These fall into 4 categories, Bonds which use day counts based on the 30/360 basis, and those that use actual day counts, coupon paying instruments and zero coupons. The Napier bond functions all have B as their first character for coupon bonds, Z for zeros. They have 3 as their last character for 30/360 basis, and A for Actual/Actual basis. For example, BYld3 calculates the yield for coupon bearing bonds using the 30/360 basis, while ZYldA does yields for zeros using Act/Act basis. There is a 30/360 day count function in the time function list.
|
BCpnN |
|
|
|
BCpnN(sd,md,frq) |
|
|
= coupon count |
|
|
sd: settle date, md: mature date |
|
|
frq: coupon frequency |
|
BPrcC3 |
|
|
|
BPrcC3(sd,md,mv,cr,frq,yld) |
|
|
= clean bond price 30/360 |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
cr: coupon rate % 8.5 not .085 |
|
|
frq: coupon frequency |
|
|
yld: yield % 8.5 not .085 |
|
BPrcF3 |
|
|
|
BPrcF3(sd,md,mv,cr,frq,yld) |
|
|
= full bond price 30/360 |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
cr: coupon rate % 8.5 not .085 |
|
|
frq: coupon frequency |
|
|
yld: yield % 8.5 not .085 |
|
BPrcCA |
|
|
|
BPrcCA(sd,md,mv,cr,frq,yld) |
|
|
= clean bond price ACT/ACT |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
cr: coupon rate % 8.5 not .085 |
|
|
frq: coupon frequency |
|
|
yld: yield % 8.5 not .085 |
|
BPrcFA |
|
|
|
BPrcFA(sd,md,mv,cr,frq,yld) |
|
|
= full bond price ACT/ACT |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
cr: coupon rate % 8.5 not .085 |
|
|
frq: coupon frequency |
|
|
yld: yield % 8.5 not .085 |
|
BYld3 |
|
|
|
BYld3(sd,md,mv,cr,frq,prc) |
|
|
= yield 30/360 |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
cr: coupon rate % 8.5 not .085 |
|
|
frq: coupon frequency |
|
|
prc: purchase price |
|
BYldA |
|
|
|
BYldA(sd,md,mv,cr,frq,prc) |
|
|
= bond yield ACT/ACT |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
cr: coupon rate % 8.5 not .085 |
|
|
frq: coupon frequency |
|
|
prc: purchase price |
|
ZPrc3 |
|
|
|
ZPrc3(sd,md,mv,frq,yld) |
|
|
= zero price 30/360 |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
frq: coupon frequency |
|
|
yld: yield % 8.5 not .085 |
|
ZPrcA |
|
|
|
ZPrcA(sd,md,mv,frq,yld) |
|
|
= zero price ACT/ACT |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
frq: coupon frequency |
|
|
yld: yield % 8.5 not .085 |
|
ZYld3 |
|
|
|
ZYld3(sd,md,mv,frq,prc) |
|
|
= zero yield 30/360 |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
frq: coupon frequency |
|
|
prc: purchase price |
|
ZYldA |
|
|
|
ZYldA(sd,md,mv,frq,prc) |
|
|
= zero yield ACT/ACT |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
frq: coupon frequency |
|
|
prc: purchase price |
|
BDur3 |
|
|
|
BDur3(sd,md,mv,cr,frq,yld) |
|
|
= Macaulay Duration 30/360 |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
cr: coupon rate % 8.5 not .085 |
|
|
frq: coupon frequency |
|
|
yld: yield % 8.5 not .085 |
|
BDurA |
|
|
|
BDurA(sd,md,mv,cr,frq,yld) |
|
|
= Macaulay Duration ACT/ACT |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
cr: coupon rate % 8.5 not .085 |
|
|
frq: coupon frequency |
|
|
yld: yield % 8.5 not .085 |
|
ZDur3 |
|
|
|
ZDur3(sd,md,mv,frq,yld) |
|
|
Zero Macaulay Duration 30/360 |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
cr: coupon rate % 8.5 not .085 |
|
|
frq: coupon frequency |
|
|
yld: yield % 8.5 not .085 |
|
ZDurA |
|
|
|
ZDurA(sd,md,mv,frq,yld) |
|
|
Zero Macaulay Duration 30/360 |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
frq: coupon frequency |
|
|
yld: yield % 8.5 not .085 |
|
BMDur3 |
|
|
|
BMDur3(sd,md,mv,cr,frq,yld) |
|
|
= Modified Duration 30/360 |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
frq: coupon frequency |
|
|
yld: yield % 8.5 not .085 |
|
BMDurA |
|
|
|
BMDurA(sd,md,mv,cr,frq,yld) |
|
|
= Modified duration ACT/ACT |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
cr: coupon rate % 8.5 not .085 |
|
|
frq: coupon frequency |
|
|
yld: yield % 8.5 not .085 |
|
ZMDur3 |
|
|
|
ZMDur3(sd,md,mv,frq,yld) |
|
|
Zero Modified Duration 30/360 |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
frq: coupon frequency |
|
|
yld: yield % 8.5 not .085 |
|
ZMDurA |
|
|
|
ZMDurA(sd,md,mv,frq,yld) |
|
|
Zero Modified Duration 30/360 |
|
|
sd: settle date, md: mature date |
|
|
mv: maturity value |
|
|
frq: coupon frequency |
|
|
yld: yield % 8.5 not .085 |