ConvFactorGeneric





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Computes a conversion factor for Bond futures.

This is a generic formula ( used by ConvFactorGerman(), ConvFactorGilt() and ConvFactorOAT() ) which works for most Bond Futures contracts except TBonds and TNotes ( see ConvFactorTreasury() ) and JGBs ( see ConvFactorJGB() ).

This function is useful if you are computing conversio factors for contracts other than the common ones implemented within this category of functions.

The Bond object that is to be queried must have been previously created via one of the FixedCouponBond creation functions within the CapeTools Bonds, CapeTools Forward Bonds, CapeTools Bonds (Yield) or CapeTools Bonds (Price) category of functions.

These functions would have returned a string 'KEY' which is to be passed to the 'BondKey' parameter of this function.

Please refer to the large number of enumeration functions present within the CapeTools Enums category of functions.

The CapeTools Enums category of functions return correct string codes that can be passed to parameters taking fixed string values defined by the library (ie - DayCount codes, frequency codes, currency codes, compounding codes, business day convention codes etc...).

You can thus execute these enumeration functions which return the proper code, instead of trying to remember the string code needed or making spelling mistakes which can be difficult to debug.



Note: Within Excel, the function is named - CT.CTD.ConvFactorGeneric




High level graphic of ConvFactorGeneric() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. BondKey parameter

    Key Handle to an already constructed BOND object (Fixed Coupon Bonds only).
  2. DeliveryDate parameter

    Delivery date of the bond.
  3. baseYield parameter

    Base yield used to compute the conversion factor.
  4. YieldMethod parameter

    Yield-To-Maturity calculation convention. Probable values for computing conversion factors are : 'ISMA' (Compounded via the 'CompoundFreq' frequency parameter) or 'True' (Compounded via the 'CompoundFreq' frequency parameter, but uses adjusted bond dates (adjusted for weekends and holidays)).
  5. CompoundFreq parameter

    Normally, this parameter is set to the frequency of the underlying Bond coupons.
  6. DayCount parameter

    DayCounter for the 'YieldMethod' parameter. Most common used value is 'actact (bond)'.


Extended information

Function Syntax

VB Syntax


Double CTBondForwards.ConvFactorGeneric( _
String BondKey, _
Long DeliveryDate, _
Double baseYield, _
String YieldMethod, _
FreqEnum CompoundFreq, _
DayCountEnum DayCount)


Excel Spreadsheet Syntax


=CT.CTD.ConvFactorGeneric(
Excel String Cell BondKey,
Excel Numeric Cell DeliveryDate,
Excel Numeric Cell baseYield,
Excel String Cell YieldMethod,
Excel String Cell CompoundFreq,
Excel String Cell DayCount)


C++ Syntax


static double ConvFactorGeneric(
std::string BondKey,
long DeliveryDate,
double baseYield,
std::string YieldMethod,
FreqEnum CompoundFreq,
DayCountEnum DayCount);


DotNET Syntax


System.Double CTBondForwardsSA.ConvFactorGeneric(
System.String BondKey,
System.Int32 DeliveryDate,
System.Double baseYield,
System.String YieldMethod,
CTIEnums.FreqEnum CompoundFreq,
CTIEnums.DayCountEnum DayCount);

Parameter data types

ArgNameArgTypeIsKey
BondKeyStringTRUE
DeliveryDateLongFALSE
baseYieldDoubleFALSE
YieldMethodStringFALSE
CompoundFreqFreqEnumFALSE
DayCountDayCountEnumFALSE


Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
BondKeyFALSEBondKeyNAME.EXTTAG.TICKER (from a function call)
DeliveryDateFALSE21/Jul/2006 (serial date type)
baseYieldFALSE0.06
YieldMethodFALSEISMA
CompoundFreqFALSES
DayCountFALSEactact (bond)


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.Bonds20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the ConvFactorGeneric() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.

These are the financial QuantTools sub-function calls that are used within the examples :





The objects generated by these sub-functions are inter-connected in the following way :




The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the ConvFactorGeneric() function call


0.9325213754014

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