Deriscope

## The Excel Derivatives Periscope

##### Products

Bond_Group

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.
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.
Coupons
Set containing detailed information about the coupons as they conveyed directly from QuantLib.
It holds an object of type
Set where each row corresponds to a coupon.
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.
Redemptions
Set containing detailed information about the redemption cash flows as they conveyed directly from QuantLib.
It holds an object of type
Set where each row corresponds to a redemption cash flow.
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:
Issue::Bond_IssueDateIgnored
Issue::Bond_SettlementDaysIgnored
Issue::Bond_AccrualScheduleDayCountIgnored
Issue::Bond_IndexIgnored

The following direct subtypes exist:
CMS Rate Bond
Fixed Rate Bond Group
Ibor Rate Bond Group
Inflation Bond