Bonds

Overview

functions to construct and use Bond objects.

Function List

qlBond ()
qlBondAccrualDays ()
qlBondAccrualEndDate ()
qlBondAccrualPeriod ()
qlBondAccrualStartDate ()
qlBondAccruedAmount ()
qlBondAccruedDays ()
qlBondAccruedPeriod ()
qlBondAlive ()
qlBondAtmRateFromYieldTermStructure ()
qlBondBpsFromYield ()
qlBondBpsFromYieldTermStructure ()
qlBondCalendar ()
qlBondCleanPrice ()
qlBondCleanPriceFromYield ()
qlBondCleanPriceFromYieldTermStructure ()
qlBondCleanPriceFromZSpread ()
qlBondConvexityFromYield ()
qlBondCurrency ()
qlBondDescription ()
qlBondDirtyPriceFromYield ()
qlBondDurationFromYield ()
qlBondFlowAnalysis ()
qlBondIsTradable ()
qlBondIssueDate ()
qlBondMaturityDate ()
qlBondMaturityLookup ()
qlBondMaturitySort ()
qlBondNextCashFlowAmount ()
qlBondNextCashFlowDate ()
qlBondNextCouponRate ()
qlBondNotional ()
qlBondNotionals ()
qlBondPreviousCashFlowAmount ()
qlBondPreviousCashFlowDate ()
qlBondPreviousCouponRate ()
qlBondRedemptionAmount ()
qlBondRedemptionDate ()
qlBondReferencePeriodEnd ()
qlBondReferencePeriodStart ()
qlBondSetCouponPricer ()
qlBondSetCouponPricers ()
qlBondSettlementDate ()
qlBondSettlementDays ()
qlBondStartDate ()
qlBondYieldFromCleanPrice ()
qlBondZSpreadFromCleanPrice ()
qlCmsRateBond ()
qlFixedRateBond ()
qlFixedRateBond2 ()
qlFloatingRateBond ()
qlZeroCouponBond ()

Function Documentation

qlBond

string returnValue
 
qlBond(
        string ObjectId
        string Description
        string Currency
        long SettlementDays
        string Calendar
        double FaceAmount
        long MaturityDate
        long IssueDate
        string LegID
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Bond and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Description	Bond description string. Autogenerated if null Default value = std::string().
Currency	bond Currency. Default value = NullCurrency.
SettlementDays	settlement days. Default value = 3.
Calendar	holiday calendar (e.g. TARGET). Default value = NullCalendar.
FaceAmount	Face nominal amount. Default value = 100.0.
MaturityDate	maturity date. Default value = QuantLib::Date().
IssueDate	issue date: the bond can't be traded until then. Default value = QuantLib::Date().
LegID	coupon vector Leg object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBondAccrualDays

long returnValue
 
qlBondAccrualDays(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the total number of accrual days for the current coupon of the given bond. The current bond settlement is used if no date is given.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondAccrualEndDate

long returnValue
 
qlBondAccrualEndDate(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the accrual end date for the current coupon of the given bond.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondAccrualPeriod

double returnValue
 
qlBondAccrualPeriod(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the total accrual period for the current coupon of the given bond. The current bond settlement is used if no date is given.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondAccrualStartDate

long returnValue
 
qlBondAccrualStartDate(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the accrual start date for the current coupon of the given bond.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondAccruedAmount

double returnValue
 
qlBondAccruedAmount(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the accrued amount for the given bond. The current bond settlement is used if no date is given.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondAccruedDays

long returnValue
 
qlBondAccruedDays(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the accrued days for the current coupon of the given bond. The current bond settlement is used if no date is given.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondAccruedPeriod

double returnValue
 
qlBondAccruedPeriod(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the accrued period for the current coupon of the given bond. The current bond settlement is used if no date is given.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondAlive

vector<string> returnValue
 
qlBondAlive(
        vector<string> Bonds
        long RefDate
        any Trigger)

Description:

filters the Bond object IDs of the still alive Bonds.

