FixedRateBond Related Functions

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Constructor Functions

=McpFixedRateBond(args1, args2, args3, args4, args5, fmt='VP')

• Function: Constructs a FixedRateBond object.
• Parameters:
  • args1~args5: Parameter groups, supporting the following two input methods:
    1. First Parameter Set:
       • SettlementDate: The settlement date.
       • MaturityDate: The maturity date.
       • Frequency: The payment frequency (enumeration value).
       • Coupon: The coupon rate.
       • CouponType: The coupon type (enumeration value).
       • ValueDate: The value date.
       • IssuePrice: The issue price.
    2. Second Parameter Set:
       • Calendar: The holiday calendar object.
       • ValuationDate: The valuation date.
       • MaturityDate: The maturity date.
       • Frequency: The payment frequency (enumeration value).
       • Coupon: The coupon rate.
       • DayCounter: The day count convention (default is Act365Fixed).
       • ExInterestDays: Default is 0.
       • FaceValue: The face value (default is 100).
       • PrevCpnDate: The previous coupon payment date.
       • LastCpnDate: The last coupon payment date.
       • Issuer: The issuer.
       • DirtyPriceRounder: The dirty price rounding rule object.
       • CleanPriceRounder: The clean price rounding rule object.
       • AccruedInterestRounder: The accrued interest rounding rule object.
       • CashRounder: The cash flow rounding rule object.
       • RedempRounder: The redemption rounding rule object.
       • IssueDate: The issue date.
       • FirstCouponDate: The first coupon payment date.
       • NextCallDate: The next call date.
       • EndToEnd: Default is True.
       • LongStub: Default is False.
       • EndStub: Default is False.
       • ApplyDayCount: Default is False.
       • DateAdjuster: The date adjustment rule (default is Actual).
  • fmt: The parameter format (default is VP).
• Returns: A FixedRateBond object.

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FixedRateBond Utility Functions

=FrbDirtyPriceFromYieldCHN(bond, yld, compounding)

• Function: Calculates the dirty price (theoretical price) based on the yield to maturity (YTM).
• Parameters:
  • bond: The FixedRateBond object.
  • yld: The yield.
  • compounding: Whether to use continuous compounding (True or False).
• Returns: The dirty price.

=FrbCleanPriceFromYieldCHN(bond, yld, compounding, settleDateAdjust)

• Function: Calculates the clean price (theoretical price) based on the yield to maturity (YTM).
• Parameters:
  • bond: The FixedRateBond object.
  • yld: The yield.
  • compounding: Whether to use continuous compounding (True or False).
  • settleDateAdjust: The settlement date adjustment.
• Returns: The clean price.

=FrbDurationCHN(bond, yld)

• Function: Calculates the Macaulay duration based on the yield to maturity (YTM).
• Parameters:
  • bond: The FixedRateBond object.
  • yld: The yield.
• Returns: The Macaulay duration.

=FrbMDurationCHN(bond, yld)

• Function: Calculates the modified duration based on the yield to maturity (YTM).
• Parameters:
  • bond: The FixedRateBond object.
  • yld: The yield.
• Returns: The modified duration.

=FrbPVBPCHN(bond, yld)

• Function: Calculates the price value of a basis point (PVBP) based on the yield to maturity (YTM).
• Parameters:
  • bond: The FixedRateBond object.
  • yld: The yield.
• Returns: The PVBP.

=FrbConvexityCHN(bond, yld)

• Function: Calculates the convexity based on the yield to maturity (YTM).
• Parameters:
  • bond: The FixedRateBond object.
  • yld: The yield.
• Returns: The convexity.

=FrbPrice(bond, curve)

• Function: Calculates the dirty price (theoretical price) based on the yield curve.
• Parameters:
  • bond: The FixedRateBond object.
  • curve: The yield curve.
• Returns: The dirty price.

=FrbFairValue(bond, curve)

• Function: Calculates the fair yield based on the yield curve.
• Parameters:
  • bond: The FixedRateBond object.
  • curve: The yield curve.
• Returns: The fair yield.

=FrbGSpread(bond, yld, curve)

• Function: Calculates the G-Spread based on the yield curve.
• Parameters:
  • bond: The FixedRateBond object.
  • yld: The yield to maturity (YTM).
  • curve: The yield curve.
• Returns: The G-Spread.

=FrbZSpread(bond, yld, curve)

• Function: Calculates the Z-Spread based on the yield curve.
• Parameters:
  • bond: The FixedRateBond object.
  • yld: The yield to maturity (YTM).
  • curve: The yield curve.
• Returns: The Z-Spread.

=FrbYieldFromDirtyPriceCHN(bond, dirtyPrice, compounding)

• Function: Calculates the yield based on the dirty price.
• Parameters:
  • bond: The FixedRateBond object.
  • dirtyPrice: The dirty price.
  • compounding: Whether to use continuous compounding (True or False).
• Returns: The yield.

=FrbYieldFromCleanPriceCHN(bond, cleanPrice, compounding)

• Function: Calculates the yield based on the clean price.
• Parameters:
  • bond: The FixedRateBond object.
  • cleanPrice: The clean price.
  • compounding: Whether to use continuous compounding (True or False).
• Returns: The yield.

=FrbAccruedDaysCHN(bond)

• Function: Calculates the accrued days based on the FixedRateBond.
• Parameters:
  • bond: The FixedRateBond object.
• Returns: The accrued days.

=FrbAccruedInterestCHN(bond)

• Function: Calculates the accrued interest based on the FixedRateBond.
• Parameters:
  • bond: The FixedRateBond object.
• Returns: The accrued interest.

=FrbPayments(bond, fields)

• Function: Calculates the cash flows based on the FixedRateBond.
• Parameters:
  • bond: The FixedRateBond object.
  • fields: The field array (e.g., PaymentDate, Payment).
• Returns: An array of cash flow information.

=FrbKeyRateDuration(bond, curve, tenors, adjustWithEffectiveDuration, fmt='V')

• Function: Calculates the key rate duration based on the FixedRateBond, yield curve, and tenors.
• Parameters:
  • bond: The FixedRateBond object.
  • curve: The yield curve.
  • tenors: The array of tenors.
  • adjustWithEffectiveDuration: Whether to adjust with effective duration (boolean).
  • fmt: The parameter format (default is V).
• Returns: The key rate duration.

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