This module consists of very advanced, general and flexible functions that can generate a variety of different cash flows for the bond types Annuity, Bullet, Consol, Serial and Zero (short for zero-coupon bond). These bond types represent the most common kinds of bond amortizations. The cash flow functions are: CashFlow, Repayment, OutstandingPrincipal and Coupon. Pricing and risk estimation functions are also included. These are: PresentValue, ImplicitYield, Duration and TermStructureRisk.

 A PassThrough - in the Mortgage Backed Obligations module - is a convertible Annuity. A Float - in the Floaters module - can have any amortization pattern, for example the same patterns as Annuity, Bullet, Consol, Serial and Zero. Generally any non-convertible bond can be assembled from a number of zero-coupon bonds.

Examples

 A few examples of the many functions in the Bonds module are given. The examples give some insight to the many different ways the functions can be combined and used, and are taken directly from the documentation - although the documentations' layout and styling is nicer than in a web-page. The examples can be viewed by clicking on the red-colored links below.

Contents

8.1 Introduction

Summary -- Context -- This Opens the Package

8.2 Objects

Annuity -- Bullet -- Consol -- Serial -- Zero -- SimpleAnnuity

8.3 Cash Flow

Non-Calendar Time

CashFlow -- Coupon -- Repayment -- OutstandingPrincipal
+A Graphical Comparison

Calendar Time

CashFlow -- Coupon -- Repayment -- OutstandingPrincipal
ExitCoupon & ExitRepayment -- Day Counting & Workdays

8.4 Pricing

Non-Calendar Time

PresentValue -- ImplicitYield

Calendar Time

PresentValue -- ImplicitYield

8.5 Static Risk

Non-Calendar Time

Duration -- TermStructureRisk

Calendar Time

Duration -- TermStructureRisk