Supported Platforms:

Excel

Parameters

Bonds	vector of Bond IDs.
RefDate	reference date at which evaluate alive bonds. The current evaluation date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondAtmRateFromYieldTermStructure

double returnValue
 
qlBondAtmRateFromYieldTermStructure(
        string ObjectId
        string YieldCurve
        long SettlementDate
        double CleanPrice
        any Trigger)

Description:

Returns the ATM rate implied by the given YieldTermStructure, settlement date, and clean price.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
YieldCurve	discounting YieldTermStructure object ID.
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
CleanPrice	clean price.
Trigger	dependency tracking trigger

qlBondBpsFromYield

double returnValue
 
qlBondBpsFromYield(
        string ObjectId
        double Yield
        string DayCounter
        string Compounding
        string Frequency
        long SettlementDate
        any Trigger)

Description:

Returns the basis point sensitivity implied by the given yield and settlement date.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
Yield	bond yield.
DayCounter	Yield DayCounter ID. Default value = Actual/Actual (ISDA).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Compounded.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondBpsFromYieldTermStructure

double returnValue
 
qlBondBpsFromYieldTermStructure(
        string ObjectId
        string YieldCurve
        long SettlementDate
        any Trigger)

Description:

Returns the basis point sensitivity implied by the given YieldTermStructure and settlement date.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
YieldCurve	discounting YieldTermStructure object ID.
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondCalendar

string returnValue
 
qlBondCalendar(
        string ObjectId
        any Trigger)

Description:

Returns the calendar of the bond, e.g. TARGET.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
Trigger	dependency tracking trigger

qlBondCleanPrice

double returnValue
 
qlBondCleanPrice(
        string ObjectId
        any Trigger)

Description:

Returns the clean price for the given bond.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
Trigger	dependency tracking trigger

qlBondCleanPriceFromYield

double returnValue
 
qlBondCleanPriceFromYield(
        string ObjectId
        double Yield
        string DayCounter
        string Compounding
        string Frequency
        long SettlementDate
        any Trigger)

Description:

Returns the bond clean price implied by the given yield and settlement date.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
Yield	bond yield.
DayCounter	Yield DayCounter ID. Default value = Actual/Actual (ISDA).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Compounded.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondCleanPriceFromYieldTermStructure

double returnValue
 
qlBondCleanPriceFromYieldTermStructure(
        string ObjectId
        string YieldCurve
        long SettlementDate
        any Trigger)

Description:

Returns the bond clean price implied by the given YieldTermStructure and settlement date.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
YieldCurve	discounting YieldTermStructure object ID.
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondCleanPriceFromZSpread

double returnValue
 
qlBondCleanPriceFromZSpread(
        string ObjectId
        string YieldCurve
        double ZSpread
        string DayCounter
        string Compounding
        string Frequency
        long SettlementDate
        any Trigger)

Description:

Returns the bond clean price implied by the given Z-Spread, discount curve, and settlement date.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
YieldCurve	discounting YieldTermStructure object ID.
ZSpread	the Z-spread.
DayCounter	Yield DayCounter ID. Default value = Actual/Actual (ISDA).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Compounded.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondConvexityFromYield

double returnValue
 
qlBondConvexityFromYield(
        string ObjectId
        double Yield
        string DayCounter
        string Compounding
        string Frequency
        long SettlementDate
        any Trigger)

Description:

Returns the convexity implied by the given yield and settlement date.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
Yield	bond yield.
DayCounter	Yield DayCounter ID. Default value = Actual/Actual (ISDA).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Compounded.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondCurrency

string returnValue
 
qlBondCurrency(
        string ObjectId
        any Trigger)

Description:

Returns the bond currency.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLibAddin::Bond object
Trigger	dependency tracking trigger

qlBondDescription

string returnValue
 
qlBondDescription(
        string ObjectId
        any Trigger)

Description:

Returns the bond description string.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLibAddin::Bond object
Trigger	dependency tracking trigger

qlBondDirtyPriceFromYield

double returnValue
 
qlBondDirtyPriceFromYield(
        string ObjectId
        double Yield
        string DayCounter
        string Compounding
        string Frequency
        long SettlementDate
        any Trigger)

Description:

Returns the bond dirty price implied by the given yield and settlement date.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
Yield	bond yield.
DayCounter	Yield DayCounter ID. Default value = Actual/Actual (ISDA).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Compounded.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondDurationFromYield

double returnValue
 
qlBondDurationFromYield(
        string ObjectId
        double Yield
        string DayCounter
        string Compounding
        string Frequency
        string DurationType
        long SettlementDate
        any Trigger)

