Reuters PowerPlus Pro 4.5.1 Function Reference Guide (Doc. No

Transcription

Reuters PowerPlus Pro 4.5.1 Function Reference Guide
Document Number 450531.3
4 August 2003
Copyright © 2003 Reuters. All Rights Reserved.
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Reuters PowerPlus Pro 4.5.1 Function Reference Guide, Document Number 450531.3, 4 August 2003
Document History
History
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Document Date
Number
Comments
450531.3
4 August 2003
Published as an Adobe PDF file on the Reuters intranet.
450531.2
3 June 2003
Published as an Adobe PDF file on the Reuters intranet.
450531.1
23 May 2003
First draft for internal review. Published as an Adobe PDF file.
4 August 2003
3
4
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TA B L E O F C O N T E N TS
Part I:
Introduction
Chapter 1
Introducing the Reuters PowerPlus Pro Function Reference Guide ....................................... 17
Using This Guide ........................................................................................................................................ 18
Conventions Used in This Guide ................................................................................................................ 19
Reuters PowerPlus Pro Guides and Online Help ....................................................................................... 20
Part II:
Reuters Adfin Realtime
Chapter 2
Realtime Data Functions ...................................................................................................................... 23
RtChain ....................................................................................................................................................... 24
RtContribute ................................................................................................................................................ 24
RtGet .......................................................................................................................................................... 25
RtNow ......................................................................................................................................................... 25
RtSeries ...................................................................................................................................................... 25
RtToday ....................................................................................................................................................... 26
RtUpdate ..................................................................................................................................................... 26
Chapter 3
Historical Data Functions ..................................................................................................................... 29
RtHistory ..................................................................................................................................................... 30
RtHistoryInfo ............................................................................................................................................... 30
Part III:
Reuters Adfin Bonds
Chapter 4
Fixed Income Securities Functions ................................................................................................... 35
Accrued ....................................................................................................................................................... 36
AdBondDeriv ............................................................................................................................................... 36
AdBondPrice ............................................................................................................................................... 37
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5
Table of Contents
AdBondSpread ............................................................................................................................................ 38
AdBondYield ............................................................................................................................................... 39
BdCalcCpn .................................................................................................................................................. 39
BdCashFlows .............................................................................................................................................. 40
BdConvFactor ............................................................................................................................................. 40
BdCpnCrv ................................................................................................................................................... 41
BdCpnValue ................................................................................................................................................ 41
BdIrsStructure ............................................................................................................................................. 42
BdPvbpCrv .................................................................................................................................................. 42
BdRepo ....................................................................................................................................................... 43
BdSettle ...................................................................................................................................................... 44
BdSettleLock ............................................................................................................................................... 45
CpnNext ...................................................................................................................................................... 45
CpnNumber ................................................................................................................................................ 46
CpnPrev ...................................................................................................................................................... 46
Chapter 5
Cash Flows Functions .......................................................................................................................... 47
CfAvgLife .................................................................................................................................................... 48
CfConv ........................................................................................................................................................ 48
CfDur .......................................................................................................................................................... 48
CfPvbp ........................................................................................................................................................ 49
CfPx ............................................................................................................................................................ 49
CfPxCrv ...................................................................................................................................................... 50
CfRepo ........................................................................................................................................................ 50
CfVol ........................................................................................................................................................... 52
CfYld ........................................................................................................................................................... 53
Chapter 6
Convertible Bond Functions ............................................................................................................... 55
AdConvBdDeriv .......................................................................................................................................... 56
AdConvCalcCpn ......................................................................................................................................... 56
AdConvCashFlows ..................................................................................................................................... 57
AdConvImpliedVol ...................................................................................................................................... 57
AdConvOpDeriv .......................................................................................................................................... 58
AdConvPrice ............................................................................................................................................... 59
AdConvRatios ............................................................................................................................................. 60
AdConvYield ............................................................................................................................................... 60
Chapter 7
Floating Rate Notes Functions ........................................................................................................... 63
FrnCalcCpn ................................................................................................................................................. 64
FrnCashFlows ............................................................................................................................................. 64
FrnMargin ................................................................................................................................................... 65
FrnPx .......................................................................................................................................................... 65
6
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Chapter 8
Table of Contents
Index Linked Bonds Functions........................................................................................................... 67
IlbCalcCpn .................................................................................................................................................. 68
IlbCashFlows .............................................................................................................................................. 68
IlbPx ............................................................................................................................................................ 69
IlbYld ........................................................................................................................................................... 69
Part IV:
Reuters Adfin Credit
Chapter 9
Credit Functions ..................................................................................................................................... 73
Credit Default Swaps Calculations .............................................................................................................. 74
AdCdsNpv ................................................................................................................................................... 74
AdCdsSpread .............................................................................................................................................. 74
AdFxCdsNpv ............................................................................................................................................... 75
AdFxCdsSpread .......................................................................................................................................... 76
Functions to Build Credit Models ................................................................................................................ 78
AdCreditStructure ....................................................................................................................................... 78
AdJLTCreditStructure .................................................................................................................................. 78
Functions to Use Credit Models .................................................................................................................. 80
AdCreditZcCurve ........................................................................................................................................ 80
AdDefaultProba .......................................................................................................................................... 80
Part V:
Reuters Adfin Foreign Exchange and Money Markets
Chapter 10
Forex & MM Functions .......................................................................................................................... 85
AdDepToFra ................................................................................................................................................ 86
AdDepToFraBA ........................................................................................................................................... 86
AdZcToFraBA ............................................................................................................................................. 87
FxCalcPeriod .............................................................................................................................................. 87
FxCross ...................................................................................................................................................... 87
FxCrossA .................................................................................................................................................... 88
FxCrossD .................................................................................................................................................... 88
FxDepToSwpD ............................................................................................................................................ 89
FxDepToSwpP ............................................................................................................................................ 90
FxGenCalc .................................................................................................................................................. 91
FxGenParse ................................................................................................................................................ 92
FxSwpToDepD ............................................................................................................................................ 92
FxSwpToDepP ............................................................................................................................................ 93
FxSwpToOut ............................................................................................................................................... 94
FxSwpToSwp .............................................................................................................................................. 94
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Table of Contents
FxSwpToSwpD ........................................................................................................................................... 95
FxSwpToSwpP ............................................................................................................................................ 96
Part VI:
Reuters Adfin Options
Chapter 11
Options and Warrants Functions ....................................................................................................... 99
NormalC .................................................................................................................................................... 100
NormalS .................................................................................................................................................... 100
OpCalcDeriv ............................................................................................................................................. 100
OpHistVol .................................................................................................................................................. 101
OpImpliedVol ............................................................................................................................................ 101
OpPremium ............................................................................................................................................... 102
Chapter 12
Bond Options Functions .................................................................................................................... 103
Bond Options ............................................................................................................................................ 104
AdBondOptionDeriv .................................................................................................................................. 104
AdBondOptionPremium ............................................................................................................................ 105
Chapter 13
Vanilla Caps, Floor, and Collars Functions ................................................................................... 107
AdCapFloorCaplets .................................................................................................................................. 108
AdCapFloorDeriv ...................................................................................................................................... 108
AdCapFloorImpliedVol .............................................................................................................................. 109
AdCapFloorPremium ................................................................................................................................ 110
Chapter 14
Barrier Caps and Floors Functions ................................................................................................. 111
AdBarrierCapFloorCaplets ........................................................................................................................ 112
AdBarrierCapFloorDeriv ........................................................................................................................... 112
AdBarrierCapFloorImpliedVol ................................................................................................................... 113
AdBarrierCapFloorPremium ..................................................................................................................... 114
Chapter 15
Digital Caps, Floors, and Collars Functions ................................................................................. 117
AdDigitalCapFloorCaplets ......................................................................................................................... 118
AdDigitalCapFloorDeriv ............................................................................................................................ 118
AdDigitalCapFloorImpliedVol .................................................................................................................... 119
AdDigitalCapFloorPremium ...................................................................................................................... 120
Chapter 16
Swaptions Functions........................................................................................................................... 121
AdSwaptionPremium ................................................................................................................................ 122
AdSwaptionDeriv ...................................................................................................................................... 122
Part VII:
Reuters Adfin Exotic Options
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Table of Contents
Chapter 17
Asian Options Functions ................................................................................................................... 127
Adfin Exotics ............................................................................................................................................. 128
OpAsianDeriv ............................................................................................................................................ 128
OpAsianImpliedVol ................................................................................................................................... 129
OpAsianPremium ...................................................................................................................................... 130
Chapter 18
Barrier Options Functions ................................................................................................................. 133
OpBarrierDeriv .......................................................................................................................................... 134
OpBarrierImpliedVol .................................................................................................................................. 134
OpBarrierPremium .................................................................................................................................... 135
Chapter 19
Basket Options Functions ................................................................................................................. 137
OpBasketDeriv .......................................................................................................................................... 138
OpBasketPremium .................................................................................................................................... 139
Chapter 20
Binary Options Functions .................................................................................................................. 141
OpBinaryDeriv .......................................................................................................................................... 142
OpBinaryImpliedVol .................................................................................................................................. 142
OpBinaryPremium .................................................................................................................................... 143
Chapter 21
Chooser Options Functions .............................................................................................................. 145
OpChooserDeriv ....................................................................................................................................... 146
