CapeTools Bond Portfolio

CapeTools Bond Portfolio

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In total there are 47 functions present within the CapeTools Bond Portfolio category of functions.

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

Function list.

BNDBookAccrualDays - Return a range object containing an array of a Bond's Coupon Accrual Days.
BNDBookAccrualTimes - Return a range object containing an array of a Bond's Accrual Times.
BNDBookAccruedAmount - Computes, for either the entire Bond portfolio or for an individual bond within the portfolio (via the optional 'BondName' parameter), the bond(s) Accrued Amount.
BNDBookAccruedAmounts - Return an array of the Accrued Amounts of each individual bond stored within the given portfolio.
BNDBookBDC - Return a Bond's Business Day Convention code.
BNDBookBPV - Computes, for an individual bond within a portfolio (via the 'BondName' parameter), a bond's Basis Point Value.
BNDBookBPV2 - Computes, for an individual bond within a portfolio (via the 'BondName' parameter), a bond's Basis Point Value.
BNDBookBondYields - Computes, for an individual bond within the portfolio (via the 'BondName' parameter), a range of different Bond yield types (True yield annual act/365F, True yield semi-annual act/365F, Equivalent (semi-annually compounded with an act/act), Equivalent JGB Simple Rate, Equivalent annually compounded act/365 and Equivalent annually compounded act/360), given a Bond object.
BNDBookCalendar - Return the Calendar Key of a bond object.
BNDBookCleanPrice - Computes, for either the entire Bond portfolio or for an individual bond within the portfolio (via the optional 'BondName' parameter), the bond(s) clean price.
BNDBookCleanPrice2 - Computes for an individual bond within the portfolio (via the 'BondName' parameter), a bond's clean price given a yield.
BNDBookCleanPrices - Return an array of the clean price of each individual bond stored within the given portfolio.
BNDBookConvexity - Computes, for an individual bond within a portfolio (via the 'BondName' parameter), a bond's Convexity.
BNDBookConvexity2 - Computes, for an individual bond within a portfolio (via the 'BondName' parameter), a bond's Convexity.
BNDBookCoupons - Return a range object containing an array of a Bond's coupons.
BNDBookDCFs - Return a range object containing an array of a Bond's Coupon Discount factors.
BNDBookDayCount - Return a Bond's Day Count Convention code.
BNDBookDaysAccured - Return the Bond's number of days within the accrued period.
BNDBookDaysToMat - Return the Bond's number of days to maturity.
BNDBookDaysToNextFlow - Return the Bond's number of days from the value date until the next cashflow.
BNDBookDetails - Return the Bond's cashflows and other extended details.
BNDBookDirtyPrice - Computes, for either the entire Bond portfolio or for an individual bond within the portfolio (via the optional 'BondName' parameter), the bond(s) dirty price.
BNDBookDirtyPrice2 - Computes for an individual bond within the portfolio (via the 'BondName' parameter), a bond's dirty price given a yield and settlement date.
BNDBookDirtyPrices - Return an array of the dirty price of each individual bond stored within the given portfolio.
BNDBookEndDates - Return a range object containing an array of a Bond's Coupon END dates.
BNDBookFreq - Return a Bond's Frequency code.
BNDBookJGBYield - Return a Bond's JGB yield.
BNDBookMacDuration - Computes, for an individual bond within a portfolio (via the 'BondName' parameter), a bond's Macaulay Duration.
BNDBookMacDuration2 - Computes, for an individual bond within a portfolio (via the 'BondName' parameter), a bond's Macaulay Duration.
BNDBookModDuration - Computes, for an individual bond within a portfolio (via the 'BondName' parameter), a bond's Modified duration.
BNDBookModDuration2 - Computes, for an individual bond within a portfolio (via the 'BondName' parameter), a bond's Modified duration.
BNDBookNextCashFlow - Return the Bond's next cash flow date.
BNDBookNoOfCashFlows - Return the Bond's number of cashflows remaining.
BNDBookPayTimes - Return a range object containing an array of a Bond's Pay Times.
BNDBookPrevCashFlow - Return the Bond's previous cash flow date.
BNDBookStartDates - Return a range object containing an array of a Bond's Coupon START dates.
BNDBookSummary - Return summary information of a bond object contained within a bond portfolio.
BNDBookYVBP - Computes, for an individual bond within a portfolio (via the 'BondName' parameter), a bond's Yield Value Basis Point.
BNDBookYVBP2 - Computes, for an individual bond within a portfolio (via the 'BondName' parameter), a bond's Basis Point Value.
BNDBookYearsToMat - Return the Bond's number of years to maturity.
BNDBookYield - Computes, for an individual bond within the portfolio (via the 'BondName' parameter), a bond's yield.
BNDBookYield2 - Computes for an individual bond within the portfolio (via the 'BondName' parameter), a bond's yield given a (clean) price.
BNDBookYieldToCall - Computes, for an individual bond within a portfolio (via the 'BondName' parameter), the Bond's yield to call date given a call price and date.
BNDBookYields2 - Computes, for an individual bond within the portfolio (via the 'BondName' parameter), a range of different Bond yield types (True yield annual act/365F, True yield semi-annual act/365F, Equivalent (semi-annually compounded with an act/act), Equivalent JGB Simple Rate, Equivalent annually compounded act/365 and Equivalent annually compounded act/360), given a Bond object.
BondPortfolio - Creates a fixed portfolio bond object.
BondPortfolio_p - Creates a fixed portfolio bond object.
BondPortfolio_y - Creates a fixed portfolio bond object.