bondPricer

First introduced in version: 3.00.4

Syntax

bondPricer(instrument, pricingDate, discountCurve, [spreadCurve], [setting], [forwardCurve])

Details

Prices the bond instrument(s), supporting output of multiple risk measures, including (NPV (Net Present Value), Delta (first-order sensitivity), Gamma (second-order sensitivity), and Key Rate Duration (sensitivity to interest rate shifts at specified key maturities).

Supports floating-rate bonds (bondType="FloatingRateBond"). The first unpaid coupon uses lastFixing. For subsequent periods, the reference rate is derived from forwardCurve, and spread is added to obtain the coupon rate.

Parameters

Note:

Scalar inputs will be automatically expanded to match the length of other vector inputs. All vector inputs must be of equal length.

instrument is an INSTRUMENT scalar/vector object representing the bond(s) to be priced. The required key fields vary depending on the type of bond product; see Bond Product Field Specifications for details.

pricingDate is a DATE scalar/vector specifying the pricing date(s).

discountCurve is a MKTDATA scalar/vector of type IrYieldCurve representing the discount curve(s). See Curve Field Specifications for details.

spreadCurve (optional) is a MKTDATA scalar/vector of type IrYieldCurve representing the credit spread curve(s). If not specified, defaults to a flat curve with 0% spread. See Curve Field Specifications for details.

setting (optional)is a Dictionary<STRING, ANY> with the following key-value pairs：


Key	Value Type	Description
"calcDiscountCurveDelta"	BOOL	Whether to compute the bond’s first-order sensitivity (delta) to the discount curve.
"calcDiscountCurveGamma"	BOOL	Whether to compute the bond’s second-order sensitivity (gamma) to the discount curve.
"calcDiscountCurveKeyRateDuration"	BOOL	Whether to compute the bond’s key rate durations.
"discountCurveShift"	DOUBLE scalar	The parallel shift applied to the discount curve. For example, a bp(0.0001).
"discountCurveKeyTerms"	DOUBLE scalar/vector	The specific maturity point(s) to calculate the key rate duration. For example, [1.0, 3.0, 5.0].
"discountCurveKeyShifts"	DOUBLE scalar/vector	The shift amounts corresponding to each maturity point. It has the same length with discountCurveKeyTerms. For example, [0.0001, 0.0002, 0.0015].

forwardCurve (optional) is a MKTDATA scalar/vector of type IrYieldCurve used to derive floating coupon rates. It is required when instrument is a floating-rate bond and ignored for other bond types. The curve's referenceDate must match pricingDate.

Returns

For scalar input:

If setting is not specified, returns the NPV (a DOUBLE scalar).
If setting is specified, returns a Dictionary<STRING, ANY> with the following key-value pairs:
- "npv": A DOUBLE scalar
- "discountCurveDelta": A DOUBLE scalar
- "discountCurveGamma": A DOUBLE scalar
- "discountCurveKeyRateDuration": A DOUBLE vector

For vector input, it returns a DOUBLE vector (if setting is not specified) or a tuple of dictionaries (if setting is specified).

Examples

bond = {
  "productType": "Cash",
  "assetType": "Bond",
  "bondType": "FixedRateBond",
  "version": 0, 
  "instrumentId": "240025.IB",
  "start": 2024.12.25,
  "maturity": 2031.12.25,
  "issuePrice": 100.0,
  "coupon": 0.0149,
  "frequency": "Annual",
  "dayCountConvention": "ActualActualISDA"
}

pricingDate = 2025.08.18

curve = {
  "mktDataType": "Curve",
  "curveType": "IrYieldCurve",
  "referenceDate": pricingDate,
  "currency": "CNY",
  "curveName": "CNY_TREASURY_BOND",
  "dayCountConvention": "ActualActualISDA",
  "compounding": "Compounded",
  "interpMethod": "Linear",
  "extrapMethod": "Flat",
  "frequency": "Annual",
  "dates":[2025.09.18, 2025.11.18, 2026.02.18, 2026.08.18, 2027.08.18, 2028.08.18, 2030.08.18,
      2032.08.18, 2035.08.18, 2040.08.18, 2045.08.18, 2055.08.18,2065.08.18, 2075.08.18],
  "values":[1.3000, 1.3700, 1.3898, 1.3865, 1.4299, 1.4471, 1.6401,
       1.7654, 1.7966, 1.9930, 2.1834, 2.1397, 2.1987, 2.2225] / 100.0
}

instrument = parseInstrument(bond)
discountCurve = parseMktData(curve)