OpChooserImpliedVol ............................................................................................................................... 146
OpChooserPremium ................................................................................................................................. 147
Chapter 22
Cliquet Options Functions ................................................................................................................. 149
OpCliquetDeriv ......................................................................................................................................... 150
OpCliquetImpliedVol ................................................................................................................................. 150
OpCliquetPremium ................................................................................................................................... 151
Chapter 23
Compound Options Functions ......................................................................................................... 153
OpCompoundDeriv ................................................................................................................................... 154
OpCompoundImpliedVol ........................................................................................................................... 154
OpCompoundPremium ............................................................................................................................. 155
Chapter 24
Double Barrier Options Functions................................................................................................... 157
OpDoubleBarrierDeriv .............................................................................................................................. 158
OpDoubleBarrierImpliedVol ...................................................................................................................... 158
OpDoubleBarrierPremium ........................................................................................................................ 159
Chapter 25
ExLookBack Options Functions ...................................................................................................... 161
OpExLookbackDeriv ................................................................................................................................. 162
OpExLookbackImpliedVol ......................................................................................................................... 163
OpExLookbackPremium ........................................................................................................................... 163
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Table of Contents
Chapter 26
FxLinked Options Functions ............................................................................................................. 165
OpFxLinkedDeriv ...................................................................................................................................... 166
OpFxLinkedImpliedVol .............................................................................................................................. 167
OpFxLinkedPremium ................................................................................................................................ 168
Chapter 27
Power Options Functions .................................................................................................................. 169
OpPowerDeriv .......................................................................................................................................... 170
OpPowerImpliedVol .................................................................................................................................. 170
OpPowerPremium .................................................................................................................................... 171
Chapter 28
Rainbow Options Functions .............................................................................................................. 173
OpRainbowDeriv ....................................................................................................................................... 174
OpRainbowPremium ................................................................................................................................. 175
Part VIII:
Reuters Adfin Swaps
Chapter 29
Interest Rate Swaps Functions ......................................................................................................... 179
SwIrsCashFlows ....................................................................................................................................... 180
SwIrsCpnDates ......................................................................................................................................... 180
SwIrsPvbpCrv ........................................................................................................................................... 181
SwIrsPx ..................................................................................................................................................... 181
SwIrsSolve ................................................................................................................................................ 182
SwZcToIrs ................................................................................................................................................. 183
Chapter 30
Currency Swaps Functions ............................................................................................................... 185
SwCsCashFlows ....................................................................................................................................... 186
SwCsPx .................................................................................................................................................... 186
SwCsSolve ............................................................................................................................................... 187
SwSwpExtend ........................................................................................................................................... 189
Part IX:
Reuters Adfin Term Structure
Chapter 31
Rates Calculations Functions ........................................................................................................... 193
AdRate ...................................................................................................................................................... 194
AdRateConv ............................................................................................................................................. 194
Chapter 32
10
Term Structure Functions .................................................................................................................. 197
AdCalibrate ............................................................................................................................................... 198
AdFutCodes .............................................................................................................................................. 198
AdFutDates ............................................................................................................................................... 198
AdTermStructure ....................................................................................................................................... 199
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Table of Contents
Part X:
Reuters Adfin Common
Chapter 33
Interpolation Functions ...................................................................................................................... 203
AdInterp .................................................................................................................................................... 204
Chapter 34
Formatting and Parsing Functions .................................................................................................. 205
AdFormat .................................................................................................................................................. 206
AdParse .................................................................................................................................................... 206
AdRound ................................................................................................................................................... 206
DfFormatDate ........................................................................................................................................... 207
DfIDNDate ................................................................................................................................................ 207
Chapter 35
Settings Management Functions ..................................................................................................... 209
AdDefAttribute .......................................................................................................................................... 210
AdDefSet .................................................................................................................................................. 210
AdDefStructure ......................................................................................................................................... 210
AdReadParam .......................................................................................................................................... 211
AdWriteParam ........................................................................................................................................... 211
Chapter 36
Styles Management Functions ......................................................................................................... 213
AdHistoryUpdate ....................................................................................................................................... 214
AdHistoryValue ......................................................................................................................................... 214
AdStyleAttribute ........................................................................................................................................ 214
AdStyleDelete ........................................................................................................................................... 215
AdStyleName ............................................................................................................................................ 215
AdStyleSet ................................................................................................................................................ 215
AdStyleStructure ....................................................................................................................................... 216
Chapter 37
Dates Functions .................................................................................................................................... 217
DfAddMonths ............................................................................................................................................ 218
DfAddPeriod ............................................................................................................................................. 218
DfAddWD .................................................................................................................................................. 218
DfAddYears ............................................................................................................................................... 219
DfCountDays ............................................................................................................................................ 219
DfCountNonWD ........................................................................................................................................ 220
DfCountWD ............................................................................................................................................... 220
DfCountYears ............................................................................................................................................ 220
DfAdjustToWD .......................................................................................................................................... 221
DfFindDateD ............................................................................................................................................. 221
DfFindDateM ............................................................................................................................................. 222
DfIsWD ..................................................................................................................................................... 222
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Table of Contents
DfLastWD ................................................................................................................................................. 222
DfListHolidays ........................................................................................................................................... 223
Part XI:
Reuters 3000 Data Engine
Chapter 38
Data Engine Functions ........................................................................................................................ 227
DeHistory .................................................................................................................................................. 228
DeList ........................................................................................................................................................ 228
DeLookup ................................................................................................................................................. 229
DeQuery ................................................................................................................................................... 230
DeUpdate .................................................................................................................................................. 230
Part XII:
Reuters Adfin Extended Arguments
Appendix A
12
Extended Arguments .......................................................................................................................... 235
Adfin Structures ........................................................................................................................................ 237
AdMode .................................................................................................................................................... 237
BdMode .................................................................................................................................................... 243
BondFutStructure ...................................................................................................................................... 243
BondStructure ........................................................................................................................................... 247
CalcMethod ............................................................................................................................................... 257
CalcStructure ............................................................................................................................................ 262
CapFloorStructure ..................................................................................................................................... 264
CdsStructure ............................................................................................................................................. 268
ConvMode ................................................................................................................................................ 274
ConvStructure ........................................................................................................................................... 274
CreditStructure .......................................................................................................................................... 276
CrossStructure .......................................................................................................................................... 278
CsStructure ............................................................................................................................................... 280
CurStructure .............................................................................................................................................. 284
DefStructure .............................................................................................................................................. 285
DeMode Argument for DeHistory .............................................................................................................. 295
DeMode Argument for DeList ................................................................................................................... 299
DeMode Argument for DeLookup ............................................................................................................. 301
DeMode Argument for DeQuery ............................................................................................................... 303
DeMode Argument for DeUpdate ............................................................................................................. 305
DfMode ..................................................................................................................................................... 308
ExoticStructure .......................................................................................................................................... 309
FormatMode ............................................................................................................................................. 315
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Table of Contents
FrnMode ................................................................................................................................................... 317
FrnStructure .............................................................................................................................................. 320
FxMode ..................................................................................................................................................... 329
HistoryMode .............................................................................................................................................. 331
HistoryStructure ........................................................................................................................................ 333
IlbMode ..................................................................................................................................................... 335
IlbStructure ................................................................................................................................................ 337
IndexHistoryStructure ............................................................................................................................... 344
InterpMode ................................................................................................................................................ 345
IrsStructure ............................................................................................................................................... 346
OpMode .................................................................................................................................................... 351
OptionStructure ......................................................................................................................................... 354
ParseMode ............................................................................................................................................... 358
RateMode ................................................................................................................................................. 359
RateStructure ............................................................................................................................................ 365
RepoMode ................................................................................................................................................ 371
RoundMode .............................................................................................................................................. 374
RtMode ..................................................................................................................................................... 374
StirFutStructure ......................................................................................................................................... 378
StyleMode ................................................................................................................................................. 380
SwapStructure .......................................................................................................................................... 380
SwMode .................................................................................................................................................... 386
YcMode ..................................................................................................................................................... 389
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Table of Contents
14
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PART I:
INTRODUCTION
Introduction
16
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INTRODUCING THE REUTERS POWERPLUS
PRO FUNCTION REFERENCE GUIDE
CHAPTER 1
Contents
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•
•
•
Using This Guide
Conventions Used in This Guide
Reuters PowerPlus Pro Guides and Online Help
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Chapter 1 Introducing the Reuters PowerPlus Pro Function Reference Guide
Using This Guide
Using This Guide
What this guide
explains
Intended
audience
Assumed
knowledge
How this guide is
organized
How to use this
guide
18
The Reuters PowerPlus Pro 4.5.1 Function Reference Guide is a complete reference guide to
Reuters PowerPlus Pro functions.
