FwdCouponBond




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CapeTools Forward Bonds function list

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Creates a Forward fixed coupon bond object.

A flat repurchase rate (repo rate) is required as well as the delivery or Forward date.

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.



This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "FWDBND"



Note: Within Excel, the function is named - CT.FWDBOND.FwdCouponBond


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



Parameter Description


  1. Key parameter

    Key Handle to be used for the new Bond object.
  2. Reload parameter

    When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
  3. BondKey parameter

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

    Forward date of the bond.
  5. reporate parameter

    A repurchase rate (repo rate) value.
  6. compounding parameter

    The compounding of the repurchase rate (repo rate) passed in. 'Discounted' 1/(1-r*t), 'Simple' (1+r*t), 'Compounded' (1+r/N)^(t*N), where N is the number of coupons per year, 'Continuous' e^{r*t} and 'SimpleThenCompounded' (Simple up to the first period then Compounded).
  7. Freq parameter

    Frequency of the repo rate. (
  8. DayCount parameter

    The DayCounter of the repo rate.


Extended information

Function Syntax

VB Syntax 


String CTBondForwards.FwdCouponBond( _
String Key, _
Long Reload, _
String BondKey, _
Long FwdDate, _
Double reporate, _
COMPEnum compounding, _
FreqEnum Freq, _
DayCountEnum DayCount)


Excel Spreadsheet Syntax 


=CT.FWDBOND.FwdCouponBond(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell BondKey,
Excel Numeric Cell FwdDate,
Excel Numeric Cell reporate,
Excel String Cell compounding,
Excel String Cell Freq,
Excel String Cell DayCount)


C++ Syntax 


static std::string FwdCouponBond(
std::string Key,
long Reload,
std::string BondKey,
long FwdDate,
double reporate,
COMPEnum compounding,
FreqEnum Freq,
DayCountEnum DayCount);


DotNET Syntax 


System.String CTBondForwardsSA.FwdCouponBond(
System.String Key,
System.Int32 Reload,
System.String BondKey,
System.Int32 FwdDate,
System.Double reporate,
CTIEnums.COMPEnum compounding,
CTIEnums.FreqEnum Freq,
CTIEnums.DayCountEnum DayCount);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
BondKeyStringTRUE
FwdDateLongFALSE
reporateDoubleFALSE
compoundingCOMPEnumFALSE
FreqFreqEnumFALSE
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
KeyFALSEMyFwdCouponBond
ReloadFALSE1
BondKeyFALSEBondKeyNAME.EXTTAG.TICKER (from a function call)
FwdDateFALSE21/Jul/2007 (serial date type)
reporateFALSE0.055
compoundingFALSECompounded
FreqFALSEA
DayCountFALSEACT360


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 FwdCouponBond() 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 FwdCouponBond() function call


MyFwdCouponBond_1.FWDBND.0

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