bondPricer

Syntax

bondPricer(instrument, pricingDate, discountCurve, [spreadCurve], [setting])

Details

Prices a bond instrument, supporting output of multiple risk measures, including (NPV (Net Present Value), Delta (first-order sensitivity), Gamma (second-order sensitivity), and Key Rate Duration (sensitivity to interest rate shifts at specified key maturities).

Return value:

  • If setting is not specified, returns the NPV (a DOUBLE scalar).

  • If setting is specified, returns a Dictionary<STRING, ANY> with the following key-value pairs:

    • "npv": A DOUBLE scalar

    • "discountCurveDelta": A DOUBLE scalar

    • "discountCurveGamma": A DOUBLE scalar

    • "discountCurveKeyRateDuration": A DOUBLE vector

Arguments

instrument is an INSTRCMENT object representing the bond to be priced. The required key fields vary depending on the type of bond product; see Bond Product Field Specifications for details.

pricingDate is a DATE scalar specifying the pricing date.

discountCurve is a MKTDATA object of type IrYieldCurve representing the discount curve. See Curve Field Specifications for details.

spreadCurve (optional) is a MKTDATA object of type IrYieldCurve representing the credit spread curve. If not specified, defaults to a flat curve with 0% spread. See Curve Field Specifications for details.

setting (optional)is a Dictionary<STRING, ANY> with the following key-value pairs：

Key Value Type Description
"calcDiscountCurveDelta" BOOL Whether to compute the bond’s first-order sensitivity (delta) to the discount curve.
"calcDiscountCurveGamma" BOOL Whether to compute the bond’s second-order sensitivity (gamma) to the discount curve.
"calcDiscountCurveKeyRateDuration" BOOL Whether to compute the bond’s key rate durations.
"discountCurveShift" DOUBLE scalar The parallel shift applied to the discount curve. For example, a bp(0.0001).
"discountCurveKeyTerms" DOUBLE scalar/vector The specific maturity point(s) to calculate the key rate duration. For example, [1.0, 3.0, 5.0].
"discountCurveKeyShifts" DOUBLE scalar/vector The shift amounts corresponding to each maturity point. It has the same length with discountCurveKeyTerms. For example, [0.0001, 0.0002, 0.0015].

Examples

bond  = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "version": 0, 
    "instrumentId": "240025.IB",
    "start": 2024.12.25,
    "maturity": 2031.12.25,
    "issuePrice": 100.0,
    "coupon": 0.0149,
    "frequency": "Annual",
    "dayCountConvention": "ActualActualISDA"
}

pricingDate = 2025.08.18

curve = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": pricingDate,
    "currency": "CNY",
    "curveName": "CNY_TREASURY_BOND",
    "dayCountConvention": "ActualActualISDA",
    "compounding": "Compounded",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates":[2025.09.18, 2025.11.18, 2026.02.18, 2026.08.18, 2027.08.18, 2028.08.18, 2030.08.18,
             2032.08.18, 2035.08.18, 2040.08.18, 2045.08.18, 2055.08.18,2065.08.18, 2075.08.18],
    "values":[1.3000, 1.3700, 1.3898, 1.3865, 1.4299, 1.4471, 1.6401,
              1.7654, 1.7966, 1.9930, 2.1834, 2.1397, 2.1987, 2.2225] / 100.0
}

instrument = parseInstrument(bond)
discountCurve = parseMktData(curve)

setting = dict(STRING, ANY)
setting["calcDiscountCurveDelta"] = true
setting["calcDiscountCurveGamma"] = true
setting["calcDiscountCurveKeyRateDuration"] = true
setting["discountCurveShift"] = 0.0001
setting["discountCurveKeyTerms"] = [1.0, 3.0, 5.0]
setting["discountCurveKeyShifts"] = [0.0002, 0.0003, 0.0001]

results = bondPricer(instrument, pricingDate, discountCurve, setting=setting)
print(results)

/* output:
npv->99.600846811350891
discountCurveDelta->-592.25994127828585
discountCurveGamma->4223.064257757869199
discountCurvekeyRateDuration->[0.012669167121743,0.069982332985636,1.955786205709234]
*/