The Reuters PowerPlus Pro 4.5.1 Function Reference Guide is intended for all users of PowerPlus
Pro that choose to build models to perform customized analyses.
The Reuters PowerPlus Pro 4.5.1 Function Reference Guide assumes that you are familiar with:
•
•
•
Windows operating systems
Microsoft Excel
markets and finance
The Reuters PowerPlus Pro 4.5.1 Function Reference Guide is organized in chapters representing
the different categories of Adfin functions
First read “Conventions Used in This Guide” on page 19 to familiarize yourself with the manner in
which information is presented and the terminology used in this guide.
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Text
Convention
Explanation
italics
Menu names and items, command buttons, and titles of guides
“Text in quotation marks” References to chapters or sections
Messages displayed
Terminology
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bold words or phrases
Emphasizes an explanation
1. Numbered bold text
A series of actions that you perform in the defined order
◆ Bold text
A one-step procedure to perform
courier font
User input, directories, file names, and contents
<courier_italics>
Site-specific variables or parameters
➤
Sequence of menu items to choose
root#
any_other_user$
The user that you must be to enter a command
Term
What You Do
Activate
Place the cursor over the item and click
Choose
Make a choice from two or more available menu items
Click
Quickly press and release the mouse button while the cursor is over the item
Double-click
Quickly press and release the mouse button twice in succession while the cursor
is over the item
Drag and drop
Press and hold the mouse button while the cursor is over the item, then move the
cursor to the required position, and then release the mouse button
Enter
Type in data
Highlight
Place the cursor over a row in a table (or a cell in a matrix) and quickly press and
release the mouse button while the pointer is over the item
Press
Press a key on your keyboard
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19
PDF files
Reuters
PowerPlus Pro
and Reuters
3000 Data
Engine guides
On-line help
20
The Reuters PowerPlus Pro guides are delivered in the \commmon\doc\pdf\Reuters PowerPlus Pro
directory as Adobe PDF files that you can display on-screen and print using Adobe Acrobat Reader
(also delivered with Reuters PowerPlus Pro).
Title
Document Number
Reuters PowerPlus Pro 4.5 SR1 Migration Guide
4510505
Reuters PowerPlus Pro 4.5 SR1 Workbook
4510504
Reuters PowerPlus Pro 4.5 SR1 Functions Quick Reference Guide
4510531
Reuters 3000 Data Engine ActiveX Component Library Guide
4510506
Reuters PowerPlus Pro is delivered with context-sensitive and indexed online help. Choose
Reuters ➤ Help ➤ Online Help.
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PART II:
REUTERS ADFIN
REALTIME
Reuters Adfin Realtime
22
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R E A L T I M E D A TA F U N C T I O N S
CHAPTER 2
Contents
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•
•
•
•
•
•
•
RtChain
RtContribute
RtGet
RtNow
RtSeries
RtToday
RtUpdate
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Chapter 2 Realtime Data Functions
RtChain
RtChain
Purpose
RtChain fills a Microsoft Excel range with the underlying records of a chain or tile.
Syntax
Note
Arguments
=RtChain(SourceAlias, InstrumentCode, DestinationCell, MacroName, RtMode)
The previous =RtChain(SourceAlias, InstrumentCode, DestinationCell, RtMode) function is still
available in Reuters PowerPlus Pro 4.5.
SourceAlias
InstrumentCode
DestinationCell
MacroName
RtMode
Source alias
Instrument code
Cell reference of the upper left corner of the destination array
Name of the macro to run
Extended argument defining the operation (see “RtMode” on page
374)
RtContribute
Purpose
RtContribute contributes a record:
•
•
Syntax
locally within Microsoft Excel, to share the data among all open spreadsheets
at the network level, to share the data among all users connected to the source
=RtContribute(SourceAlias, InstrumentCode, FieldNameArray, FieldValueArray,
RtMode)
Important! The function may not be available on certain installation types.
Arguments
SourceAlias
InstrumentCode
FieldNameArray
FieldValueArray
RtMode
24
Source alias
Instrument code
One-dimensional array of field names or numbers
Array of field values
374)
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RtGet
RtGet
Purpose
Syntax
Note
Arguments
Retrieves real time data from a data source.
=RtGet(SourceAlias, InstrumentCode, FieldNames, RtMode)
Use the non-volatile RtGet function if you have installed Microsoft Excel 2002.
SourceAlias
InstrumentCode
FieldName
RtMode
Source alias
Instrument code
One-dimensional field names or numbers
374)
RtNow
Purpose
Syntax
Note
Argument
Retrieves the current system date and time. RtNow is a non-volatile and asynchronous function that
replaces the volatile Now() function of Microsoft Excel 2002. Adfin Real Time enables you to
manage RtNow updates separately from the global recalculation of your spreadsheet, thus
improving its real time performance. RtNow can only run with Microsoft Excel 2002.
=RtNow(RtMode)
You can only use RtNow in RTD mode.
RtMode
374)
RtSeries
Purpose
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Retrieves historical snap quotes for a real time instrument. RtSeries displays real time data in an
array at time interval. Retrieved data is automatically duplicated, allowing you to build a real time
data series for the requested instrument.
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RtToday
Syntax
Arguments
=RtSeries(SourceAlias, InstrumentCode, FieldNameArray, DestinationCell,
MacroName, RtMode)
SourceAlias
InstrumentCode
FieldNameArray
DestinationCell
MacroName
RtMode
Source alias
Instrument code
374)
RtToday
Purpose
Syntax
Note
Arguments
Retrieves the current system date. RtToday is a non-volatile and asynchronous function that
replaces the volatile Today() function of Microsoft Excel 2002. Adfin Real Time enables you to
manage RtToday updates separately from the global recalculation of your spreadsheet, thus
improving its real time performance. RtToday only runs with Microsoft Excel 2002.
=RtToday()
You can only use RtNow in RTD mode.
This function does not require arguments.
RtUpdate
Purpose
Syntax
Arguments
26
Performs an asynchronous action such as updating real time data or running an Excel macro upon
reception of real time updates. Also performs snapshot updates, using a snap mechanism.
=RtUpdate(SourceAlias, InstrumentArray, FieldNameArray, DestinationCell,
MacroName, RtMode)
SourceAlias
Source alias
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RtUpdate
InstrumentArray
FieldNameArray
DestinationCell
MacroName
RtMode
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One-dimensional array of instrument codes
374)
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27
RtUpdate
28
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H I S T O R I C A L D A TA F U N C T I O N S
CHAPTER 3
Contents
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•
•
RtHistory
RtHistoryInfo
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Chapter 3 Historical Data Functions
RtHistory
RtHistory
Purpose
Syntax
Arguments
Retrieves a list of historical (TS1) data for an instrument.
=RtHistory(SourceAlias, InstrumentCode, FieldNames, HistoryStructure,
HistoryMode)
SourceAlias
InstrumentCode
FieldNames
DestinationCell
HistoryStructure
HistoryMode
Source alias
Instrument codes
String of field names separated by a comma or 1-dimensional array of field
names or numbers
Extended argument defining the range of dates, between which data is
retrieved (see “HistoryStructure” on page 333)
Extended argument customizing the format of the retrieved data (see
“HistoryMode” on page 331)
RtHistoryInfo
Purpose
Syntax
Arguments
Returns a string or an array listing all fields available in TS1 for an instrument. To get the result as an
array, use RES:ARRAY keyword in HistoryMode.
