BNDBookDirtyPrice2




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CapeTools Bond Portfolio function list

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Computes for an individual bond within the portfolio (via the 'BondName' parameter), a bond's dirty price given a yield and settlement date.

If the settlement date is not passed in (or a zero [0] entered), the Bond portfolio's settlement date will be used.

The Bond object that is to be queried must have been previously created via the BondPortfolio(), BondPortfolio_y() or BondPortfolio_p() functions.

These functions would have returned a string 'KEY' which is to be passed to the 'BNDBondKey' 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.BONDBOOK.DirtyPrice2


High level graphic of BNDBookDirtyPrice2() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. BNDBookKey parameter

    Key Handle to an already constructed portfolio bond object.
  2. BondName parameter

    The Bond you wish you extract (Keyed by name).
  3. Yield parameter

    Yield value.
  4. YieldMethod parameter

    Yield-To-Maturity calculation convention. Possible values are : 'Simple' (same as MoneyMarket - 1+r*t), 'Discount ( 1/(1 - r*t) )', 'JGB' (Japanese Government Bond Yield), 'ISMA' (Compounded via the 'CompoundFreq' frequency parameter), 'Moosmuller' (same as ISMA but the very first coupon uses the 'Simple' method calculation), 'Continuous' (for continuous compounding) or 'True' (Compounded via the 'CompoundFreq' frequency parameter, but uses adjusted bond dates (adjusted for weekends and holidays)).
  5. CompoundFreq parameter

    If the 'YieldMethod' parameter is either 'ISMA', 'Moosmuller' or 'True', then this is the compounding frequency. This parameter will otherwise be ignored.
  6. perDayCount parameter

    Quotation dayCounter for the 'YieldMethod' parameter.


Extended information

Function Syntax

VB Syntax 


Double CTBondPortfolio.BNDBookDirtyPrice2( _
String BNDBookKey, _
String BondName, _
Double Yield, _
String YieldMethod, _
FreqEnum CompoundFreq, _
DayCountEnum perDayCount)


Excel Spreadsheet Syntax 


=CT.BONDBOOK.DirtyPrice2(
Excel String Cell BNDBookKey,
Excel String Cell BondName,
Excel Numeric Cell Yield,
Excel String Cell YieldMethod,
Excel String Cell CompoundFreq,
Excel String Cell perDayCount)


C++ Syntax 


static double BNDBookDirtyPrice2(
std::string BNDBookKey,
std::string BondName,
double Yield,
std::string YieldMethod,
FreqEnum CompoundFreq,
DayCountEnum perDayCount);


DotNET Syntax 


System.Double CTBondPortfolioSA.BNDBookDirtyPrice2(
System.String BNDBookKey,
System.String BondName,
System.Double Yield,
System.String YieldMethod,
CTIEnums.FreqEnum CompoundFreq,
CTIEnums.DayCountEnum perDayCount);

Parameter data types

ArgNameArgTypeIsKey
BNDBookKeyStringTRUE
BondNameStringFALSE
YieldDoubleFALSE
YieldMethodStringFALSE
CompoundFreqFreqEnumFALSE
perDayCountDayCountEnumFALSE

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
BNDBookKeyFALSEBNDBookKeyNAME.EXTTAG.TICKER (from a function call)
BondNameFALSEMicrosoft
YieldFALSE0.055
YieldMethodFALSEISMA
CompoundFreqFALSEA
perDayCountFALSEACT365F


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 BNDBookDirtyPrice2() 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 BNDBookDirtyPrice2() function call


-591682.046372504

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