setting = dict(STRING, ANY)
setting["calcDiscountCurveDelta"] = true
setting["calcDiscountCurveGamma"] = true
setting["calcDiscountCurveKeyRateDuration"] = true
setting["discountCurveShift"] = 0.0001
setting["discountCurveKeyTerms"] = [1.0, 3.0, 5.0]
setting["discountCurveKeyShifts"] = [0.0002, 0.0003, 0.0001]

bondPricer(instrument, pricingDate, discountCurve, setting=setting)

bondPricer([instrument, instrument], pricingDate, discountCurve, setting=setting)
bondPricer(instrument, pricingDate, [discountCurve, discountCurve], setting=setting)
bondPricer(instrument, [pricingDate], discountCurve, setting=setting)
bondPricer(instrument, [pricingDate, pricingDate], discountCurve, setting=setting)

Price a three-year floating-rate bond with semiannual coupon payments:

floatingBond = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FloatingRateBond",
    "instrumentId": "240025.IB",
    "start": 2017.09.11,
    "maturity": 2020.09.11,
    "frequency": "Semiannual",
    "dayCountConvention": "Actual365",
    "iborIndex": "LPR_1Y",
    "spread": 0.02,
    "lastFixing": 0.08
}
instrument = parseInstrument(floatingBond)
pricingDate = 2017.09.11

discountCurve = parseMktData({
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": pricingDate,
    "currency": "CNY",
    "curveName": "CNY_TREASURY_BOND",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Semiannual",
    "dates": [2018.03.11, 2018.09.11, 2019.03.11, 2019.09.11, 2020.03.11, 2020.09.11],
    "values": [0.05, 0.06, 0.07, 0.08, 0.09, 0.10]
})

forwardCurve = parseMktData({
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": pricingDate,
    "currency": "CNY",
    "curveName": "CNY_FORWARD",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Semiannual",
    "dates": [2018.03.11, 2018.09.11, 2019.03.11, 2019.09.11, 2020.03.11, 2020.09.11],
    "values": [0.05, 0.06, 0.07, 0.08, 0.09, 0.10]
})

round(bondPricer(
    instrument=instrument,
    pricingDate=pricingDate,
    discountCurve=discountCurve,
    forwardCurve=forwardCurve
), 4)
// output: 106.6335

Related functions: parseInstrument, parseMktData

Bond Product Field Specifications

Discount Bond


Field Name	Data Type	Description	Required
productType	STRING	Must be "Cash"	√
assetType	STRING	Must be "Bond"	√
bondType	STRING	Must be "DiscountBond"	√
nominal	DOUBLE	Nominal amount, defalut 100	×
instrumentId	STRING	Bond code, e.g., "259926.IB"	×
start	DATE	Value date	√
maturity	DATE	Maturity date	√
dayCountConvention	STRING	The day count convention. It can be: "ActualActualISDA", "ActualActualISMA"," Actual365", "Actual360"	√
issuePrice	DOUBLE	Issue price	√
currency	STRING	Currency, defaults to "CNY"	×
discountCurve	STRING	The discount curve, e.g., "CNY_TRASURY_BOND"	×
spreadCurve	STRING	The credit spread curve	×
subType	STRING	Subtypes. China's bonds include: "TREASURY_BOND": Treasury Bonds "CENTRAL_BANK_BILL": Central Bank Bills "CDB_BOND": Policy Bank Financial Bonds (China Development Bank) "EIBC_BOND": Policy Bank Financial Bonds (Export-Import Bank of China) "ADBC_BOND": Policy Bank Financial Bonds (Agricultural Development Bank of China) "MTN": Medium-term Notes "CORP_BOND": Corporate Bonds "UNSECURED_CORP_BOND": Unsecured Corporate Bonds "SHORT_FIN_BOND": Short-term Financing Bills "NCD": Negotiable Certificates of Deposit "LOC_GOV_BOND": Local Government Bonds "COMM_BANK_FIN_BOND": Commercial Bank Financial Bonds "BANK_SUB_CAP_BOND": Bank Subordinated Capital Bonds "ABS": Asset-backed Securities "PPN": Privately Offered Bonds	×
creditRating	STRING	Credit rating. It can be: "B", "BB", "BBB", "BBB+", "A-", "A", "A+", "AA-", "AA", "AA+", "AAA-", "AAA", "AAA+"	×

