bondOutrightRepoPricer

bondOutrightRepoPricer(instrument, pricingDate, discountCurve)

Prices bond outright repos.

instrument is an INSTRUMENT scalar or vector that specifies the bond repo to price. For field requirements, see the product field description.

pricingDate is a DATE scalar or vector that specifies the pricing date.

discountCurve is a MKTDATA scalar or vector that specifies the spot curve (IrYieldCurve) used to calculate discount factors.

DOUBLE scalar or vector, indicating the net present value (NPV) of the repo.

This example constructs a repo contract based on a fixed-rate bond and prices its cash flows by discounting them using the specified yield curve, ultimately obtaining the trade's theoretical value on the valuation date.

// =====================================================
// 1. Construct the underlying bond
// =====================================================
bond = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "instrumentId": "220010.IB",
 // Interest accrual start date
    "start": 2022.06.16,
 // Maturity date
    "maturity": 2032.06.16,
    "issuePrice": 100.0,
    "coupon": 0.0276,
    "frequency": "Semiannual",
    "dayCountConvention": "Actual360"
}
// =====================================================
// 2. Construct the bond outright repo
// =====================================================
bondOutrightRepo =  {
    "productType": "Cash",
    "assetType": "Repo",
    "repoType":"BondOutrightRepo",
    "notionalCurrency": "CNY",
    "notionalAmount": 1E6,
    "start": 2025.05.15,
    "maturity": 2025.08.15,
    "rate": 0.02,
    "dayCountConvention": "Actual360",
    "payReceive": "Receive",
    "underlying":bond
}
// =====================================================
// 3. Parse into the outright repo instrument
// =====================================================
instrument = parseInstrument(bondOutrightRepo)
// =====================================================
// 4. Set the pricing date
// =====================================================
pricingDate = 2025.06.10
// =====================================================
// 5. Construct the discounted zero-coupon discount curve
// =====================================================
curve_dict = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": pricingDate,
    "currency": "CNY",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous", 
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    // Curve tenor node dates
    "dates":[
        2025.06.25,
        2025.07.25,
        2025.09.25,
        2025.12.25,
        2026.06.25,
        2027.06.25,
        2030.06.25
    ],
    // Continuously compounded zero rates at each tenor node on the curve
    "values":[
        0.0136,
        0.0138,
        0.0142,
        0.0148,
        0.0154,
        0.0167,
        0.0182
    ]
}
// =====================================================
// 6. Parse into the discount curve
// =====================================================
discountCurve = parseMktData(curve_dict)
// =====================================================
// 7. Call the bond outright repo pricer
// =====================================================
price = bondOutrightRepoPricer(
    instrument,
    2025.06.10,
    discountCurve
)
// =====================================================
// 8. Output pricing results
// =====================================================
print(price)

Related functions: parseInstrument and parseMktData