Fixed-Rate Bond
Price a fixed-coupon bond off a discount curve, returning NPV, clean and dirty price, yield, accrued interest, and duration/convexity risk metrics. Shared concepts are on the Pricing overview.
Pricing Context
| Field | Control | Default | What it does |
|---|---|---|---|
| As Of Date | Date | 2025-01-15 | Valuation date. |
| Settlement Date | Date | As-Of + 2d | Settlement date for clean/dirty price and accrued. |
| Discount Curve | Two dropdowns | Standalone → none | First picks the source (— Standalone curves — or a curve set); second picks the curve used to discount the bond's cashflows. |
| Attach quote book snapshot to pricing request | Checkbox | on | Bundle quote-book values so a quote-referencing curve resolves server-side. |
Bond Details
| Field | Options | Default | What it does |
|---|---|---|---|
| Face Amount | Number | 100 | The bond's notional / par amount. |
| Coupon Rate (%) | Number | 5.00 | Annual fixed coupon rate, as a percentage. |
| Redemption | Number | 100 | Redemption value at maturity, per 100 face. |
| Settlement Days | Number | 2 | Business days from trade to settlement. |
| Accrual Day Counter | Day-counter list | ActualActualBond | Day-count basis used to accrue the coupon. |
| Payment Convention | Business-day-convention list | ModifiedFollowing | Business-day rule applied to coupon payment dates. |
Schedule
| Field | Options | Default | What it does |
|---|---|---|---|
| Issue Date | Date | today | The bond's issue (dated) date. |
| Effective Date | Date | today | Accrual start date for the coupon schedule. |
| Maturity Date | Date | +5y | Final maturity / redemption date. |
| Frequency | Annual, Semiannual, Quarterly, Monthly | Semiannual | Coupon payment frequency. |
| Calendar | Calendar list | TARGET | Holiday calendar for business-day adjustment. |
| Date Generation | Forward, Backward | Forward | Whether schedule dates are generated from the start (Forward) or from maturity (Backward). |
Yield Calculation
Controls how the reported yield is computed from the priced value; these do not change the NPV.
| Field | Options | Default | What it does |
|---|---|---|---|
| Day Counter | Day-counter list | Actual360 | Day-count basis for the yield calculation. |
| Compounding | Compounded, Continuous, Simple | Compounded | Compounding convention for the yield. |
| Frequency | Annual, Semiannual, Quarterly, Monthly | Annual | Compounding frequency for the yield. |
| Include risk metrics | Checkbox | on | Compute duration and convexity. |
| Include cash flows | Checkbox | on | Return the per-coupon cashflow table. |
Day-counter options: Actual360, Actual365Fixed, Thirty360, ActualActual, ActualActualBond and other ActualActual variants, Business252, One, Simple. Business-day conventions: Following, ModifiedFollowing, Preceding, Unadjusted, HalfMonthModifiedFollowing, ModifiedPreceding, Nearest.
Reading the results
The results panel reports:
- NPV and Yield — the present value and the (form-configured) yield.
- Clean Price, Dirty Price, and Accrued — price per 100 face excluding / including accrued interest, and the accrued amount.
- Macaulay Duration, Modified Duration, and Convexity — shown when Include risk metrics is on.
- Cashflows — the coupon-by-coupon table when Include cash flows is on.