate.
`VDate`	Required	The value 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, KR01, BucketDV01, KRDuration, BucketDuration)

GIA_Bonds_OptionZeroCoupon_ValueFromCurve

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

GIA_Bonds_OptionZeroCoupon_ValueFromCurve(OptionType, Strike, Vol, OptionEDate, FaceValue, BondSDate, BondMDate, DR, DCurveDates, DCurveRates, VDate, Comp, Days, Interp)

Returns: Price of a European option on a zero coupon bond

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`Strike`	Required	The option's strike price.
`Vol`	Required	The volatility of the underlying bond's price
`OptionEDate`	Required	The option's expiry date.
`FaceValue`	Required	The bond's face value.
`BondSDate`	Required	The bond's settlement date.
`BondMDate`	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)
`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 value 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)

GIA_Bonds_OptionZeroCoupon_ValueFromYield

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

GIA_Bonds_OptionZeroCoupon_ValueFromYield(OptionType, Strike, Vol, InterestRate, OptionEDate, FaceValue, BondSDate, BondMDate, DR, Yield, VDate, Comp, Days)

Returns: Price of a European option on a zero coupon bond

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`Strike`	Required	The option's strike price.
`Vol`	Required	The volatility of the underlying bond's price.
`InterestRate`	Required	The interest rate.
`OptionEDate`	Required	The option's expiry date.
`FaceValue`	Required	The bond's face value.
`BondSDate`	Required	The bond's settlement date.
`BondMDate`	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)
`Yield`	Required	The flat discounting interest rate.
`VDate`	Required	The value 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)