bondDirtyPrice

Syntax

bondDirtyPrice(start, maturity, issuePrice, coupon, frequency, dayCountConvention, bondType, settlement, price, priceType, [benchmark='Excel'])

Arguments

Note: Scalar inputs will be automatically expanded to match the length of other vector inputs. All vector inputs must be of equal length.

start is a scalar or vector of DATE type, indicating the bond’s value date.

maturity is a DATE scalar or vector indicating the maturity date.

issuePrice is a numeric scalar or vector of the same length as start indicating the bond’s issue price. For discount bonds, the actual issue price must be specified (typically less than 100); for other bonds, it is usually 100.

coupon is a numeric scalar or vector indicating the annual coupon rate. For example, 0.03 indicates a 3% annual coupon.

frequency is an INT scalar/vector indicating the number of payments, or a STRING scalar/vector indicating payment frequency. It can be:
  • 0/"Once": Bullet payment at maturity.
  • 1/"Annual": Annual payments.
  • 2/"Semiannual": Semi-annual payments.
  • 4/"Quarterly": Quarterly payments.
  • 12/"Monthly": Monthly payments.
dayCountConvention is a STRING scalar or vector indicating the day count convention to use. It can be:
  • "Thirty360US": US (NASD) 30/360
  • "ActualActual" (default): actual/actual
  • "Actual360": actual/360
  • "Actual365": actual/365
  • "Thirty360EU": European 30/360
bondType is a STRING scalar or vector indicating the bond type. It can be:
  • "FixedRate": Fixed-rate bond, where interest is paid periodically based on the coupon rate.
  • "Discount": Discount bond, where no interest is paid, and the bond is issued at a discount. FV at maturity = face value.
  • "ZeroCoupon": Zero-coupon bond, where interest and face value are paid at maturity. FV at maturity = face value + interest.

settlement is a DATE scalar or vector indicating the settlement date.

price is a numeric scalar or vector whose meaning depends on the value of priceType:
  • When priceType is "YTM", price indicates the bond's yield to maturity.
  • When priceType is "CleanPrice", price indicates the bond's clean price.
priceType is a STRING scalar or vector used to specify the type of the bond price (price). It can be:
  • "YTM": Yield to Maturity.
  • "CleanPrice": Clean price.

benchmark (optional) is a STRING scalar indicating the reference algorithm. Currently, only "Excel" (the algorithm used in Excel) is supported.

Details

bondDirtyPrice returns the dirty price of a bond with a face value of 100.

Examples

bondDirtyPrice(start=2023.01.01, maturity=2030.12.31, issuePrice=100, coupon=0.05, frequency=1, dayCountConvention="ActualActual", bondType="FixedRate", settlement=2023.04.01, price=100.2143, priceType="CleanPrice")
// output: 101.460875