Zero Coupon Bond


Field Name	Data Type	Description	Required
productType	STRING	Must be "Cash"	√
assetType	STRING	Must be "Bond"	√
bondType	STRING	Must be "ZeroCouponBond"	√
nominal	DOUBLE	Nominal amount, defalut 100	×
instrumentId	STRING	Bond code, e.g., "259926.IB"	×
start	DATE	Value date	√
maturity	DATE	Maturity date	√
coupon	DOUBLE	Coupon rate, e.g., 0.03 means 3%	√
frequency	STRING	Frequency of interest payment	×
dayCountConvention	STRING	The day count convention. It can be: "ActualActualISDA", "ActualActualISMA"," Actual365", "Actual360"	√
currency	STRING	Currency, defaults to "CNY"	×
discountCurve	STRING	The discount curve, e.g., "CNY_TRASURY_BOND"	×
spreadCurve	STRING	The credit spread curve	×
subType	STRING	Subtypes. China's bonds include: "TREASURY_BOND": Treasury Bonds "CENTRAL_BANK_BILL": Central Bank Bills "CDB_BOND": Policy Bank Financial Bonds (China Development Bank) "EIBC_BOND": Policy Bank Financial Bonds (Export-Import Bank of China) "ADBC_BOND": Policy Bank Financial Bonds (Agricultural Development Bank of China) "MTN": Medium-term Notes "CORP_BOND": Corporate Bonds "UNSECURED_CORP_BOND": Unsecured Corporate Bonds "SHORT_FIN_BOND": Short-term Financing Bills "NCD": Negotiable Certificates of Deposit "LOC_GOV_BOND": Local Government Bonds "COMM_BANK_FIN_BOND": Commercial Bank Financial Bonds "BANK_SUB_CAP_BOND": Bank Subordinated Capital Bonds "ABS": Asset-backed Securities "PPN": Privately Offered Bonds	×
creditRating	STRING	Credit rating. It can be: "B", "BB", "BBB", "BBB+", "A-", "A", "A+", "AA-", "AA", "AA+", "AAA-", "AAA", "AAA+"	×

Fixed Rate Bond


Field Name	Data Type	Description	Required
productType	STRING	Must be "Cash"	√
assetType	STRING	Must be "Bond"	√
bondType	STRING	Must be "FixedRateBond"	√
nominal	DOUBLE	Nominal amount, defalut 100	×
instrumentId	STRING	Bond code, e.g., "259926.IB"	×
start	DATE	Value date	√
maturity	DATE	Maturity date	√
coupon	DOUBLE	Coupon rate, e.g., 0.03 means 3%	√
frequency	STRING	Frequency of interest payment	√
dayCountConvention	STRING	The day count convention. It can be: "ActualActualISDA", "ActualActualISMA"," Actual365", "Actual360"	√
currency	STRING	Currency, defaults to "CNY"	×
discountCurve	STRING	The discount curve, e.g., "CNY_TRASURY_BOND"	×
spreadCurve	STRING	The credit spread curve	×
subType	STRING	Subtypes. China's bonds include: "TREASURY_BOND": Treasury Bonds "CENTRAL_BANK_BILL": Central Bank Bills "CDB_BOND": Policy Bank Financial Bonds (China Development Bank) "EIBC_BOND": Policy Bank Financial Bonds (Export-Import Bank of China) "ADBC_BOND": Policy Bank Financial Bonds (Agricultural Development Bank of China) "MTN": Medium-term Notes "CORP_BOND": Corporate Bonds "UNSECURED_CORP_BOND": Unsecured Corporate Bonds "SHORT_FIN_BOND": Short-term Financing Bills "NCD": Negotiable Certificates of Deposit "LOC_GOV_BOND": Local Government Bonds "COMM_BANK_FIN_BOND": Commercial Bank Financial Bonds "BANK_SUB_CAP_BOND": Bank Subordinated Capital Bonds "ABS": Asset-backed Securities "PPN": Privately Offered Bonds	×
creditRating	STRING	Credit rating. It can be: "B", "BB", "BBB", "BBB+", "A-", "A", "A+", "AA-", "AA", "AA+", "AAA-", "AAA", "AAA+"	×