=RtHistoryInfo(SourceAlias, InstrumentCode, HistoryMode)
SourceAlias
InstrumentCode
HistoryMode
30
Source alias
Instrument codes
Extended argument customizing the return array (see“HistoryMode”
on page 331)
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RtHistoryInfo
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4 August 2003
31
RtHistoryInfo
32
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PART III:
REUTERS ADFIN
BONDS
Reuters Adfin Bonds
34
4 August 2003
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FIXED INCOME SECURITIES FUNCTIONS
CHAPTER 4
Contents
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•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
Accrued
AdBondDeriv
AdBondPrice
AdBondSpread
AdBondYield
BdCalcCpn
BdCashFlows
BdConvFactor
BdCpnCrv
BdCpnValue
BdIrsStructure
BdPvbpCrv
BdRepo
BdSettle
BdSettleLock
CpnNext
CpnNumber
CpnPrev
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35
Chapter 4 Fixed Income Securities Functions
Accrued
Accrued
Purpose
Syntax
Arguments
Calculates the accrued interest using a bond structure.
=Accrued (CalcDate, Maturity, Coupon, BondStructure)
CalcDate
Maturity
Coupon
BondStructure
Calculation date
Maturity date of the bond
Nominal coupon rate, expressed as a percentage
Extended argument defining the bond structure (see “BondStructure”
on page 247)
AdBondDeriv
Purpose
Syntax
Arguments
Calculates the derivatives of a bond using a bond structure.
=AdBondDeriv(BondStructure, RateArray, Maturity, Coupon, Spread, BondStructure,
RateStructure, CalcStructure, AdMode)
SettlementDate
RateArray
Maturity
36
Settlement date
Term structure array
Depending on the model, this array has several forms:
- a single value if the Yield To Maturity is used
- a 1 dimensional array containing the Vasicek-Fong coefficients if VF
is specified
- a 2-dimensional array containing the dates (rows or columns
depending on the orientation of the array specified by the LAY
keyword), and the values for the rates if a ZCCurve is used
keyword), the values for the rates, and the volatilities if BDT is used
The model used is specified by the keyword RM (Rate Model) in the
RateStructure argument.
4 August 2003
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AdBondPrice
Coupon
Spread
BondStructure
RateStructure
CalcStructure
AdMode
Spread value expressed in basis points
Depending on the rate model, the spread will be added either to a yield
(RM:YTM), to a yield curve (RM:YC, RM:VF), or will be an option adjusted
spread (RM:BDT).
Extended argument defining the bond structure (see “BondStructure” on
page 247)
Extended argument defining the rate model (see “RateStructure” on page
365)
Extended argument defining the calculation method (see “CalcStructure”
on page 262)
Extended argument customizing the return value (see “AdMode” on page
237)
AdBondPrice
Purpose
Syntax
Arguments
Calculates the price of a bond using a bond structure.
=AdBondPrice(SettlementDate, RateArray, Maturity, Coupon, Spread, BondStructure,
SettlementDate
RateArray
Maturity
[email protected]
Settlement date
is specified
keyword), and the values for the rates if a ZCCurve is used
- The model used is specified by the keyword RM (Rate Model) in the
4 August 2003
37
AdBondSpread
Coupon
Spread
BondStructure
RateStructure
CalcStructure
AdMode
Spread value expressed in basis points
Depending on the rate model, the spread will be added either to a yield
(RM:YTM), to a yield curve (RM:YC, RM:VF), or will be an option adjusted
spread (RM:BDT).
page 247)
365)
on page 262)
237)
AdBondSpread
Purpose
Syntax
Arguments
Calculates the spread of a bond using a bond structure.
=AdBondSpread(SettlementDate, RateArray, HorizonDate, Maturity, Coupon,
BondStructure, RateStructure, CalcStructure, AdMode)
SettlementDate
RateArray
Price
38
Settlement date
is specified
keyword) and the values for the rates if a zero-coupon curve is used
The model used is specified by the keyword RM (Rate Model) in the
Clean or gross price expressed as a percentage of the nominal
4 August 2003
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AdBondYield
Maturity
Coupon
BondStructure
RateStructure
CalcStructure
AdMode
page 247)
365)
on page 262)
237)
AdBondYield
Purpose
Syntax
Arguments
Calculates the Yield To Maturity of non optionable bonds. Calculates the yields at call/put dates of
optionable bonds.
=AdBondYield(SettlementDate, HorizonDate, Maturity, Coupon, BondStructure,
RateStructure, AdMode)
SettlementDate
Price
Maturity
Coupon
Bondstructure
RateStructure
AdMode
Settlement date
(Market) Price of the bond
on page 247)
Extended argument defining the rate model (see “RateStructure” on
page 365)
Extended argument customizing the return value (see “AdMode” on
page 237)
BdCalcCpn
Purpose
[email protected]
Returns all coupon features of a fixed-rate bond in an array.
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39
BdCashFlows
Syntax
Arguments
=BdCalcCpn (CalcDate, Maturity, Coupon, BondStructure, BdMode)
CalcDate
Maturity
Coupon
Bondstructure
BdMode
Calculation date
on page 247)
Extended argument customizing the return value (see “BdMode” on
page 243)
BdCashFlows
Purpose
Syntax
Arguments
Generates an array with the remaining cash flows of a fixed-rate bond.
=BdCashFlows (CalcDate, Maturity, Coupon, BondStructure, BdMode)
CalcDate
Maturity
Coupon
Bondstructure
BdMode
Calculation date
on page 247)
page 243)
BdConvFactor
Purpose
Syntax
Arguments
40
Calculates the conversion factor of a bond.
=BdConvFactor (BondFutStructure, Maturity Code, Maturity, Coupon, ConvMode,
BdMode)
BondFutStructure
Extended argument defining the bond futures structure
4 August 2003
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BdCpnCrv
MaturityCode
Maturity
Coupon
ConvMode
BdMode
Code defining the futures contract maturity
Extended argument defining deliverable bond oddities (see “ConvMode”
on page 274)
Extended argument customizing the return value (see “BdMode” on page
243)
BdCpnCrv
Purpose
Syntax
Arguments
Calculates the nominal coupon rate from the bond price and a zero-coupon yield curve.
=BdCpnCrv(CalcDate, HorizonDate, DateArray, RateArray, Maturity, BondStructure,
CalcMethod)
CalcDate
Price
DateArray
RateArray
Maturity
Bondstructure
Calcmethod
Calculation date
Array of zero-coupon dates
Array of zero-coupon rates or discount factors
on page 247)
Extended argument defining the calculation method (see
“CalcMethod” on page 257)
BdCpnValue
Purpose
Syntax
Arguments
Calculates the value of the next coupon using a bond structure.
=BdCpnValue (CalcDate, Maturity, Coupon, BondStructure)
CalcDate
Maturity
[email protected]
Calculation date
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41
BdIrsStructure
Coupon
Bondstructure
on page 247)
BdIrsStructure
Purpose
Syntax
Arguments
Returns the interest rate swap structure corresponding to a swap in which fixed cash flows match
the bond ones.
=BdIrsStructure (BondStructure)
BondStructure
on page 247)
BdPvbpCrv
Purpose
Syntax
Arguments
Calculates the price variation per basis point for each point of a zero-coupon yield curve.
=BdPvbpCrv(CalcDate, HorizonDate, DateArray, RateArray, Maturity, Coupon,
BondStructure, CalcMethod, BdMode)
CalcDate
Price
DateArray
RateArray
Maturity
Coupon
Bondstructure
Calcmethod
Bdmode
42
Calculation date
on page 247)
“CalcMethod” on page 257)
page 243)
4 August 2003
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BdRepo
BdRepo
Purpose
Calculates the implied repo rate, the future value, or the present value of a repo using a bond
structure.
The expected result must be specified in RepoMode using the RES keyword.
•
To define how the present value and/or the future value of the bond are expressed (clean price,
gross price, or yield), use the NPV and FV keywords in RepoMode.
To define the repo rate type (usually MMBA0 or MMBA5), use the RR keyword.
•
Syntax
Arguments for
implied repo rate
calculation
=BdRepo(CalcDate, HorizonDate, NPV, FV, RepoRate, Maturity, Coupon,
BondStructure, RepoMode)
CalcDate
HorizonDate
Npv
Fv
RepoRate
Maturity
Coupon
BondStructure
RepoMode
[email protected]
Calculation date
Horizon date of the repo
Clean price (as a percentage of the nominal), or gross price (as a
percentage of the nominal), or yield to maturity of the bond at
CalcDate (present value)
HorizonDate (future value)
# not used - enter 0 #
Nominal coupon rate of the bond, expressed as a percentage
on page 247)
Extended argument defining the calculation (see “RepoMode” on page
371)
If calculating the implied repo rate, RepoMode should include the
argument "RES:IMPRATE".
