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Price Fixed-Income Instruments

Analyze term structure, interest rates, accrued interest, bond prices, treasury bills, sensitivities and yields

Functions

bndprice Price fixed-income security from yield to maturity
bndspread Static spread over spot curve
bndtotalreturn Total return of fixed-coupon bond
floatmargin Margin measures for floating-rate bond
floatdiscmargin Discount margin for floating-rate bond
prdisc Price of discounted security
prmat Price with interest at maturity
prtbill Price of Treasury bill
acrubond Accrued interest of security with periodic interest payments
acrudisc Accrued interest of discount security paying at maturity
beytbill Bond equivalent yield for Treasury bill
bndyield Yield to maturity for fixed-income security
discrate Bank discount rate of money market security
tbl2bond Treasury bond parameters given Treasury bill parameters
tr2bonds Term-structure parameters given Treasury bond parameters
ylddisc Yield of discounted security
yldmat Yield with interest at maturity
yldtbill Yield of Treasury bill
bndconvp Bond convexity given price
bndconvy Bond convexity given yield
bnddurp Bond duration given price
bnddury Bond duration given yield
bndkrdur Bond key rate duration given zero curve
cdai Accrued interest on certificate of deposit
cdprice Price of certificate of deposit
cdyield Yield on certificate of deposit (CD)
tbilldisc2yield Convert Treasury bill discount to equivalent yield
tbillprice Price Treasury bill
tbillrepo Break-even discount of repurchase agreement
tbillval01 Value of one basis point
tbillyield Yield on Treasury bill
tbillyield2disc Convert Treasury bill yield to equivalent discount
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