Related functions: parseInstrument, parseMktData

Bond Product Field Specifications

Discount Bond

Field Name Data Type Description Required
productType STRING Must be "Cash" √
assetType STRING Must be "Bond" √
bondType STRING Must be "DiscountBond" √
version INT Version, default 0 ×
nominal DOUBLE Nominal amount, defalut 100 ×
instrumentId STRING Bond code, e.g., "259926.IB" ×
start DATE Value date √
maturity DATE Maturity date √
dayCountConvention STRING The day count convention. It can be: "ActualActualISDA", "ActualActualISMA"," Actual365", "Actual360" √
issuePrice DOUBLE Issue price √
currency STRING Currency, defaults to "CNY" ×
cashFlow TABLE Cash flow table ×
discountCurve STRING The discount curve, e.g., "CNY_TRASURY_BOND" ×
spreadCurve STRING The credit spread curve ×
subType STRING

Subtypes. China's bonds include:

  • "TREASURY_BOND": Treasury Bonds

  • "CENTRAL_BANK_BILL": Central Bank Bills

  • "CDB_BOND": Policy Bank Financial Bonds (China Development Bank)

  • "EIBC_BOND": Policy Bank Financial Bonds (Export-Import Bank of China)

  • "ADBC_BOND": Policy Bank Financial Bonds (Agricultural Development Bank of China)

  • "MTN": Medium-term Notes

  • "CORP_BOND": Corporate Bonds

  • "UNSECURED_CORP_BOND": Unsecured Corporate Bonds

  • "SHORT_FIN_BOND": Short-term Financing Bills

  • "NCD": Negotiable Certificates of Deposit

  • "LOC_GOV_BOND": Local Government Bonds

  • "COMM_BANK_FIN_BOND": Commercial Bank Financial Bonds

  • "BANK_SUB_CAP_BOND": Bank Subordinated Capital Bonds

  • "ABS": Asset-backed Securities

  • "PPN": Privately Offered Bonds

 ×
creditRating STRING Credit rating. It can be: "B", "BB", "BBB", "BBB+", "A-", "A", "A+", "AA-", "AA", "AA+", "AAA-", "AAA", "AAA+" ×

Zero Coupon Bond

Field Name Data Type Description Required
productType STRING Must be "Cash" √
assetType STRING Must be "Bond" √
bondType STRING Must be "ZeroCouponBond" √
version INT Version, default 0 ×
nominal DOUBLE Nominal amount, defalut 100 ×
instrumentId STRING Bond code, e.g., "259926.IB" ×
start DATE Value date √
maturity DATE Maturity date √
coupon DOUBLE Coupon rate, e.g., 0.03 means 3% √
frequency STRING Frequency of interest payment √
dayCountConvention STRING The day count convention. It can be: "ActualActualISDA", "ActualActualISMA"," Actual365", "Actual360" √
currency STRING Currency, defaults to "CNY" ×
cashFlow TABLE Cash flow table ×
discountCurve STRING The discount curve, e.g., "CNY_TRASURY_BOND" ×
spreadCurve STRING The credit spread curve ×
subType STRING

Subtypes. China's bonds include:

  • "TREASURY_BOND": Treasury Bonds

  • "CENTRAL_BANK_BILL": Central Bank Bills

  • "CDB_BOND": Policy Bank Financial Bonds (China Development Bank)

  • "EIBC_BOND": Policy Bank Financial Bonds (Export-Import Bank of China)

  • "ADBC_BOND": Policy Bank Financial Bonds (Agricultural Development Bank of China)

  • "MTN": Medium-term Notes

  • "CORP_BOND": Corporate Bonds

  • "UNSECURED_CORP_BOND": Unsecured Corporate Bonds

  • "SHORT_FIN_BOND": Short-term Financing Bills

  • "NCD": Negotiable Certificates of Deposit

  • "LOC_GOV_BOND": Local Government Bonds

  • "COMM_BANK_FIN_BOND": Commercial Bank Financial Bonds

  • "BANK_SUB_CAP_BOND": Bank Subordinated Capital Bonds

  • "ABS": Asset-backed Securities

  • "PPN": Privately Offered Bonds

 ×
creditRating STRING Credit rating. It can be: "B", "BB", "BBB", "BBB+", "A-", "A", "A+", "AA-", "AA", "AA+", "AAA-", "AAA", "AAA+" ×