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BdSettle
Arguments for
future value
calculation
CalcDate
HorizonDate
Npv
Fv
RepoRate
Maturity
Coupon
BondStructure
RepoMode
Arguments for
present value
calculation
CalcDate
HorizonDate
Npv
Fv
RepoRate
Maturity
Coupon
Bondstructure
RepoMode
Calculation date
CalcDate (present value)
Repo rate
Nominal coupon rate of the bond, expressed as a percentage
on page 247)
Extended argument defining the calculation (see “BondStructure” on
page 247)
If calculating the future value, RepoMode should include the argument
"RES:FV".
Calculation date
HorizonDate (future value)
Repo rate
on page 247)
Extended argument defining the calculation (see “RepoMode” on page
371)
If calculating the present value, RepoMode should include the
argument "RES:NPV".
BdSettle
Purpose
44
Calculates the settlement date using a bond structure.
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BdSettleLock
Syntax
Arguments
Return Value
=BdSettle(CalcDate, BondStructure)
Bondstructure
on page 247)
The bond settlement date.
BdSettleLock
Purpose
Syntax
Arguments
Calculates the settlement date for bonds with lockout periods using a bond structure.
=BdSettleLock (CalcDate, Maturity, BondStructure)
CalcDate
Maturity
BondStructure
Calculation date
on page 247)
CpnNext
Purpose
Syntax
Arguments
Calculates the date of the next coupon using a bond structure.
=CpnNext(CalcDate, Maturity, BondStructure)
CalcDate
Maturity
BondStructure
[email protected]
Calculation date
on page 247)
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45
CpnNumber
CpnNumber
Purpose
Syntax
Arguments
Calculates the number of coupons until maturity using a bond structure.
=CpnNumber(CalcDate, Maturity, BondStructure)
CalcDate
Maturity
BondStructure
Calculation date
on page 247)
CpnPrev
Purpose
Syntax
Arguments
Calculates the date of the previous coupon using a bond structure.
=CpnPrev(CalcDate, Maturity, BondStructure)
CalcDate
Maturity
BondStructure
46
Calculation date
on page 247)
4 August 2003
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CASH FLOWS FUNCTIONS
CHAPTER 5
Contents
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•
•
•
•
•
•
•
•
•
CfAvgLife
CfConv
CfDur
CfPvbp
CfPx
CfPxCrv
CfRepo
CfVol
CfYld
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Chapter 5 Cash Flows Functions
CfAvgLife
CfAvgLife
Purpose
Syntax
Arguments
Calculates the average life of a bond using cash flows.
=CfAvgLife(CalcDate, CfDates, Cf, CalcMethod)
CalcDate
CfDates
Cf
CalcMethod
Calculation date
Array of cash flow dates corresponding to the bond principal reimbursement
Array of cash flow values corresponding to the bond principal reimbursement
Extended argument defining the calculation method (see “CalcMethod” on page
257)
CfConv
Purpose
Syntax
Arguments
Calculates the convexity of a bond using cash flows.
=CfConv(CalcDate, Yield, CfDates, Cf, CalcMethod)
CalcDate
Yield
CfDates
Cf
CalcMethod
Calculation date
Yield to maturity
Array of cash flow dates corresponding to the bond reimbursement
Array of cash flow values corresponding to the bond reimbursement
Extended argument defining the calculation method (see “CalcMethod” on
page 257)
CfDur
Purpose
Syntax
48
Calculates the duration of the bond using cash flows.
=CfDur(CalcDate, Yield, CfDates, Cf, CalcMethod)
4 August 2003
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CfPvbp
Arguments
CalcDate
Yield
CfDates
Cf
CalcMethod
Calculation date
Yield to maturity
page 257)
CfPvbp
Purpose
Syntax
Arguments
Calculates the price variation per basis point (PVBP) using cash flows.
=CfPvbp(CalcDate, Yield, CfDates, Cf, CalcMethod)
CalcDate
Yield
CfDates
Cf
CalcMethod
Calculation date
Yield to maturity
page 257)
CfPx
Purpose
Syntax
Arguments
Calculates the price from yield using cash flows.
=CfPx(CalcDate, Yield, CfDates, Cf, CalcMethod)
CalcDate
Yield
CfDates
Cf
CalcMethod
[email protected]
Calculation date
Yield to maturity
page 257)
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49
CfPxCrv
CfPxCrv
Purpose
Syntax
Arguments
Calculates the price from a zero-coupon yield curve using cash flows.
=CfPxCrv(CalcDate, DateArray, RateArray, CfDates, Cf, CalcMethod)
CalcDate
DateArray
RateArray
CfDates
Cf
CalcMethod
Calculation date
page 257)
CfRepo
Purpose
Calculates the implied repo rate, the future value, or the present value of a repo using cash flows.
The expected result must be specified in RepoMode using the RES keyword.
To define how the present value and/or the future value of the bond are expressed (clean price,
gross price, or yield), use the NPV and FV keywords in RepoMode. To define the repo rate type
(usually MMBA0 or MMBA5), use the RR keyword.
Syntax
Arguments for
implied repo rate
calculation
=CfRepo(CalcDate, HorizonDate, NPV, FV, RepoRate, CfDates, Cf, RepoMode)
CalcDate
HorizonDate
Npv
Fv
RepoRate
50
Calculation date
percentage of the nominal), or yield to maturity of the bond at CalcDate
(present value)
percentage of the nominal), or yield to maturity of the bond at HorizonDate
(future value)
4 August 2003
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CfRepo
CfDates
Cf
RepoMode
[email protected]
Extended argument defining the calculation (see “RepoMode” on page 371)
If calculating the implied repo rate, RepoMode should include the argument
"RES:IMPRATE".
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CfVol
Arguments for
future value
calculation
CalcDate
HorizonDate
Npv
Fv
RepoRate
CfDates
Cf
RepoMode
Arguments for
present value
calculation
CalcDate
HorizonDate
Npv
Fv
RepoRate
CfDates
Cf
RepoMode
Calculation date
percentage of the nominal), or yield to maturity of the bond at CalcDate
(present value)
Repo rate
If calculating the future value, RepoMode should include the argument
"RES:FV".
Calculation date
percentage of the nominal), or yield to maturity of the bond at HorizonDate
(future value)
Repo rate
If calculating the present value, RepoMode should include the argument
"RES:NPV".
CfVol
Purpose
Syntax
Arguments
Calculates the volatility of the bond or the modified duration using cash flows.
=CfVol(CalcDate, Yield, CfDates, Cf, CalcMethod)
CalcDate
Yield
52
Calculation date
Yield to maturity
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CfYld
CfDates
Cf
CalcMethod
page 257)
CfYld
Purpose
Syntax
Arguments
Calculates the yield from price using cash flows.
=CfYld(CalcDate, GrossPrice, CfDates, Cf, CalcMethod)
CalcDate
GrossPrice
CfDates
Cf
CalcMethod
[email protected]
Calculation date
Clean price plus accrued interest expressed in the same unit as cash flows
page 257)
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53
CfYld
54
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CONVERTIBLE BOND FUNCTIONS
CHAPTER 6
Contents
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•
•
•
•
•
•
•
•
AdConvBdDeriv
AdConvCalcCpn
AdConvCashFlows
AdConvImpliedVol
AdConvOpDeriv
AdConvPrice
AdConvRatios
AdConvYield
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Chapter 6 Convertible Bond Functions
AdConvBdDeriv
AdConvBdDeriv
Purpose
Syntax
Arguments
Returns all derivatives of the underlying bond in an array from the price of the convertible, using a
conversion structure.
=AdConvBdDeriv(SettlementDate, Maturity, Coupon, RateArray, Spread,
ConvStructure, RateStructure, CalcStructure, AdMode)
SettlementDate
Maturity
Coupon
RateArray
Spread
ConvStructure
RateStructure
CalcStructure
AdMode
Settlement date
Maturity date of the convertible bond
Coupon rate, expressed as a percentage
Argument defining the interest rate model in the bond currency:
• single-factor models: single interest rate or zero-coupon array
• two-factor model: a [dates/rates/rate volatilities/mean reversions] array
Credit spread of the issuer expressed in basis points
Extended argument defining the conversion structure (see “ConvMode” on
page 274)
Extended argument defining the structure of the interest rate model (see
“RateStructure” on page 365)
Extended argument defining the calculation method (see “CalcStructure” on
page 262)
237)
AdConvCalcCpn
Purpose
Syntax
Arguments
Returns all coupon features of a convertible bond in an array using a conversion structure.
=AdConvCalcCpn (SettlementDate, Maturity, Coupon, ConvStructure, AdMode)
SettlementDate
Maturity
Coupon
56
Settlement date
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AdConvCashFlows
ConvStructure
AdMode
Extended argument defining the conversion structure (see “ConvStructure”
on page 274)
237)
AdConvCashFlows
Purpose
Syntax
Arguments
Generates an array with the remaining cash flows of a convertible bond.
