Bond Yield Curve Related Functions

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Construction Functions

Excel: =McpFixedRateBondCurveData(args1, args2, args3, args4, args5, fmt='VP|HD')

Python: McpFixedRateBondCurveData(*args)

• Function: Constructs a bond yield curve.
• Parameters:
  • args1~args5 or *args: Parameter groups.
  • SettlementDate: Settlement date.
  • MaturityDates: Array of maturity dates.
  • Frequencies: Array of payment frequencies.
  • Coupons: Array of coupon rates.
  • YieldsOrDirtyPrice: Array of yields or dirty prices.
  • DayCounter: Day count convention (enumeration value).
  • IsYield: Boolean indicating whether the input is yield (True) or dirty price (False).
  • BumpAmounts: Array of coupon adjustments (e.g., 0.01 means adding 0.01 to all coupons).
  • BUses: Array indicating whether to use the corresponding data row (Y or N).
  • Calendar: Holiday calendar object.
  • fmt: Parameter format (default is VP|HD),Excel-specific parameters.
• Returns: Bond yield curve object.

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Excel: =McpBondCurve(args1, args2, args3, args4, args5, fmt='VP|HD')

Python: McpBondCurve(*args)

• Function: Constructs a bond yield curve.
• Parameters:
  • args1~args5 or *args: Parameter groups, supporting two input methods:
    1. First Method:
       • SettlementDate: Settlement date.
       • Mode: Mode (default is frb).
       • InterpolatedVariable: Interest type (enumeration value).
       • InterpolationMethod: Interpolation method (enumeration value).
       • DayCounter: Day count convention (enumeration value).
       • MaturityDates: Array of maturity dates.
       • Frequencies: Array of payment frequencies.
       • Coupons: Array of coupon rates.
       • YieldsOrDirtyPrice: Array of yields or dirty prices.
       • IsYield: Boolean indicating whether the input is yield (True) or dirty price (False).
       • BumpAmounts: Array of coupon adjustments.
       • BUses: Array indicating whether to use the corresponding data row (Y or N).
       • Calendar: Holiday calendar object.
    2. Second Method:
       • SettlementDate: Settlement date.
       • CalibrationSet: Asset portfolio for curve construction (e.g., a set of VanillaSwap or Depo).
       • InterpolatedVariable: Interest type (enumeration value).
       • InterpolationMethod: Interpolation method (enumeration value).
       • DayCounter: Day count convention (enumeration value).
  • fmt: Parameter format (default is VP|HD),Excel-specific parameters.
• Returns: Bond yield curve object.

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Excel: =McpBondCurve2(args1, args2, args3, args4, args5)

• Function: Constructs a BondCurve object.
• Parameters:
  • args1~args5: Parameter groups.
  • SettlementDate: Settlement date.
  • InterpolatedVariable: Interest type (enumeration value).
  • InterpolationMethod: Interpolation method (enumeration value).
  • DayCounter: Day count convention (enumeration value).
  • CalibrationSet: Asset portfolio object.
• Returns: BondCurve object.

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Excel: =McpCalibrationSet(args)

• Function: Used to store an asset portfolio of different products (e.g., Depo, Swap, Bond) during curve construction.
• Parameters:
  • args: Different interest rate products.
• Returns: Asset portfolio object.

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Parametric Curve Related Functions

Construction Functions

Excel: =McpParametricCurve(args1, args2, args3, args4, args5, fmt='VP|HD')

Python: McpParametricCurve(*args)

• Function: Constructs parametric curves such as NSS, NS, and CIR.
• Parameters:
  • args1~args5 or *args: Parameter groups, supporting two input methods:
    1. First Method:
       • ReferenceDate: Reference date.
       • MaturityDates: Array of maturity dates.
       • Rates: Array of rates.
       • ParamCurveModel: Curve model (e.g., NS, NSS, CIR, default is NS).
       • DayCounter: Day count convention (default is Act365Fixed).
    2. Second Method:
       • ReferenceDate: Reference date.
       • MaturityDate: Array of maturity dates.
       • Yield: Array of yields.
       • ParamCurveModel: Curve model (e.g., NS, NSS, CIR, default is NS).
       • DayCounter: Day count convention (default is Act365Fixed).
  • fmt: Parameter format (default is VP),Excel-specific parameters.
• Returns: Parametric curve object.

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Utility Functions

Excel: =YieldCurveZeroRate(Curve, Date)

Python: ZeroRate(endDate)

• Function: Retrieves the zero rate for a specified date from the yield curve.
• Parameters:
  • Curve: Yield curve object,Python API does not require this parameter.
  • Date: Target date.
• Returns: Zero rate value.

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Excel: =YieldCurveDiscountFactor(Curve, Date)

Python: DiscountFactor(*args)

• Function: Retrieves the discount factor for a specified date from the yield curve.
• Parameters:
  • Curve: Yield curve object.
  • Date: Target date.
  • *args：is a dictionary, does not require the Curve parameter, other parameters are the same as those in Excel.
• Returns: Discount factor.

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Excel: =YieldCurveForwardRate(Curve, startDate, endDate, dayCounter=DayCounter.Act365Fixed, compounding=False, frequency=Frequency.NoFrequency)

Python: ForwardRate(startDate, endDate, dayCounter, compounding, frequency)

• Function: Retrieves the forward rate from the yield curve.
• Parameters:
  • Curve: Yield curve object,Python API does not require this parameter.
  • startDate: Start date.
  • endDate: End date.
  • dayCounter: Day count convention (default is Act365Fixed).
  • compounding: Boolean indicating whether to use compounding (default is False).
  • frequency: Compounding frequency (default is NoFrequency).
• Returns: Forward rate.

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Notes

1. Parameter Format: The fmt parameter specifies the parameter format, with a default value of VP or VP|HD.
2. Enumeration Values: Some parameters (e.g., DayCounter, ParamCurveModel) are enumeration values; refer to specific definitions for details.
3. Default Values: Parameters not explicitly stated usually have default values, which can be adjusted as needed.