Floating Rate Bond


Field Name	Data Type	Description	Required
productType	STRING	Must be "Cash"	√
assetType	STRING	Must be "Bond"	√
bondType	STRING	Must be "FloatingRateBond"	√
nominal	DOUBLE	Nominal amount. The default value is 100.	×
instrumentId	STRING	Bond code, e.g., "1680437.IB"	×
start	DATE	Value date	√
maturity	DATE	Maturity date	√
iborIndex	STRING	Reference rate, e.g., "LPR_1Y"	√
lastFixing	DOUBLE	Reference-rate fixing from the previous fixing date	√
spread	DOUBLE	Spread. The default value is 0.0.	×
frequency	STRING	Coupon payment frequency	√
dayCountConvention	STRING	Day count convention: "ActualActualISDA", "ActualActualISMA", "Actual365", or "Actual360"	√
fixingOffsetDays	INT	Number of days between the next accrual start date and the fixing date. The default value is 1.	×
currency	STRING	Currency. The default value is "CNY".	×
discountCurve	STRING	Name of the discount curve used for pricing, e.g., "CNY_TREASURY_BOND"	×
spreadCurve	STRING	Name of the credit spread curve used for pricing	×
forwardCurve	STRING	Name of the forward curve used for pricing	×
subType	STRING	Bond subtype. Supported Chinese bond subtypes are: "TREASURY_BOND": Treasury bond "CENTRAL_BANK_BILL": Central bank bill "CDB_BOND": Policy bank bond issued by China Development Bank "EIBC_BOND": Policy bank bond issued by the Export-Import Bank of China "ADBC_BOND": Policy bank bond issued by the Agricultural Development Bank of China "MTN": Medium-term note "CORP_BOND": Corporate bond "UNSECURED_CORP_BOND": Unsecured corporate bond "SHORT_FIN_BOND": Short-term financing bill "NCD": Negotiable certificate of deposit "LOC_GOV_BOND": Local government bond "COMM_BANK_FIN_BOND": Commercial bank financial bond "BANK_SUB_CAP_BOND": Bank subordinated capital bond "ABS": Asset-backed security "PPN": Privately placed note	×
creditRating	STRING	Credit rating: "B", "BB", "BBB", "BBB+", "A-", "A", "A+", "AA-", "AA", "AA+", "AAA-", "AAA", or "AAA+"	×

Curve Field Specifications


Field Name	Data Type	Description	Required
mktDataType	STRING	Must be "Curve"	√
referenceDate	DATE	Reference Date	√
curveType	STRING	Must be "IrYieldCurve"	√
dayCountConvention	STRING	The day count convention to use. It can be: "Actual360": actual/360 "Actual365": actual/365 "ActualActualISMA": actual/actual according to ISMA (International Securities Market Association) convention "ActualActualISDA": actual/actual according to ISDA (International Swaps and Derivatives Association) convention.	√
interpMethod	STRING	Interpolation method. It can be: "Linear": linear interpolation "CubicSpline": cubic spline interpolation "CubicHermiteSpline": cubic Hermite interpolation	√
extrapMethod	STRING	Extrapolation method. It can be Flat: flat extrapolation Linear: linear extrapolation	√
dates	DATE vector	Date of each data point	√
values	DOUBLE vector	Value of each data point, corresponding to the elements in dates.	√
curveName	STRING	Curve name	×
currency	STRING	Currency. It can be CNY", "USD", "EUR", "GBP", "JPY", "HKD"	√
compounding	STRING	The compounding interest. It can be: "Compounded": discrete compounding "Simple": simple interest (no compounding). "Continuous": continuous compounding.	√
settlement	DATE	Settlement date. If specified, all subsequent tenor intervals are computed starting from "settlement" rather than from "referenceDate".	×
frequency	INTEGRAL/STRING	The interest payment frequency. Supported values: -1 or "NoFrequency": No payment frequency 0 or "Once": Single lump-sum payment of principal and interest at maturity. 1 or "Annual": Annually 2 or "Semiannual": Semiannually 3 or "EveryFourthMonth": Every four months 4 or "Quarterly": Quarterly 6 or "BiMonthly": Every two months 12 or "Monthly": Monthly 13 or "EveryFourthWeek": Every four weeks 26 or "BiWeekly": Every two weeks 52 or "Weekly": Weekly 365 or "Daily": Daily 999 or "Other": Other frequencies	×
curveModel	STRING	Curve construction model; It can be "Bootstrap" (default), "NS", "NSS". When the value is "NSS" or "NS", the fields interpMethod, extrapMethod, dates, and values are not required.	×
curveParams	DICT	Model parameters. It is required when curveModel is "NSS" or "NS": If curveModel = "NS": must include keys 'beta0', 'beta1', 'beta2', 'lambda'. If curveModel = "NSS": must include keys 'beta0', ‘beta1', 'beta2', 'beta3', 'lambda0', 'lambda1'.	×