instbond - Construct bond instrument

InstSet

Instrument variable. This argument is specified only when adding bond instruments to an existing instrument set. See instget for more information on the InstSet variable.

CouponRate

Decimal number indicating the annual percentage rate used to determine the coupons payable on a bond.

Settle

Settlement date. A vector of serial date numbers or date strings. Settle must be earlier than Maturity.

Maturity

Maturity date. A vector of serial date numbers or date strings.

Period

(Optional) Coupons per year of the bond. A vector of integers. Allowed values are 1, 2, 3, 4, 6, and 12. Default = 2.

Basis

(Optional) Day-count basis of the instrument. A vector of integers.

• 0 = actual/actual (default)

• 1 = 30/360 (SIA)

• 2 = actual/360

• 3 = actual/365

• 4 = 30/360 (PSA)

• 5 = 30/360 (ISDA)

• 6 = 30/360 (European)

• 7 = actual/365 (Japanese)

• 8 = actual/actual (ISMA)

• 9 = actual/360 (ISMA)

• 10 = actual/365 (ISMA)

• 11 = 30/360E (ISMA)

• 12 = actual/365 (ISDA)

EndMonthRule

(Optional) End-of-month rule. A vector. This rule applies only when Maturity is an end-of-month date for a month having 30 or fewer days. 0 = ignore rule, meaning that a bond's coupon payment date is always the same numerical day of the month. 1 = set rule on (default), meaning that a bond's coupon payment date is always the last actual day of the month.

IssueDate

(Optional) Date when a bond was issued.

FirstCouponDate

(Optional) Date when a bond makes its first coupon payment. When FirstCouponDate and LastCouponDate are both specified, FirstCouponDate takes precedence in determining the coupon payment structure.

LastCouponDate

(Optional) Last coupon date of a bond prior to the maturity date. In the absence of a specified FirstCouponDate, a specified LastCouponDate determines the coupon structure of the bond. The coupon structure of a bond is truncated at the LastCouponDate regardless of where it falls and is followed only by the bond's maturity cash flow date.

StartDate

Ignored.

Face

(Optional) Face or par value. Default = 100.