Bonds Category Group

CapeTools Bonds

General Description

Functions for constructing a Bond object given a yieldcurve. You can construct FixedCoupon, FloatingRate, MoneyMarket or ZeroCoupon Bond objects.

You can query and price these bond objects via functions present within the 'CapeTools Query Bonds' category of functions.

CapeTools Bonds (Yield)

General Description

Functions for constructing a Bond object given a yield-to-maturity value (YTM). You can construct FixedCoupon, FloatingRate, MoneyMarket or ZeroCoupon Bond objects.

In addition you can create currency specific FixedCoupon Bond objects. The following currency specific bonds are supported :

Australian Commonwealth Government Bond (CGB)

Austrian Federal Government Bond

Belgian Government Bond (OLO)

Canadian Treasury Bond (CANADA)

Czech Government Bond

Danish Government Bond (DGB)

Dutch Government Bond (DSL)

Finnish Government Bond (MARKKAS)

French Government Bond (BTAN, OAT)

German Federal Government Bond (BUND)

Irish Government Bond (IGBS)

Italian Government Bond (BTP)

Japanese Government Bond (JGB)

New Zealand Government Bond (NZG)

Norwegian Government Bond

Portuguese Government Bond (OT)

South African Government Bond (GILT)

Spanish Government Bond (BONOS)

Swedish Government Bond (STATSSOBLIGATIONS)

Swiss Government Bond (SGB)

UK Government Bond (GILT)

US Treasury Bond (TREASURY)

These bonds internally are all FixedCoupon Bond objects with a few of the parameters pre-programmed.

You can query and price these bond objects via functions present within the 'CapeTools Query Bonds' category of functions.

CapeTools Bonds (Price)

General Description

Functions for constructing a Bond object given the Bond's clean price. You can construct FixedCoupon, FloatingRate, MoneyMarket or ZeroCoupon Bond objects.

In addition you can create currency specific FixedCoupon Bond objects. The following currency specific bonds are supported :

Australian Commonwealth Government Bond (CGB)

Austrian Federal Government Bond

Belgian Government Bond (OLO)

Canadian Treasury Bond (CANADA)

Czech Government Bond

Danish Government Bond (DGB)

Dutch Government Bond (DSL)

Finnish Government Bond (MARKKAS)

French Government Bond (BTAN, OAT)

German Federal Government Bond (BUND)

Irish Government Bond (IGBS)

Italian Government Bond (BTP)

Japanese Government Bond (JGB)

New Zealand Government Bond (NZG)

Norwegian Government Bond

Portuguese Government Bond (OT)

South African Government Bond (GILT)

Spanish Government Bond (BONOS)

Swedish Government Bond (STATSSOBLIGATIONS)

Swiss Government Bond (SGB)

UK Government Bond (GILT)

US Treasury Bond (TREASURY)

These bonds internally are all FixedCoupon Bond objects with a few of the parameters pre-programmed.

You can query and price these bond objects via functions present within the 'CapeTools Query Bonds' category of functions.

CapeTools Query Bonds

General Description

Given Bond objects created via the 'CapeTools Bonds (Price)', 'CapeTools Bonds (Yield)' or 'CapeTools Bonds' categories of functions, the functions presented here can query for information or price the bond object.

CapeTools Municipal Bonds

General Description

Functions for constructing a Municipal Bond object. A Municipal Bond object is really a portfolio of bonds with different maturities. However all the bonds use the same BusinessDayConvention, DayCounter and Coupon Frequency.

There are three Municipal Bond object creation functions. One that takes a YieldCurve, one that takes a clean price and finally one that takes a Yield-To-Maturity value.

Functions for querying and pricing these Municipal Bond objects are also present within this category.

CapeTools Bond Portfolio

General Description

Functions for constructing a Portfolio of Bond objects.

There are three Portfolio Bond object creation functions. One that takes a YieldCurve, one that takes a clean price and finally one that takes a Yield-To-Maturity value.

Functions for querying and pricing these Portfolio Bond objects are also present within this category.

CapeTools Bond Portfolio Description

CapeTools Forward Bonds

General Description

Functions for constructing Forward Bond Objects

There are two different functions for constructing Forward Bond objects. One that takes a repo curve (see CapeTools Repo Curves) and the other that takes a flat repo rate.

For functions that return derivative values, for example DRepo(), D2Repo(), DPrice() and D2Price(), the derivatives returned are the mathematically defined definition of a derivative. To convert this mathematical definition into a market move, simply multiply the result for the desired shift.
For example a one basis point change in the repo rate would require you to multiply the derivative value obtained from the DRepo() function by 0.00001 and the derivative value obtained from the D2Repo() function by 0.00001*0.00001.

CapeTools Bond Options

General Description

Functions for constructing Bond Option Objects

There are two different functions for constructing Bond Option objects within this category. One that takes a repo curve (see CapeTools Repo Curves) and the other that takes a flat repo rate.

The functions presented here price European Bond Options. You will not generate accurate results if your underlying Bond object has any of the following features :

Amortised Notionals

Step Up/Down Coupon rates

This is because a Cox-Ross-Rubinstein Binomial Tree Engine is used to price the option and only the Bond Price is used from the Bond Object. The pricing algorithm here does not keep track of amortised/coupon values from cashflow to cashflow.
In addition, you cannot use this function if you require Bermudan type option prices.

In order to overcome these limitations, you need to use the Bond Option functions present within the [TOPIC]CapeTools IREngineOptions[TOPIC] category of functions. The Bond Option functions here utilize term-structure models.