Collection of bond functions.

Namespace: Imsl.Finance
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0

Syntax

C#
[SerializableAttribute]
public sealed class Bond
Visual Basic (Declaration)
<SerializableAttribute> _
Public NotInheritable Class Bond
Visual C++
[SerializableAttribute]
public ref class Bond sealed

Remarks

Definitions

rate is an annualized rate of return based on the par value of the bills.

yield is an annualized rate based on the purchase price and reflects the actual yield to maturity.

coupons are interest payments on a bond.

redemption is the amount a bond pays at maturity.

frequency is the number of times a year that a bond makes interest payments.

basis is the method used to calculate dates. For example, sometimes computations are done assuming 360 days in a year.

issue is the day a bond is first sold.

settlement is the day a purchaser aquires a bond.

maturity is the day a bond's principal is repaid.

Discount Bonds

Discount bonds, also called zero-coupon bonds, do not pay interest during the life of the security, instead they sell at a discount to their value at maturity. The discount bond methods all have settlement, maturity, basis and redemption as arguments. In the following list these common arguments are ommitted.

A related method is Accrintm, which returns the interest that has accumulated on the discount bond.

Treasury Bills

US Treasury bills are a special case of discount bonds. The basis is fixed for treasury bills and the redemption value is assumed to be $100. So these functions have only settlement and maturity as common arguments.

Interest Paying Bonds

Most bonds pay interest periodically. The interest paying bond methods all have settlement, maturity, basis and frequency as arguments. Again supressing the common arguments,

A related method is Accrint, which returns the interest that has accumulated at settlement from the previous coupon date.

Coupon days

In this diagram, the settlement date is shown as a hollow circle and the adjacent coupon dates are shown as filled circles.

  • Coupppcd is the coupon date immediately prior to the settlement date.
  • Coupncd is the coupon date immediately after the settlement date.
  • Coupdaybs is the number of days from the immediately prior coupon date to the settlement date.
  • Coupdaysnc is the number of days from the settlement date to the next Coupon date.
  • Coupdays is the number of days between these two coupon dates.

A related method is Coupnum, which returns the number of coupons payable between settlement and maturity.

Another related method is Yearfrac, which returns the fraction of the year between two days.

Duration

Duration is used to measure the sensitivity of a bond to changes in interest rates. Convexity is a measure of the sensitivity of duration.

Inheritance Hierarchy

System..::.Object
Imsl.Finance..::.Bond

See Also