=AdConvCashFlows (SettlementDate, Maturity, Coupon, ConvStructure, AdMode)
SettlementDate
Maturity
Coupon
ConvStructure
AdMode
Settlement date
on page 274)
237)
AdConvImpliedVol
Purpose
Syntax
Arguments
Calculates the volatility implied by the price of a convertible bond.
=AdConvImpliedVol (SettlementDate, Maturity, Price, Coupon, RateArray,
EquityPrice, EquityDivArray, SpotFX, Spread, ConvStructure, RateStructure,
CalcStructure)
SettlementDate
Maturity
Price
Coupon
[email protected]
Settlement date
Clean or gross price of the convertible bond expressed in the current
currency.
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AdConvOpDeriv
RateArray
EquityPrice
EquityDivArray
SpotFX
Spread
ConvStructure
RateStructure
CalcStructure
Spot price of the underlying instrument
Annual dividend rate or array of dividend dates and amounts
Spot rate for the cross currency
Extended argument defining the conversion structure (see
“ConvStructure” on page 274)
on page 262)
AdConvOpDeriv
Purpose
Syntax
Arguments
Returns an array of all derivatives (Delta, Gamma, Rho, Theta, Vega) of the optional part of the
bond.
=AdConvOpDeriv (SettlementDate, Maturity, Coupon, RateArray, EquityPrice,
EquityVolatility, EquityDivArray, SpotFX, Spread, ConvStructure, RateStructure,
CalcStructure, AdMode)
SettlementDate
Maturity
Coupon
RateArray
EquityPrice
EquityVolatility
EquityDivArray
SpotFX
58
Settlement date
• two-factor model: a [dates/rates/rate volatilities/mean reversions]
array
Volatility of the underlying instrument
4 August 2003
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AdConvPrice
Spread
ConvStructure
RateStructure
CalcStructure
AdMode
on page 262)
:Extended argument customizing the return value (see “AdMode” on
page 237)
AdConvPrice
Purpose
Syntax
Arguments
Calculates the main values of a convertible bond using a conversion structure.
=AdConvPrice(SettlementDate, Maturity, Coupon, RateArray, EquityPrice,
EquityVolatility, EquityDivArray, SpotFX, Spread, ConvStructure, RateStructure,
SettlementDate
Maturity
Coupon
RateArray
EquityPrice
EquityVolatility
EquityDivArray
SpotFX
Spread
ConvStructure
RateStructure:
CalcStructure
[email protected]
Settlement date
on page 274)
on page 262)
4 August 2003
59
AdConvRatios
AdMode
237)
AdConvRatios
Purpose
Syntax
Arguments
Calculates the main characteristics of a convertible bond using a conversion structure.
=AdConvRatios (SettlementDate, Maturity, Price, EquityPrice, SpotFX,
ConvStructure, AdMode)
SettlementDate
Maturity
Price
EquityPrice
SpotFX
ConvStructure
AdMode
Settlement date
Clean or gross price of the convertible bond expressed as a percentage of
the nominal
on page 274)
237)
AdConvYield
Purpose
Syntax
Arguments
Calculates the yield of the underlying bond from the price of the convertible, using a conversion
structure.
=AdConvYield (SettlementDate, Maturity, Price,Coupon, ConvStructure,
RateStructure)
SettlementDate
Price
Maturity
Coupon
60
Settlement date
Clean or gross price of the convertible bond in current currency
4 August 2003
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AdConvYield
ConvStructure
RateStructure
[email protected]
Extended argument defining the structure of the interest rate model
(see “RateStructure” on page 365)
4 August 2003
61
AdConvYield
62
4 August 2003
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FLOATING RATE NOTES FUNCTIONS
CHAPTER 7
Contents
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•
•
•
•
FrnCalcCpn
FrnCashFlows
FrnMargin
FrnPx
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63
Chapter 7 Floating Rate Notes Functions
FrnCalcCpn
FrnCalcCpn
Purpose
Syntax
Arguments
Returns all coupon features of a FRN in an array.
=FrnCalcCpn(CalcDate, StartDate, Maturity, CurrentIndex, QuotedMargin,
FrnStructure, FrnMode)
CalcDate
StartDate
Maturity
CurrentIndex
QuotedMargin
FrnStructure
FrnMode
Calculation date
Start date of the FRN (issue date)
Maturity date of the FRN
Index rate for the current coupon
Margin applied to the index
Extended argument defining the FRN structure (see “FrnStructure” on
page 320)
Extended argument customizing the return value (see “FrnMode” on
page 317)
FrnCashFlows
Purpose
Syntax
Arguments
Generates an array with the remaining cash flows of a floating rate instrument.
=FrnCashFlows(CalcDate, ZcDates, ZcRates, StartDate, Maturity, QuotedMargin,
FloatingRateArray, FrnStructure, FrnMode)
CalcDate
ZcDates
ZcRates
StartDate
Maturity:
QuotedMargin
FloatingRateArray
FrnStructure
64
Calculation date
Maturity date of the FRN (expressed as a date or a code such as "1Y")
Array of floating leg rates
page 320)
4 August 2003
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FrnMargin
FrnMode
page 317)
FrnMargin
Purpose
Calculates the FRN price, the margin or the yield.
The expected result must be specified in FrnMode using the TO keyword. Similarly, the type of data
used in the Px argument must be specified using the FROM keyword.
Syntax
Arguments
=FrnMargin(CalcDate, StartDate, Maturity, Px, QuotedMargin, FloatingRateArray,
FrnStructure, FrnMode)
CalcDate
StartDate
Maturity
Px
QuotedMargin
FloatingRateArray
FrnStructure
FrnMode
Calculation date
Maturity date of the FRN (expressed as a date or a code such as
"1Y")
Margin or yield expressed as a percentage or price expressed as a
percentage of the nominal
Two-cell array defining the value of the current index and the value of
the projected index.
Extended argument defining the FRN structure (see “FrnStructure”
on page 320)
page 317)
FrnPx
Purpose
Syntax
[email protected]
Calculates the price from a yield curve of a floating rate instrument.
=FrnPx(CalcDate, ZcDates, ZcRates, StartDate, Maturity, QuotedMargin,
FloatingRateArray, FrnStructure, FrnMode)
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FrnPx
Arguments
CalcDate
ZcDates
ZcRates
StartDate
Maturity
QuotedMargin
FloatingRateArray
FrnStructure
FrnMode
66
Calculation date
Maturity date of the FRN (expressed as a date or a code such as "1Y")
Array of floating leg rates
page 320)
Extended argument customizing the return value (see “FrnMode” on page
317)
4 August 2003
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INDEX LINKED BONDS FUNCTIONS
CHAPTER 8
Contents
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•
•
•
•
IlbCalcCpn
IlbCashFlows
IlbPx
IlbYld
4 August 2003
67
Chapter 8 Index Linked Bonds Functions
IlbCalcCpn
IlbCalcCpn
Purpose
Syntax
Arguments
Returns all coupon features of an index-linked bond in an array.
=IlbCalcCpn(CalcDate, Maturity, Coupon, InflationRateArray, IlbStructure,
IlbMode)
CalcDate
Maturity
Coupon
InflationRateArray
IlbStructure
IlbMode
Calculation date
Nominal coupon rate, expressed as a number or a percent
Array of anticipated inflation rates
Extended argument defining the index-linked bond structure (see
“IlbStructure” on page 337)
Extended argument customizing the return value (see “IlbMode” on page
335)
IlbCashFlows
Purpose
Syntax
Arguments
Generates an array with the remaining cash flows of an index-linked bond.
=IlbCashFlows(CalcDate, Maturity, Coupon, InflationRateArray, IlbStructure,
IlbMode)
CalcDate
Maturity
Coupon
InflationRateArray
IlbStructure
IlbMode
68
Calculation date
Nominal coupon rate, expressed as a number or a percentage
Extended argument customizing the return value (see “IlbMode” on
page 335)
4 August 2003
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IlbPx
IlbPx
Purpose
Syntax
Arguments
Calculates the price of an index-linked bond.
=IlbPx(CalcDate, Maturity, Coupon, Yield, InflationRateArray, IlbStructure,
IlbMode)
CalcDate
Maturity
Coupon
Yield
InflationRateArray
IlbStructure
IlbMode
Calculation date
Yield to maturity
Extended argument customizing the return value (see “IlbMode” on
page 335)
IlbYld
Purpose
Syntax
Arguments
Calculates the yield of an index-linked bond.
