FixedCouponBond_y

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

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. Ccy parameter
   
   
   The currency code that you want to associate with the Bond.
4. SettleDate parameter
   
   
   Settlement date of the Bond.
5. datedDate parameter
   
   
   Dated date of the bond. Date on which the bond begins to accrue interest. If you enter 0 for this parameter (or leave it blank within Excel) the datedDate will be computed internally based on the maturity date and the settlement date.
6. firstCouponDate parameter
   
   
   First Coupon Date: Date that the first coupon is paid (if bond does not have an odd first period, leave blank or enter 0). If entered, this date value must be greater than the Dated Date, but less than the 'penultCouponDate' and 'matDate' parameters.
7. penultCouponDate parameter
   
   
   Penultimate Coupon Date: Date that the penultimate coupon is paid (if bond does not have an odd last period, leave blank or enter 0). If entered, this date value must be greater than the 'datedDate' and 'firstCouponDate' parameters, but less than the 'matDate' parameter.
8. matDate parameter
   
   
   Maturity date of the bond.
9. exDivTenor parameter
   
   
   The ex-dividend tenor. The tenor is composed of 2 parts. The first being a positive valued numeric amount, the second, the units of the numeric amount. Possible values for the units are 'BD' (for business days - ie 3BD), 'CD' (for calendar days - ie 5CD) and 'M' (for months - ie 3M). To specify no ex-dividend treatment, enter the value ('none')
10. coupons parameter
    
    
    A vector of coupons. For a single coupon value to be applied to all periods, pass in a single numeric value.
11. couponFreq parameter
    
    
    Coupon Frequency of the bond. Can use any of the Frequency codes contained within the 'CapeTools Frequency Enums' category of functions.
12. exactCoupon parameter
    
    
    Whether (for non short or long period periods) coupon payments are equal (false) or exact (true). Equal coupons have a constant payment schedule throughout the life of the bond, while bonds with exact coupons have a variable payment schedule which depends on the number of days within each coupon period. Government Bonds tend to have equal coupon payments and thus this parameter will take on a value of 'false'.
13. cpnDayCount parameter
    
    
    Coupon DayCounter to use for the bond coupon payments. If you wish for the coupon payment amounts for all coupon periods to be the same (excluding long and short coupon periods and assuming the same coupon rate for each period), specify a value of 'false' for the 'exactCoupon' parameter. Setting the 'exactCoupon' parameter to 'false' essentially overrides this parameter with the value 'simple' (indicating that the SimpleDayCounter will be used - see DCsimple() ).
14. accDayCount parameter
    
    
    Accrued interest DayCounter to use for the bond. Used only for the computation of accrued interest.
15. calKey parameter
    
    
    Key to an already constructed Calendar object. Used to adjust dates for holidays in the case of a true yield calculation method or where the 'exactCoupon' parameter has been set to true.
16. BusDayConv parameter
    
    
    Business Day Convention to use. Used for bond date calculations.
17. redemption parameter
    
    
    Redemption value of the bond (ie 100.0) .
18. BondYield parameter
    
    
    The Bond's yield value.
19. YieldMethod parameter
    
    
    Yield calculation convention for all coupon periods except when there is only one coupon period left to bond maturity (Bond's settlement date is greater or equal to the 'penultCouponDate' date). The value of this parameter consists of three parts (broken up via the colon parameter). The first part indicates the Yield calculation method, the second (optional) part, the dayCounter that the calculation will utilise and the third (optional) part the frequency of the Yield calculation method. Possible values for the first part 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)). Possible values for the second (optional) part are any of the dayCounter codes present within the 'CapeTools DayCount Enums' category of functions. Possible values for the third (optional) part are any of the Frequency codes present within the 'CapeTools Frequency Enums' category of functions. For example, to specify a Yield calculation of ISMA, Actual360, specify a value of 'ISMA:Actual360' (case-insensitive). The frequency will default to the 'couponFreq' parameter. A full specification would be 'ISMA:Actual360:S' (case-insensitive). The minimum specification is just the yield method (ie - 'ISMA'). In the latter case, the DayCounter
    will default to the 'cpnDayCount' parameter and the frequency will default to the 'couponFreq' parameter. Once this object is built, you can request for other yield calculation combinations based on this bond object via the BondYield2() function.
20. FCYieldMethod parameter
    
    
    Final Coupon Yield calculation convention for the last coupon paying period when there is only one coupon period left to bond maturity (Bond's settlement date is greater or equal to the 'penultCouponDate' date). The value of this parameter consists of three parts (broken up via the colon parameter). For further details, refer to the description given for the 'YieldMethod' parameter.

String CTBonds_y.FixedCouponBond_y( _
String Key, _
Long Reload, _
CCYEnum Ccy, _
Long SettleDate, _
Long datedDate, _
Long firstCouponDate, _
Long penultCouponDate, _
Long matDate, _
String exDivTenor, _
Variant coupons, _
FreqEnum couponFreq, _
Boolean exactCoupon, _
DayCountEnum cpnDayCount, _
DayCountEnum accDayCount, _
String calKey, _
BDCEnum BusDayConv, _
Double redemption, _
Double BondYield, _
String YieldMethod, _
String FCYieldMethod)

=CT.BOND.FixedCouponBond_y(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell Ccy,
Excel Numeric Cell SettleDate,
Excel Numeric Cell datedDate,
Excel Numeric Cell firstCouponDate,
Excel Numeric Cell penultCouponDate,
Excel Numeric Cell matDate,
Excel String Cell exDivTenor,
XLRange coupons,
Excel String Cell couponFreq,
Excel Boolean Value Cell exactCoupon,
Excel String Cell cpnDayCount,
Excel String Cell accDayCount,
Excel String Cell calKey,
Excel String Cell BusDayConv,
Excel Numeric Cell redemption,
Excel Numeric Cell BondYield,
Excel String Cell YieldMethod,
Excel String Cell FCYieldMethod)

static std::string FixedCouponBond_y(
std::string Key,
long Reload,
CCYEnum Ccy,
long SettleDate,
long datedDate,
long firstCouponDate,
long penultCouponDate,
long matDate,
std::string exDivTenor,
CTRangeDataCPP coupons,
FreqEnum couponFreq,
bool exactCoupon,
DayCountEnum cpnDayCount,
DayCountEnum accDayCount,
std::string calKey,
BDCEnum BusDayConv,
double redemption,
double BondYield,
std::string YieldMethod,
std::string FCYieldMethod);

System.String CTBonds_ySA.FixedCouponBond_y(
System.String Key,
System.Int32 Reload,
CTIEnums.CCYEnum Ccy,
System.Int32 SettleDate,
System.Int32 datedDate,
System.Int32 firstCouponDate,
System.Int32 penultCouponDate,
System.Int32 matDate,
System.String exDivTenor,
CTRangeData coupons,
CTIEnums.FreqEnum couponFreq,
System.Boolean exactCoupon,
CTIEnums.DayCountEnum cpnDayCount,
CTIEnums.DayCountEnum accDayCount,
System.String calKey,
CTIEnums.BDCEnum BusDayConv,
System.Double redemption,
System.Double BondYield,
System.String YieldMethod,
System.String FCYieldMethod);

CTQL.CTRangeData FixedCouponBond_y_coupons;

FixedCouponBond_y_coupons = new  CTQL.CTRangeData(0.05);

• GenericCalendar() ( CT.QL.Curves20 )
• FixedCouponBond_y() ( CT.QL.Bonds20 )

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