Description:

Returns the duration implied by the given yield and settlement date.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
Yield	bond yield.
DayCounter	Yield DayCounter ID. Default value = Actual/Actual (ISDA).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Compounded.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
DurationType	Duration type (Simple, Macaulay, or Modified). Default value = Modified.
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondFlowAnalysis

vector<vector<any> > returnValue
 
qlBondFlowAnalysis(
        string ObjectId
        long AfterDate
        any Trigger)

Description:

Returns the bond cash flow analysis.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLibAddin::Bond object
AfterDate	Shows only cashflows after given date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondIsTradable

bool returnValue
 
qlBondIsTradable(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns TRUE if the given Bond is tradable at the given settlement date. The current bond settlement is used if no date is given.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondIssueDate

long returnValue
 
qlBondIssueDate(
        string ObjectId
        any Trigger)

Description:

Returns the issue date of the bond.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
Trigger	dependency tracking trigger

qlBondMaturityDate

long returnValue
 
qlBondMaturityDate(
        string ObjectId
        any Trigger)

Description:

Returns the maturity date of the bond.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
Trigger	dependency tracking trigger

qlBondMaturityLookup

string returnValue
 
qlBondMaturityLookup(
        vector<string> Bonds
        long Maturity
        any Trigger)

Description:

returns the first maturity-matching Bond object ID.

Supported Platforms:

Excel

Parameters

Bonds	vector of Bond IDs.
Maturity	maturity date to look up Bonds for.
Trigger	dependency tracking trigger

qlBondMaturitySort

vector<string> returnValue
 
qlBondMaturitySort(
        vector<string> Bonds
        any Trigger)

Description:

sorts the Bond object IDs by maturity.

Supported Platforms:

Excel

Parameters

Bonds	vector of Bond IDs.
Trigger	dependency tracking trigger

qlBondNextCashFlowAmount

double returnValue
 
qlBondNextCashFlowAmount(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the next cash flow amount.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondNextCashFlowDate

long returnValue
 
qlBondNextCashFlowDate(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the next cash flow date.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondNextCouponRate

double returnValue
 
qlBondNextCouponRate(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the next coupon rate. Depending on (the Bond and) the given date it can be historic, deterministic or expected in a stochastic sense. When the bond settlement date is used the coupon is the already-fixed not-yet-paid one.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondNotional

double returnValue
 
qlBondNotional(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the notional of the bond at a given date.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondNotionals

vector<double> returnValue
 
qlBondNotionals(
        string ObjectId
        any Trigger)

Description:

Returns the notionals of the bond.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
Trigger	dependency tracking trigger

qlBondPreviousCashFlowAmount

double returnValue
 
qlBondPreviousCashFlowAmount(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the previous cash flow amount.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondPreviousCashFlowDate

long returnValue
 
qlBondPreviousCashFlowDate(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the previous cash flow date.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondPreviousCouponRate

double returnValue
 
qlBondPreviousCouponRate(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the previous coupon rate. Depending on (the Bond and) the given date it can be historic, deterministic or expected in a stochastic sense. When the bond settlement date is used the coupon is the last paid one.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondRedemptionAmount

double returnValue
 
qlBondRedemptionAmount(
        string ObjectId
        any Trigger)

Description:

Returns the redemption amount of the bond.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::Bond object
Trigger	dependency tracking trigger

qlBondRedemptionDate

long returnValue
 
qlBondRedemptionDate(
        string ObjectId
        any Trigger)

Description:

Returns the redemption payment date of the bond.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::Bond object
Trigger	dependency tracking trigger

qlBondReferencePeriodEnd

long returnValue
 
qlBondReferencePeriodEnd(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the reference period end date for the current coupon of the given bond.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondReferencePeriodStart

long returnValue
 
qlBondReferencePeriodStart(
        string ObjectId
        long SettlementDate
        any Trigger)

Description:

Returns the reference period start date for the current coupon of the given bond.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondSetCouponPricer

void returnValue
 
qlBondSetCouponPricer(
        string ObjectId
        string FloatingRateCouponPricer
        any Trigger)