=IlbYld(CalcDate, Maturity, Coupon, Price, InflationRateArray, IlbStructure,
IlbMode)
CalcDate
Maturity
Coupon
Price
InflationRateArray
IlbStructure
IlbMode
[email protected]
Calculation date
Extended argument customizing the return value (see “IlbMode” on page
335)
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IlbYld
70
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PART IV:
REUTERS ADFIN
CREDIT
Reuters Adfin Credit
72
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CREDIT FUNCTIONS
CHAPTER 9
Contents
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•
•
•
Credit Default Swaps Calculations
Functions to Build Credit Models
Functions to Use Credit Models
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73
Chapter 9 Credit Functions
•
•
•
•
AdCdsNpv
AdCdsSpread
AdFxCdsNpv
AdFxCdsSpread
AdCdsNpv
Purpose
Depending on the model specified by the RISKMODEL keyword, the function calculates the net
present value of a credit default swap, using:
•
•
Syntax
Arguments
the Cox, Ingersoll, and Ross model
a credit event probability curve
=AdCdsNpv(SettlementDate, StartDate, Maturity, Spread, RateArray, CreditArray,
CdsStructure, CreditStructure, RateStructure)
SettlementDate
StartDate
Maturity
Spread
RateArray
CreditArray
CdsStructure
CreditStructure
RateStructure
Settlement date
Start date of the credit default swap
Maturity of the credit default swap, expressed as a date or code
Spread of the credit default swap, expressed as basis points
Interest rate model
Credit model
Extended argument defining the structure of the credit default swap (see
“CdsStructure” on page 268)
Extended argument defining the credit model (see “CreditStructure” on
page 276)
Extended argument defining the interest rate model (see “RateStructure”
on page 365)
AdCdsSpread
Purpose
74
Depending on the model specified by the RISKMODEL keyword, the function calculates the spread of
a credit default swap from the net present value, using:
4 August 2003
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AdFxCdsNpv
•
•
Syntax
Arguments
=AdCdsSpread(SettlementDate, StartDate, Maturity, Npv, RateArray, CreditArray,
CdsStructure, CreditStructure, RateStructure)
Settlement date
Maturity
Npv
Net present value of the credit default swap
RateArray
Interest rate model
CreditArray
Credit model
CdsStructure
CreditStructure Extended argument defining the credit model (see “CreditStructure” on page
276)
RateStructure
Extended argument defining the interest rate model (see “RateStructure” on
page 365)
SettlementDate
StartDate
AdFxCdsNpv
Purpose
Depending on the model specified by the RISKMODEL keyword, the function calculates the net
present value of a Quanto credit default swap, using:
•
•
Syntax
Arguments
=AdFxCdsNpv(SettlementDate, StartDate, Maturity, Spread, PaidRate, ReceivedRate,
FxArray, CreditArray, CdsStructure, CreditStructure, RateStructure)
SettlementDate
StartDate
Maturity
Spread
PaidRate
[email protected]
Settlement date
Spread of the credit default swap, expressed as basis points
Interest rate model of the paid leg
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AdFxCdsSpread
Interest rate model of the received leg
FxArray
Array of dates and swap points
CreditArray
Credit model
CdsStructure
276)
RateStructure
page 365)
ReceivedRate
AdFxCdsSpread
Purpose
Depending on the model specified by the RISKMODEL keyword, the function calculates the spread of
a Quanto credit default swap from the net present value, using:
•
•
Syntax
Arguments
=AdFxCdsSpread(SettlementDate, StartDate, Maturity, Npv, PaidRate, ReceivedRate,
FxArray, CreditArray, CdsStructure, CreditStructure, RateStructure)
SettlementDate
StartDate
Maturity
Npv
PaidRate
ReceivedRate
FxArray
CreditArray
CdsStructure
CreditStructure
RateStructure
76
Settlement date
Net present value of the credit default swap
Interest rate model of the paid leg
Interest rate model of the received leg
Array of dates and swap points
Credit model
page 276)
page 365)
4 August 2003
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AdFxCdsSpread
Return Value
[email protected]
The spread of the Quanto credit default swap, expressed as basis points.
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•
•
AdCreditStructure
AdJLTCreditStructure
AdCreditStructure
Purpose
Syntax
Arguments
Depending on the model specified by the RISKMODEL keyword, the function calibrates the Cox,
Ingersoll, and Ross model or the credit event probability curve, either from an array of credit default
swaps, or from a credit zero-coupon curve.
=AdCreditStructure(RateArray, InstrumentArray, CreditStructure, RateStructure,
AdMode)
RateArray
InstrumentArray
CreditStructure
RateStructure
AdMode
Interest rate model
Array of instruments
Extended argument defining the credit model (see “CreditStructure” on page
276)
page 365)
237)
Purpose
Syntax
Arguments
Calibrates a credit event probability curve from a rating transition matrix, using the Jarrow, Lando,
and Turnbull model.
=AdJLTCreditStructure(RateArray, RiskyZcArray, TransitionArray, CreditStructure,
RateArray
RiskyZcArray
78
Array of risk-free zero-coupon prices
Array of credit zero-coupon curves
4 August 2003
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TransitionArray
CreditStructure
RateStructure
AdMode
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Ratings transition matrix
Extended argument defining the credit model (see “CreditStructure” on page
276)
page 365)
237)
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AdCreditZcCurve
AdDefaultProba
AdCreditZcCurve
Purpose
Depending on the model specified by the RISKMODEL keyword, the function builds a credit
zero-coupon curve, using:
•
•
Syntax
Arguments
the credit event probability curve
=AdCreditZcCurve(SettlementDate, RateArray, CreditArray, CreditStructure,
SettlementDate
RateArray
CreditArray
CreditStructure
RateStructure
AdMode
Settlement date
Interest rate model
Credit model
page 276)
on page 365)
237)
AdDefaultProba
Purpose
Syntax
80
Depending on the model specified by the RISKMODEL keyword, the function calculates the
probabilities of default for an array of dates, using the Cox, Ingersoll, and Ross model or a curve
credit model.
=AdDefaultProba(SettlementDate, DateArray, CreditArray, CreditStructure, AdMode)
4 August 2003
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AdDefaultProba
Arguments
Settlement date
Array of dates
CreditArray
Credit model
276)
AdMode
Extended argument customizing the return value (see “AdMode” on page 237)
SettlementDate
DateArray
[email protected]
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81
AdDefaultProba
82
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PART V:
REUTERS ADFIN
FOREIGN
EXCHANGE AND
MONEY MARKETS
Reuters Adfin Foreign Exchange and Money Markets
84
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CHAPTER 10 FOREX & MM FUNCTIONS
Contents
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•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
AdDepToFra
AdDepToFraBA
AdZcToFraBA
FxCalcPeriod
FxCross
FxCrossA
FxCrossD
FxDepToSwpD
FxDepToSwpP
FxGenCalc
FxGenParse
FxSwpToDepD
FxSwpToDepP
FxSwpToOut
FxSwpToSwp
FxSwpToSwpD
FxSwpToSwpP
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Chapter 10 Forex & MM Functions
AdDepToFra
AdDepToFra
Purpose
Calculates a forward rate.
The type of rate used for Rate1, Rate3 and the returned rate must be specified in the RateMode
argument with the either the keyword RATES or all three keywords R1, R2 and R3.
Syntax
Arguments
=AdDepToFra(Date1, Date2, Date3, RateMode, Rate1, Rate3)
Date1
Date2
Date3
RateMode
Rate1
Rate3
First date
Second date
Third date
Extended argument defining the type of rates used (see “RateMode” on
page 359)
Rate applicable for the period from Date1 to Date2
Rate applicable for the period from Date1 to Date3
AdDepToFraBA
Purpose
Calculates forward bid and ask rates.
The type of rate used for Rate1BA, Rate3BA and the returned rates must be specified in the
RateMode argument with the either the keyword RATES or all three keywords R1, R2 and R3.
Syntax
Arguments
=AdDepToFraBA(Date1, Date2, Date3, RateMode, Rate1BA, Rate3BA)
Date1
Date2
Date3
RateMode
Rate1BA
Rate3BA
86
First date
Second date
Third date
Extended argument defining the type of rates used (see “RateMode” on
page 359)
Rates applicable for the period from Date1 to Date2 (array Bid/Ask)
Rates applicable for the period from Date1 to Date3 (array Bid/Ask)
4 August 2003
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AdZcToFraBA
AdZcToFraBA
Purpose
Calculates FRA bid and ask rates from a zero-coupon yield curve.
