bondConvexity#

swordfish.function.bondConvexity()#

Returns the bond convexity of a bond with a face value of 100.

Parameters:

  • start (Constant) – A calar or vector of DATE type indicating the bond’s value date.

  • maturity (Constant) – A DATE scalar or vector indicating the maturity date.

  • issuePrice (Constant) – 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 (Constant) – A numeric scalar or vector indicating the annual coupon rate. For example, 0.03 indicates a 3% annual coupon.

  • frequency (Constant) –

    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 (Constant) –

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

    • ”Thirty360US”: US (NASD) 30/360

    • ”ActualActualISMA” (default): actual/actual (ISMA rule)

    • ”Actual360”: actual/360

    • ”Actual365”: actual/365

    • ”Thirty360EU”: European 30/360

    • ”ActualActualISDA” (default): actual/actual (ISDA rule)

  • bondType (Constant) –

    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 (Constant) – A DATE scalar or vector indicating the settlement date.

  • price (Constant) – A numeric scalar or vector indicating the bond’s yield to maturity.

  • priceType (Constant) – A STRING scalar or vector used to specify the type of the bond price (price). Currently, only “YTM” (Yield to Maturity) is supported.

  • benchmark (Constant, optional) – A STRING scalar indicating the reference algorithm, by default DFLT. Currently, only “Excel” (the algorithm used in Excel) is supported.

Returns:

A scalar or vector of type DOUBLE.

Return type:

Constant

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