Description:

Set the coupon pricer at the given Bond object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLibAddin::Bond object
FloatingRateCouponPricer	FloatingRate coupon pricer object ID.
Trigger	dependency tracking trigger

qlBondSetCouponPricers

void returnValue
 
qlBondSetCouponPricers(
        string ObjectId
        vector<string> FloatingRateCouponPricer
        any Trigger)

Description:

Set the coupon pricer at the given Bond object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLibAddin::Bond object
FloatingRateCouponPricer	FloatingRate coupon pricer object ID.
Trigger	dependency tracking trigger

qlBondSettlementDate

long returnValue
 
qlBondSettlementDate(
        string ObjectId
        long EvaluationDate
        any Trigger)

Description:

Returns the settlement date of the bond.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
EvaluationDate	The current global Settings::EvaluationDate is used if no specific date is given. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlBondSettlementDays

long returnValue
 
qlBondSettlementDays(
        string ObjectId
        any Trigger)

Description:

Returns the number of settlement days of the bond.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
Trigger	dependency tracking trigger

qlBondStartDate

long returnValue
 
qlBondStartDate(
        string ObjectId
        any Trigger)

Description:

Returns the start (i.e. first accrual) date for the given Bond object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
Trigger	dependency tracking trigger

qlBondYieldFromCleanPrice

double returnValue
 
qlBondYieldFromCleanPrice(
        string ObjectId
        double CleanPrice
        string DayCounter
        string Compounding
        string Frequency
        long SettlementDate
        double Accuracy
        long MaxIterations
        double Guess
        any Trigger)

Description:

Returns the yield for the given bond corresponding to the given clean price and settlement date.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
CleanPrice	clean price.
DayCounter	Yield DayCounter ID. Default value = Actual/Actual (ISDA).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Compounded.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Accuracy	tolerance. Default value = 1.0e-10.
MaxIterations	max number of iterations. Default value = 100.
Guess	guess. Default value = 0.05.
Trigger	dependency tracking trigger

qlBondZSpreadFromCleanPrice

double returnValue
 
qlBondZSpreadFromCleanPrice(
        string ObjectId
        double CleanPrice
        string YieldCurve
        string DayCounter
        string Compounding
        string Frequency
        long SettlementDate
        double Accuracy
        long MaxIterations
        double Guess
        any Trigger)

Description:

Returns the z-spread for the given bond corresponding to the given clean price and settlement date.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Bond object
CleanPrice	clean price.
YieldCurve	discounting YieldTermStructure object ID.
DayCounter	Yield DayCounter ID. Default value = Actual/Actual (ISDA).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Compounded.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
SettlementDate	The current bond settlement date is used if no specific date is given. Default value = QuantLib::Date().
Accuracy	tolerance. Default value = 1.0e-10.
MaxIterations	max number of iterations. Default value = 100.
Guess	guess. Default value = 0.0.
Trigger	dependency tracking trigger

qlCmsRateBond

string returnValue
 
qlCmsRateBond(
        string ObjectId
        string Description
        string Currency
        long SettlementDays
        string PaymentBDC
        double FaceAmount
        string ScheduleID
        long FixingDays
        bool IsInArrears
        string DayCounter
        vector<double> Floors
        vector<double> Gearings
        string SwapIndex
        vector<double> Spreads
        vector<double> Caps
        double Redemption
        long IssueDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CmsRateBond and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Description	Bond description string. Autogenerated if null Default value = std::string().
Currency	bond Currency.
SettlementDays	settlement days.
PaymentBDC	payment business day convention. Default value = Following.
FaceAmount	Face nominal amount. Default value = 100.0.
ScheduleID	Schedule object ID.
FixingDays	fixing days (e.g. 2). Default value = QuantLib::Null<QuantLib::Natural>().
IsInArrears	TRUE if the fixing is in arrears. Default value = false.
DayCounter	Payment DayCounter ID.
Floors	floor strikes. Default value = std::vector<QuantLib::Rate>().
Gearings	floating rate gearings. Default value = 1.0.
SwapIndex	floating swap rate index.
Spreads	floating rate spreads. Default value = 0.0.
Caps	cap strikes. Default value = std::vector<QuantLib::Rate>().
Redemption	Redemption value. Default value = 100.
IssueDate	issue date: the bond can't be traded until then. Default value = QuantLib::Date().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFixedRateBond

