bondYieldCurveBuilder

Syntax

bondYieldCurveBuilder(referenceDate, currency, bonds, terms, quotes, dayCountConvention, [compounding='Compounded'], [frequency='Annual'], [curveName], [method='Bootstrap'], [interpMethod='Linear'], [extrapMethod='Flat'])

Details

Builds a bond yield curve to be used as a discount curve (i.e., a spot yield curve) in pricing applications.

Return value: A MKTDATA object.

Arguments

referenceDate A DATE scalar, representing the reference date of the yield curve.

currency A STRING scalar specifying the currency code of the curve. Supported values: "CNY", "USD", "EUR", "GBP", "JPY", "HKD".

bonds An INSTRUMENT vector, specifying the sample bonds used for curve construction with bond metadata. See Bond Product Field Specifications for details.

terms A DURATION vector of the same length as bonds, indicating the remaining term to maturity of each bond.

quotes A numeric vector of the same length as bonds, indicating the yield to maturity (YTM) of each bond on the referenceDate.

dayCountConvention A STRING scalar indicating the day count convention to use. It can be:

  • "Actual360": actual/360

  • "Actual365": actual/365

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

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

compounding (optional) A STRING scalar defining the compounding method. Options:

  • "Compounded" (default): Discrete compounding

  • "Simple": Simple interest

  • "Continuous": Continuous compounding

frequency (optional) A STRING scalar specifying the interest payment frequency. It does not affect curve construction and is only recorded in the returned curve. Supported values:

  • "Annual" (default): Annually

  • "NoFrequency": No payment frequency

  • "Once": Single payment at maturity (for discount bonds and zero coupon bonds only)

  • "Semiannual": Semiannually

  • "EveryFourthMonth": Every four months

  • "Quarterly": Quarterly

  • "BiMonthly": Every two months

  • "Monthly": Monthly

  • "EveryFourthWeek": Every four weeks

  • "BiWeekly": Every two weeks

  • "Weekly": Weekly

  • "Daily": Daily

  • "Other": Other frequencies

curveName (optional) A STRING scalar indicating the yield curve name. The default value is NULL.

method (optional) A STRING scalar specifying the curve construction method. Options:

  • "Bootstrap" (default): Bootstrap method

  • "NS": Nelson-Siegel model

  • "NSS": Nelson-Siegel-Svensson model

interpMethod (optional) A STRING scalar specifying the interpolation method. Options:

  • "Linear" (default): Linear interpolation

  • "CubicSpline": Cubic spline

  • "CubicHermiteSpline": Cubic Hermite spline

extrapMethod (optional) A STRING scalar for the extrapolation method. Options:

  • "Flat" (default): Flat extrapolation

  • "Linear": Linear extrapolation

Examples

Build a yield curve based on the Chinese government bond market data as of August 18, 2025.

bond1 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "DiscountBond",
    "version": 0, 
    "instrumentId": "259916.IB",
    "start": 2025.03.13,
    "maturity": 2025.09.11,
    "issuePrice":  99.2070,
    "dayCountConvention": "ActualActualISDA"
}
bond2 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "version": 0, 
    "instrumentId": "240021.IB",
    "start": 2024.10.25,
    "maturity": 2025.10.25,
    "issuePrice": 100,
    "coupon": 0.0133,
    "frequency": "Annual",
    "dayCountConvention": "ActualActualISDA"
}
bond3 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "version": 0, 
    "instrumentId": "250001.IB",
    "start": 2025.01.15,
    "maturity": 2026.01.15,
    "issuePrice": 100,
    "coupon": 0.0116,
    "frequency": "Annual",
    "dayCountConvention": "ActualActualISDA"
}
bond4 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "version": 0, 
    "instrumentId": "250013.IB",
    "start": 2025.07.25,
    "maturity": 2026.07.25,
    "issuePrice": 100,
    "coupon": 0.0133,
    "frequency": "Annual",
    "dayCountConvention": "ActualActualISDA"
}
bond5 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "version": 0, 
    "instrumentId": "250012.IB",
    "start": 2025.06.15,
    "maturity": 2027.06.15,
    "issuePrice": 100,
    "coupon": 0.0138,
    "frequency": "Annual",
    "dayCountConvention": "ActualActualISDA"
}
bond6 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "version": 0, 
    "instrumentId": "250010.IB",
    "start": 2025.05.25,
    "maturity": 2028.05.25,
    "issuePrice": 100,
    "coupon": 0.0146,
    "frequency": "Annual",
    "dayCountConvention": "ActualActualISDA"
}
bond7 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "version": 0, 
    "instrumentId": "250014.IB",
    "start": 2025.07.25,
    "maturity": 2030.07.25,
    "issuePrice": 100,
    "coupon": 0.0155,
    "frequency": "Annual",
    "dayCountConvention": "ActualActualISDA"
}
bond8 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "version": 0, 
    "instrumentId": "2500802.IB",
    "start": 2025.05.25,
    "maturity": 2032.05.25,
    "issuePrice": 100,
    "coupon": 0.0157,
    "frequency": "Annual",
    "dayCountConvention": "ActualActualISDA"
}
bond9 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "version": 0, 
    "instrumentId": "250011.IB",
    "start": 2025.05.25,
    "maturity": 2035.05.25,
    "issuePrice": 100,
    "coupon": 0.0167,
    "frequency": "Semiannual",
    "dayCountConvention": "ActualActualISDA"
}
bond10 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "version": 0, 
    "instrumentId": "2400102.IB",
    "start": 2024.08.29,
    "maturity": 2039.08.29,
    "issuePrice": 100,
    "coupon": 0.0225,
    "frequency": "Semiannual",
    "dayCountConvention": "ActualActualISDA"
}
bond11 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "version": 0, 
    "instrumentId": "2500004.IB",
    "start": 2025.07.15,
    "maturity": 2045.07.15,
    "issuePrice": 100,
    "coupon": 0.0192,
    "frequency": "Semiannual",
    "dayCountConvention": "ActualActualISDA"
}
bond12 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "version": 0, 
    "instrumentId": "2500005.IB",
    "start": 2025.07.15,
    "maturity": 2055.07.15,
    "issuePrice": 100,
    "coupon": 0.019,
    "frequency": "Semiannual",
    "dayCountConvention": "ActualActualISDA"
}
bond13 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "version": 0, 
    "instrumentId": "200007.IB",
    "start": 2020.05.25,
    "maturity": 2070.05.25,
    "issuePrice": 100,
    "coupon": 0.0373,
    "frequency": "Semiannual",
    "dayCountConvention": "ActualActualISDA"
}
bond14 = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "version": 0, 
    "instrumentId": "2400003.IB",
    "start": 2024.06.15,
    "maturity": 2074.06.15,
    "issuePrice": 100,
    "coupon": 0.0253,
    "frequency": "Semiannual",
    "dayCountConvention": "ActualActualISDA"
}

referenceDate = 2025.08.18
bondsTmp = [bond1, bond2, bond3, bond4, bond5, bond6, bond7, bond8, bond9,
         bond10, bond11, bond12, bond13, bond14]
bonds = parseInstrument(bondsTmp)

This example uses the standard tenors from the China Foreign Exchange Trade System (CFETS, CFETS Closing Yield Curves- Historical Data - CFETS), with sample bonds’ remaining terms and quotes being simulated.

terms = [1M, 3M, 6M, 1y, 2y, 3y, 5y, 7y, 10y, 15y, 20y, 30y, 40y, 50y]
quotes=[1.3000, 1.3700, 1.3898, 1.3865, 1.4296, 1.4466, 1.6348, 
        1.7557, 1.7875, 1.9660, 2.1300, 2.1100, 2.1556, 2.1750]/100
       
// method = "BoostStarp"
bootstrapCurve = bondYieldCurveBuilder(referenceDate, `CNY, bonds, terms, quotes, "ActualActualISDA", method='Bootstrap')
bootstrapCurveDict = extractMktData(bootstrapCurve)
print(bootstrapCurveDict)

// method = "NS"
nsCurve = bondYieldCurveBuilder(referenceDate, `CNY, bonds, terms, quotes, "ActualActualISDA", method='NS')
nsCurveDict = extractMktData(nsCurve)
print(nsCurveDict)

// method = "NSS"
nssCurve = bondYieldCurveBuilder(referenceDate, `CNY, bonds, terms, quotes, "ActualActualISDA", method='NSS')
nssCurveDict=extractMktData(nssCurve)
print(nssCurveDict)

Related functions: extractMktData, parseInstrument

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+" ×