## BPS

Function

**within Bond with keys Bond BPS keys returns the basis-point sensitivity(ies) of the cash flows of the referenced bond(s) as of a given reference date**

*BPS*

*Tˢ*This equals the change in NPV (on a notional of 100) due to a uniform 1-basis-point change in the rate paid by the cash flows, provided all discounting is done according to the provided yield or discounting curve,

Concretely, in the case where a yield is supplied, a discounting curve is constructed with a flat zero rate equal to the supplied yield.

Otherwise, the supplied discount curve is used.

Then all coupons - regardless of being fixed or floating - are replaced with fixed payments of an amount equal to one basis point on a notional of 100, i.e. an amount of

*0.01*Then the NPV of all these replaced coupons is calculated using the applicable discounting curve mentioned above.

There exist 2 distinct methods for obtaining the NPV:

**From a given flat yield that acts as the discount zero rate for all cash flows.**

*1)***From a given discounting yield curve that implies the discount factors to be used for discounting the various cash flows.**

*2)*If the settlement date

**is not explicitly given, it will be set to the bond's settlement date as implied by a trade transaction assumed to occur on the trade date**

*Tˢ***(typically today).**

*T₀*PRECAUTION: This function treats the referenced bond as if it were a fixed rate bond even if this is not the case!

All index-linked cash flows are treated as fixed cash flows that pay the amount forecasted by the corresponding curve.