string returnValue
 
qlFixedRateBond(
        string ObjectId
        string Description
        string Currency
        long SettlementDays
        double FaceAmount
        string ScheduleID
        vector<double> Coupons
        string DayCounter
        string PaymentBDC
        double Redemption
        long IssueDate
        string PaymentCalendar
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FixedRateBond and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Description	Bond description string. Autogenerated if null Default value = std::string().
Currency	bond Currency.
SettlementDays	settlement days.
FaceAmount	Face nominal amount. Default value = 100.0.
ScheduleID	Schedule object ID.
Coupons	simple annual compounding coupon rates.
DayCounter	Payment DayCounter ID.
PaymentBDC	payment business day convention. Default value = Following.
Redemption	Redemption value. Default value = 100.0.
IssueDate	issue date: the bond can't be traded until then. Default value = QuantLib::Date().
PaymentCalendar	payment holiday calendar (e.g. TARGET).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFixedRateBond2

string returnValue
 
qlFixedRateBond2(
        string ObjectId
        string Description
        string Currency
        long SettlementDays
        double FaceAmount
        string ScheduleID
        vector<string> Coupons
        string PaymentBDC
        double Redemption
        long IssueDate
        string PaymentCalendar
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FixedRateBond and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Description	Bond description string. Autogenerated if null Default value = std::string().
Currency	bond Currency.
SettlementDays	settlement days.
FaceAmount	Face nominal amount. Default value = 100.0.
ScheduleID	Schedule object ID.
Coupons	coupon InterestRate IDs.
PaymentBDC	payment business day convention. Default value = Following.
Redemption	Redemption value. Default value = 100.0.
IssueDate	issue date: the bond can't be traded until then. Default value = QuantLib::Date().
PaymentCalendar	payment holiday calendar (e.g. TARGET).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFloatingRateBond

string returnValue
 
qlFloatingRateBond(
        string ObjectId
        string Description
        string Currency
        long SettlementDays
        string PaymentBDC
        double FaceAmount
        string ScheduleID
        long FixingDays
        bool IsInArrears
        string DayCounter
        vector<double> Floors
        vector<double> Gearings
        string IborIndex
        vector<double> Spreads
        vector<double> Caps
        double Redemption
        long IssueDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class FloatingRateBond and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Description	Bond description string. Autogenerated if null Default value = std::string().
Currency	bond Currency.
SettlementDays	settlement days.
PaymentBDC	payment business day convention. Default value = Following.
FaceAmount	Face nominal amount. Default value = 100.0.
ScheduleID	Schedule object ID.
FixingDays	fixing days (e.g. 2). Default value = QuantLib::Null<QuantLib::Natural>().
IsInArrears	TRUE if the fixing is in arrears. Default value = false.
DayCounter	Payment DayCounter ID.
Floors	floor strikes. Default value = std::vector<QuantLib::Rate>().
Gearings	floating rate gearings. Default value = 1.0.
IborIndex	floating rate index.
Spreads	floating rate spreads. Default value = 0.0.
Caps	cap strikes. Default value = std::vector<QuantLib::Rate>().
Redemption	Redemption value. Default value = 100.
IssueDate	issue date: the bond can't be traded until then. Default value = QuantLib::Date().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlZeroCouponBond

string returnValue
 
qlZeroCouponBond(
        string ObjectId
        string Description
        string Currency
        long SettlementDays
        string Calendar
        double FaceAmount
        long Maturity
        string PaymentBDC
        double Redemption
        long IssueDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ZeroCouponBond and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Description	Bond description string. Autogenerated if null Default value = std::string().
Currency	bond Currency.
SettlementDays	settlement days.
Calendar	holiday calendar (e.g. TARGET).
FaceAmount	Face nominal amount. Default value = 100.0.
Maturity	maturity date.
PaymentBDC	payment business day convention. Default value = Following.
Redemption	Redemption value. Default value = 100.
IssueDate	issue date: the bond can't be traded until then. Default value = QuantLib::Date().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag