stdBondForwardPricer

First introduced in version: 3.00.6

Syntax

stdBondForwardPricer(instrument, pricingDate, discountCurve)

Details

Prices a standard bond forward and returns the net present value (NPV) of the standard bond forward on the specified pricing date.

Parameters

instrument is an INSTRUMENT scalar or vector of type StdBondForward specifying the standard bond forward(s) to be priced. See Product Field Specifications for the required keys.

pricingDate is a DATE scalar or vector indicating the pricing date(s).

discountCurve is an MKTDATA scalar or vector of type IrYieldCurve specifying the discount curve(s) used for pricing.

Returns

A DOUBLE scalar or vector indicating the pricing result of the standard bond forward, namely the NPV.

Examples

Example 1: This example first constructs an interest-rate yield curve dictionary, curveDict, and parses it into the discount curve discountCurve required for pricing by using parseMktData. It then defines a fixed-rate bond dictionary, bondDict, as the deliverable underlying bond of the standard bond forward. Next, stdBondForwardDict is used to specify the key terms of the standard bond forward, including the notional amount, notional bond tenor, maturity date, settlement date, settlement type, notional coupon rate, and underlying bond, and parseInstrument parses the dictionary into stdBondForward. Finally, stdBondForwardPricer is called with the pricing date and discount curve to calculate the net present value (NPV) of the standard bond forward.

pricingDate = 2025.08.18
curveDict = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "curveName": "CNY_TREASURY_BOND",
    "referenceDate": pricingDate,
    "currency": "CNY",
    "dayCountConvention": "ActualActualISDA",
    "compounding": "Compounded",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": [2025.09.18, 2025.12.18, 2026.06.18, 2027.06.18, 2028.06.18, 2030.06.18, 2032.06.18],
    "values": [1.30, 1.36, 1.40, 1.46, 1.52, 1.68, 1.78] / 100.0
}
discountCurve = parseMktData(curveDict)
bondDict = {
    "productType": "Cash",
    "assetType": "Bond",
    "bondType": "FixedRateBond",
    "instrumentId": "BOND1",
    "start": 2021.05.24,
    "maturity": 2031.05.24,
    "coupon": 0.0352,
    "frequency": "Annual",
    "dayCountConvention": "ActualActualISDA"
}
stdBondForwardDict = {
    "productType": "Forward",
    "forwardType": "StdBondForward",
    "instrumentId": "SBF_EXAMPLE",
    "nominal": 100.0,
    "yearLength": 10,
    "maturity": 2025.08.18,
    "settlement": 2025.12.18,
    "settlementType": "PhysicalSettlement",
    "nominalCouponRate": 0.03,
    "underlying": [bondDict]
}
stdBondForward = parseInstrument(stdBondForwardDict)
npv = stdBondForwardPricer(stdBondForward, pricingDate, discountCurve)
npv
// output: 106.4315066

Example 2: This example demonstrates vectorized pricing. It reuses the standard bond forward object stdBondForward and the discount curve discountCurve created in Example 1, and constructs vectors of instruments, pricing dates, and discount curves. When stdBondForwardPricer is called, the function matches the elements of the three vectors by position and returns a vector of NPV results, one for each standard bond forward.

instruments = [stdBondForward, stdBondForward]
pricingDates = [2025.08.18, 2025.08.18]
discountCurves = [discountCurve, discountCurve]
npv = stdBondForwardPricer(instruments, pricingDates, discountCurves)
npv
// output: [106.431507,106.431507]

Related functions: parseInstrument, parseMktData, bondForwardPricer

Product Field Specifications


Field	Type	Description	Required
productType	STRING	Must be "Forward".	Yes
forwardType	STRING	Must be "StdBondForward".	Yes
nominal	DOUBLE	The notional amount. The default value is 100.	No
instrumentId	STRING	The standard bond forward identifier, e.g., "CDB3".	No
yearLength	INT	The tenor of the notional bond, typically 3-year, 5-year, or 10-year.	Yes
maturity	DATE	The maturity date (T-1, adjusted to a trading day).	Yes
settlement	DATE	The settlement date (T), the third Wednesday of the contract month.	Yes
underlying	DICTIONARY/TUPLE of INSTRUMENT objects	The basket of deliverable fixed-rate bonds underlying the contract(s). Can be generated by parsing bond dictionaries via parseInstrument.	Yes
settlementType	STRING	The settlement type. Supported values are: "PhysicalSettlement": physical delivery "CashSettlement": cash settlement	Yes
nominalCouponRate	DOUBLE	The notional coupon rate of the notional bond. The default value is 0.03, i.e., 3%.	No