Deriscope

The Excel Derivatives Periscope

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Bond

Bond is a Tradable that represents a financial contract that pays its holder a stream of cash flows - called coupons - in regular time intervals plus a possible final payment - called redemption - at maturity.
The coupons may be fixed or floating.
In the latter case, the coupon amount depends on the value that some predefined index assumes at either the beginning or the end of the respective accrual period.
If there is only one date in the defined
Key Bond::Accrual Schedule, then it represents a zero bond.
Look up the information in the above link for details on how to set up such a date schedule.

The following
functions are also available within Bond:
Bond Functions

The following quantities may be also calculated and reported along the price.
CashFlows
All cash flows displayed in chronological order as a table with a maximum of 18 columns.
The column titles indicate the meaning of the respective data.
In particular:
The column titled #Notional shows the notional that is relevant for determining the respective cash flow, which is the notional at the beginning of the accrual period.
In the special case of fx reset, this will be the converted domestic notional that arises after the fixed foreign notional is multiplied with the spot fx rate observed at the beginning of the accrual period.
The column titled #AdjIndex shows the adjusted index fixing, which equals the sum of the forecasted (forward) index plus a potential convexity adjustment that arises if the index is either non-ibor or sets in arrears.
The column titled #Leg contains the index of the leg that contains the respective cash flow, where 1 stands for the first leg.
The column titled #InLegCF contains the index of the respective cash flow within the containing leg, where 1 stands for the first cash flow in that leg.
Clean Price
Refers to the output of QuantLib's cleanPrice function.
The default bond settlement date is used for calculation.
This is the valuation date shifted forward by the number of settlement days in the bond definition.
Assumes a flat term structure, which leads to a price that might differ slightly from the price calculated from a constant yield assumption.If the price from a constant yield is desired, it is advisable to use the provided respective function.
Dirty Price
Refers to the output of QuantLib's dirtyPrice function.
The default bond settlement date is used for calculation.
This is the valuation date shifted forward by the number of settlement days in the bond definition.
Assumes a flat term structure, which leads to a price that might differ slightly from the price calculated from a constant yield assumption.If the price from a constant yield is desired, it is advisable to use the provided respective function.
Price
The output refers to the price of the referenced tradable contract.
Settlement Value
Refers to the output of QuantLib's settlementValue function.
The default bond settlement date is used for calculation.
This is the valuation date shifted forward by the number of settlement days in the bond definition.

The following QuantLib issues have been identified:
Bond Issues