Zero Coupon Bond

Last updated 9 November 2026

Function reference › Bonds › Zero Coupon Bonds

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

GIA_Bonds_ZeroCoupon_KR01FromCurve

Returns the KR01 of a zero coupon bond, given an interest rate curve for discounting future cash flows.

GIA_Bonds_ZeroCoupon_KR01FromCurve(FaceValue, MDate, DR, DCurveDates, DCurveRates, VDate, Comp, Days, Interp, Spread, StartKeyRate, EndKeyRate)

Returns: KR01 of a zero coupon bond

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`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)
`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)
`Spread`	Required	The spread (in basis points) that is added to the discounting curve
`StartKeyRate`	Required	The starting key rate (1W, 2M, 3Y, etc)
`EndKeyRate`	Required	The ending key rate (1W, 2M, 3Y, etc). If no value is provided, calculates the key rate duration

GIA_Bonds_ZeroCoupon_KRDurationFromCurve

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

GIA_Bonds_ZeroCoupon_KRDurationFromCurve(FaceValue, MDate, DR, DCurveDates, DCurveRates, VDate, Comp, Days, Interp, Spread, StartKeyRate, EndKeyRate)

Returns: Key Rate Duration of a zero coupon bond

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`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)
`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)
`Spread`	Required	The spread (in basis points) that is added to the discounting curve
`StartKeyRate`	Required	The starting key rate (1W, 2M, 3Y, etc)
`EndKeyRate`	Required	The ending key rate (1W, 2M, 3Y, etc). If no value is provided, calculates the key rate duration

GIA_Bonds_ZeroCoupon_RiskFromCurve

Returns the risk measures (DV01, Macaulay Duration, Modified Duration, Convexity, KR01, Bucket DV01, Key Rate Duration or Bucket Duration) of a zero coupon bond, given an interest rate curve for discounting future cash flows.

GIA_Bonds_ZeroCoupon_RiskFromCurve(FaceValue, MDate, DR, DCurveDates, DCurveRates, VDate, 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 a zero coupon bond

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`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)
`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)
`Spread`	Optional, default 0	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_ZeroCoupon_RiskFromPrice

Returns the risk measures (DV01, Macaulay Duration, Modified Duration, Convexity) of a zero coupon bond, given bond price.

GIA_Bonds_ZeroCoupon_RiskFromPrice(FaceValue, MDate, DR, Price, VDate, Comp, Days, RM)

Returns: Risk measures (DV01, Macaulay Duration, Modified Duration, Convexity) of a zero coupon bond

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`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)
`Price`	Required	The bond's price
`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)

GIA_Bonds_ZeroCoupon_RiskFromYield

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.

GIA_Bonds_ZeroCoupon_RiskFromYield(FaceValue, MDate, DR, Yield, VDate, Comp, Days, RM)

Returns: Risk measures (DV01, Macaulay Duration, Modified Duration, Convexity) of a zero coupon bond

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`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)
`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)

GIA_Bonds_ZeroCoupon_ValueFromCurve

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

GIA_Bonds_ZeroCoupon_ValueFromCurve(FaceValue, MDate, DR, DCurveDates, DCurveRates, VDate, Comp, Days, Interp, [Spread])

Returns: Price of a zero coupon bond

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`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)
`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)
`Spread`	Optional, default 0	The spread (in basis points) that is added to the discounting curve

GIA_Bonds_ZeroCoupon_ValueFromYield

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

GIA_Bonds_ZeroCoupon_ValueFromYield(FaceValue, MDate, DR, Yield, VDate, Comp, Days)

Returns: Price of a zero coupon bond

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`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)
`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)

GIA_Bonds_ZeroCoupon_YTM

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

GIA_Bonds_ZeroCoupon_YTM(FaceValue, MDate, DR, VDate, Comp, Days, Price)

Returns: Yield to maturity of a zero coupon bond

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`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)
`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)
`Price`	Required	The bond's price

GIA_Bonds_ZeroCoupon_Zspread

Returns the Z-spread of a zero coupon bond, given its value and zero interest rate curve for discounting future cash flows.

GIA_Bonds_ZeroCoupon_Zspread(FaceValue, MDate, DR, Value, DCurveDates, DCurveRates, VDate, Comp, Days, Interp, ValueType)

Returns: Z-spread of a zero coupon bond

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`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)
`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.
`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)
`ValueType`	Required	Bond price type (Clean, Dirty)