Fixed Income Bond Related Functions

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Construction Functions

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

Python: McpFixedRateBond(*args)

• Function: Constructs a fixed-rate bond object.
• Parameters:
  • args1-args5 or *args: Parameter groups, including the following specific parameters:
    • SettlementDate: Settlement date (data type: date).
    • MaturityDate: Maturity date (data type: date).
    • Frequency: Payment frequency (data type: enumeration).
    • Coupon: Coupon rate (data type: float).
    • CouponType: Coupon type (data type: enumeration).
    • ValueDate: Value date (data type: date).
    • IssuePrice: Issue price (data type: float).
  • fmt: Parameter group format (default is 'VP'),Excel-specific parameters.
• Returns: FixedRateBond object.

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Utility Functions

Excel: =FrbCleanPriceFromYieldCHN(bond, yld, compounding, settleDateAdjust)

• Function: Calculates the clean price (theoretical price) of the bond based on the yield (YTM).
• Parameters:
  • bond: FixedRateBond object.
  • yld: Yield.
  • compounding: Whether to use continuous compounding (true for continuous, otherwise discrete).
  • settleDateAdjust: Purpose not explicitly stated.
• Returns: Clean price.

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Excel: =FrbDirtyPriceFromYieldCHN(bond, yld, compounding)

• Function: Calculates the dirty price (theoretical price) of the bond based on the yield (YTM).
• Parameters:
  • bond: FixedRateBond object.
  • yld: Yield.
  • compounding: Whether to use continuous compounding (true for continuous, otherwise discrete).
• Returns: Dirty price.

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Excel: =FrbPrice(bond, curve)

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

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Excel: =FrbDurationCHN(bond, yld)

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

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Excel: =FrbMDurationCHN(bond, yld)

• Function: Calculates the modified duration of the bond based on the yield (YTM).
• Parameters:
  • bond: FixedRateBond object.
  • yld: Yield.
• Returns: Modified duration.

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Excel: =FrbConvexityCHN(bond, yld)

• Function: Calculates the convexity of the bond based on the yield (YTM).
• Parameters:
  • bond: FixedRateBond object.
  • yld: Yield.
• Returns: Convexity.

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Excel: =FrbPVBPCHN(bond, yld)

• Function: Calculates the PVBP (Price Value of a Basis Point) of the bond based on the yield (YTM).
• Parameters:
  • bond: FixedRateBond object.
  • yld: Yield.
• Returns: PVBP.

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Excel: =FrbYieldFromDirtyPriceCHN(bond, dirtyPrice, compounding)

• Function: Calculates the yield of the bond based on its dirty price.
• Parameters:
  • bond: FixedRateBond object.
  • dirtyPrice: Dirty price.
  • compounding: Whether to use continuous compounding (true for continuous, otherwise discrete).
• Returns: Yield.

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Excel: =FrbFairValue(bond, curve)

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

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Excel: =FrbGSpread(bond, yld, curve)

• Function: Calculates the G-Spread of the bond based on the yield curve.
• Parameters:
  • bond: FixedRateBond object.
  • yld: YTM yield.
  • curve: Yield curve.
• Returns: G-Spread.

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Excel: =FrbZSpread(bond, yld, curve)

• Function: Calculates the Z-Spread of the bond based on the yield curve.
• Parameters:
  • bond: FixedRateBond object.
  • yld: YTM yield.
  • curve: Yield curve.
• Returns: Z-Spread.

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