Fixed Rate Bond

Field Name Data Type Description Required
productType STRING Must be "Cash" √
assetType STRING Must be "Bond" √
bondType STRING Must be "FixedRateBond" √
version INT Version, default 0 ×
nominal DOUBLE Nominal amount, defalut 100 ×
instrumentId STRING Bond code, e.g., "259926.IB" ×
start DATE Value date √
maturity DATE Maturity date √
coupon DOUBLE Coupon rate, e.g., 0.03 means 3% √
frequency STRING Frequency of interest payment √
dayCountConvention STRING The day count convention. It can be: "ActualActualISDA", "ActualActualISMA"," Actual365", "Actual360" √
currency STRING Currency, defaults to "CNY" ×
cashFlow TABLE Cash flow table ×
discountCurve STRING The discount curve, e.g., "CNY_TRASURY_BOND" ×
spreadCurve STRING The credit spread curve ×
subType STRING

Subtypes. China's bonds include:

  • "TREASURY_BOND": Treasury Bonds

  • "CENTRAL_BANK_BILL": Central Bank Bills

  • "CDB_BOND": Policy Bank Financial Bonds (China Development Bank)

  • "EIBC_BOND": Policy Bank Financial Bonds (Export-Import Bank of China)

  • "ADBC_BOND": Policy Bank Financial Bonds (Agricultural Development Bank of China)

  • "MTN": Medium-term Notes

  • "CORP_BOND": Corporate Bonds

  • "UNSECURED_CORP_BOND": Unsecured Corporate Bonds

  • "SHORT_FIN_BOND": Short-term Financing Bills

  • "NCD": Negotiable Certificates of Deposit

  • "LOC_GOV_BOND": Local Government Bonds

  • "COMM_BANK_FIN_BOND": Commercial Bank Financial Bonds

  • "BANK_SUB_CAP_BOND": Bank Subordinated Capital Bonds

  • "ABS": Asset-backed Securities

  • "PPN": Privately Offered Bonds

 ×
creditRating STRING Credit rating. It can be: "B", "BB", "BBB", "BBB+", "A-", "A", "A+", "AA-", "AA", "AA+", "AAA-", "AAA", "AAA+" ×

Curve Field Specifications

Field Name Data Type Description Required
mktDataType STRING Must be "Curve" √
referenceDate DATE Reference Date √
version INT Version, default 0 ×
curveType STRING Must be "IrYieldCurve" √
dayCountConvention STRING

The day count convention to use. It can be:

  • "Actual360": actual/360

  • "Actual365": actual/365

  • "ActualActualISMA": actual/actual according to ISMA (International Securities Market Association) convention

  • "ActualActualISDA": actual/actual according to ISDA (International Swaps and Derivatives Association) convention.

 √
interpMethod STRING

Interpolation method. It can be:

  • "Linear": linear interpolation

  • "CubicSpline": cubic spline interpolation

  • "CubicHermiteSpline": cubic Hermite interpolation

 √
extrapMethod STRING

Extrapolation method. It can be

  • Flat: flat extrapolation

  • Linear: linear extrapolation

 √
dates DATE vector Date of each data point √
values DOUBLE vector Value of each data point, corresponding to the elements in dates. √
curveName STRING Curve name ×
currency STRING Currency. It can be CNY", "USD", "EUR", "GBP", "JPY", "HKD" √
compounding STRING

The compounding interest. It can be:

  • "Compounded": discrete compounding

  • "Simple": simple interest (no compounding).

  • "Continuous": continuous compounding.

 √
settlement DATE Settlement date. If specified, all subsequent tenor intervals are computed starting from "settlement" rather than from "referenceDate". ×
frequency INTEGRAL/STRING

The interest payment frequency. Supported values:

  • -1 or "NoFrequency": No payment frequency

  • 0 or "Once": Single lump-sum payment of principal and interest at maturity.

  • 1 or "Annual": Annually

  • 2 or "Semiannual": Semiannually

  • 3 or "EveryFourthMonth": Every four months

  • 4 or "Quarterly": Quarterly

  • 6 or "BiMonthly": Every two months

  • 12 or "Monthly": Monthly

  • 13 or "EveryFourthWeek": Every four weeks

  • 26 or "BiWeekly": Every two weeks

  • 52 or "Weekly": Weekly

  • 365 or "Daily": Daily

  • 999 or "Other": Other frequencies

 ×
curveModel STRING

Curve construction model; It can be "Bootstrap" (default), "NS", "NSS".

When the value is "NSS" or "NS", the fields interpMethod, extrapMethod, dates, and values are not required.

 ×
curveParams DICT

Model parameters. It is required when curveModel is "NSS" or "NS":

  • If curveModel = "NS": must include keys 'beta0', 'beta1', 'beta2', 'lambda'.

  • If curveModel = "NSS": must include keys 'beta0', ‘beta1', 'beta2', 'beta3', 'lambda0', 'lambda1'.

 ×