To indicate the zero-coupon yield curve type (rates or discount factors), use the ZCTYPE keyword in
YcMode. To determine the zero-coupon yield curve, the function AdTermStructure can be used.
Syntax
Arguments
=AdZcToFraBA(StirFutStructure, StartDate, Period, ZcArray, YcMode)
StirFutStructure
StartDate
Period
ZcArray
YcMode
Extended argument defining the STIR futures contract
FRA start date
FRA maturity date (expressed as a date or a code such as "1Y")
Array of zero-coupon dates and rates or discount factors
Extended argument customizing the return value (see “YcMode” on
page 389)
FxCalcPeriod
Purpose
Calculates the start date and the end date of a period.
The CalcDate argument stands by default for the trading date. To calculate the period end date
directly from the spot date (it may be useful to do so for instance when applying an offset to the spot
date), or to choose between the Forex and the Money markets, use the FROM keyword in FxMode.
Syntax
Arguments
=FxCalcPeriod(CalcDate, Cur1Cur2, Period, FxMode)
CalcDate
Cur1Cur2
Period
FxMode
Calculation date (trading date or spot date)
Cross currency code (example: "EURGBP")
Period code (example: "1M")
Extended argument customizing the return value (see “FxMode” on
page 329)
FxCross
Purpose
[email protected]
Calculates the spot cross rate assuming that the cross value date and the spot dates are equal.
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FxCrossA
The cross spot rate is by default returned in two cells. To get the cross rate in the Bid/Ask or Ask/Bid
format, this function can be combined with the AdFormat function.
Syntax
Arguments
=FxCross(Cur1Cur2, Spot1BA, Spot2BA, FxMode)
Cur1Cur2
Spot1BA
Spot2BA
FxMode
Cur1 spot rates (array Bid/Ask)
page 329)
FxCrossA
Purpose
Calculates the spot cross rate correcting the spot rates if the cross spot date and the spot date of
each currency are not equal.
Syntax
Arguments
=FxCrossA(CalcDate, Cur1Cur2, Spot1BA, Spot2BA, Dep1BA, Dep2BA, DepUsdBA, FxMode)
CalcDate
Cur1Cur2
Spot1BA
Spot2BA
Dep1BA
Dep2BA
DepUsdBA
FxMode
Calculation date (contract or trading date)
Cur1 deposit rates (in real value) for the shortest period (array Bid/Ask)
USD deposit rates (in real value) for the shortest period (array Bid/Ask)
Extended argument customizing the return value (see “FxMode” on page 329)
FxCrossD
Purpose
88
Calculates the spot cross rate correcting the spot rates if the cross spot date SpotDate12 and the
currency spot dates SpotDate1 and SpotDate2 are not equal.
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FxDepToSwpD
Syntax
Arguments
=FxCrossD(SpotDate12, SpotDate1, SpotDate2, Cur1Cur2, Spot1BA, Spot2BA, Dep1BA,
Dep2BA, DepUsdBA, FxMode)
SpotDate12
SpotDate1
SpotDate2
Cur1Cur2
Spot1BA
Spot2BA
Dep1BA
Dep2BA
DepUsdBA
FxMode
Spot value date of the cross currency Cur1Cur2
Spot value date of Cur1
Spot value date of Cur2
USD deposit rates (in real value) for the shortest period (array Bid/Ask)
Extended argument customizing the return value (see “FxMode” on page
329)
FxDepToSwpD
Purpose
Calculates the synthetic swap point from deposit using a number of days. If any of the two
currencies is the USD, an alternate set of arguments can be used to avoid the burden of determining
which of Cur1 or Cur2 stands for the USD.
To get outrights instead of swap points, this function can be combined with the FxSwpToOut function.
The cross swap point is by default returned in two cells. To get the swap point in the Bid/Ask or
Ask/Bid format, this function can be combined with the AdFormat function.
Syntax
Arguments for
two non-USD
currencies
=FxDepToSwpD(NbDays, Cur1Cur2, Spot12BA, Dep1BA, Dep2BA, FxMode)
I
NbDays
Cur1Cur2
Spot12BA
Dep1BA
[email protected]
Number of days of Cur1Cur2 swap point period
Cross currency code (example : "EURGBP")
Cur1Cur2 spot rates (array Bid/Ask)
Cur1 deposit rates (in real value) for approximately NbDays (array Bid/Ask)
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FxDepToSwpP
Dep2BA
FxMode
Cur2 deposit rates (in real value) for approximately NbDays (array Bid/Ask)
In this case, FxMode should include the argument "RES:SWP12".
Arguments for
one currency
against USD
NbDays
Cur1Cur2
Spot12BA
Dep1BA
Dep2BA
FxMode
Number of days of Currency swap point period
Currency ISO code (example : "EUR") referred to as Currency
Currency spot rates (array Bid/Ask)
Currency deposit rates (in real value) for approximately NbDays (array Bid/Ask)
USD deposit rates (in real value) for approximately NbDays (array Bid/Ask)
In this case, FxMode should include the argument "RES:SWPCUR".
FxDepToSwpP
Purpose
Calculates the synthetic swap point from deposit using a period. If any of the two currencies is the
USD, an alternate set of arguments can be used to avoid the burden of determining which of Cur1 or
Cur2 stands for the USD. To distinguish from both cases, the expected result must be specified in
FxMode using the RES keyword.
Syntax
Arguments for
two non-USD
currencies
=FxDepToSwpP(CalcDate, Period, Cur1Cur2, Spot12BA, Dep1BA, Dep2BA, FxMode)
CalcDate
Period
Cur1Cur2
Spot12BA
Dep1BA
Dep2BA
FxMode
90
Period code (example : "1W")
Cur1 deposit rates (in real value) for the period (array Bid/Ask)
Cur2 deposit rates (in real value) for the period (array Bid/Ask)
329). In this case, FxMode should include the argument "RES:SWP12".
4 August 2003
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FxGenCalc
Arguments for
one currency
against USD
CalcDate
Period
Cur1Cur2
Spot12BA
Dep1BA
Dep2BA
FxMode
Period code (example: "1W")
Currency ISO code (example: "EUR") referred to as Currency
Currency deposit rates (in real value) for the period (array Bid/Ask)
USD deposit rates (in real value) for the period (array Bid/Ask)
329). In this case, FxMode should include the argument "RES:SWPCUR".
FxGenCalc
Purpose
Syntax
Arguments
Performs any kind of Forex or Money market calculation from an instrument code. The integration of
the FxGenCalc function within models can be made easier with the FxGenParse function.
=FxGenCalc(InstrumentCode, CurrencyList, CalcDate, Spot1BA, Spot2BA, Spot12BA,
Swp1Array, Swp2Array, Dep1Array, Dep2Array, DepUsdArray, FxMode)
InstrumentCode
CurrencyList
CalcDate
Spot1BA
Spot2BA
Spot12BA
Swp1Array
Swp2Array
Dep1Array
Dep2Array
DepUsdArray
FxMode
[email protected]
Instrument code corresponding to the calculation
List of the available currencies (string with the comma "," as separator)
Cur1 array of dates and swap points
Cur2 array of dates and swap points
Cur1 array of dates and deposit rates
Cur2 array of dates and deposit rates
USD array of dates and deposit rates
page 329)
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FxGenParse
FxGenParse
Purpose
Syntax
Arguments
Returns information concerning the calculation that corresponds to an instrument code. This
information can be used to select the proper arguments in the FxGenCalc function.
=FxGenParse(InstrumentCode, CurrencyList, FxMode)
InstrumentCode
CurrencyList
FxMode
Instrument code corresponding to the calculation
List of the available currencies (string with the comma "," as separator)
329)
FxSwpToDepD
Purpose
Calculates the synthetic deposit from swap point using a number of days. If either of the two
currencies is the USD, an alternate set of arguments can be used to avoid the burden of determining
which of Cur1 or Cur2 stands for the USD. To distinguish from both cases, the expected result must
be specified in FxMode using the RES keyword.
The deposit rate is by default returned in two cells. To get the rate in the Bid/Ask or Ask/Bid format,
this function can be combined with the AdFormat function.
Syntax
Arguments for
two non-USD
currencies
=FxSwpToDepD(NbDays, Cur1Cur2, Spot12BA, Dep1BA, Swp12BA, FxMode)
NbDays
Cur1Cur2
Spot12BA
DepBA
Swp12BA
FxMode
Cur1 or Cur2 deposit rates (in real value) for approximately NbDays (array Bid/Ask)
Cur1Cur2 swap points (array Bid/Ask)
In this case, FxMode should include the argument "RES:DEP1" if the deposit rate of Cur1 is
calculated from that of Cur2, or "RES:DEP2" if the deposit rate of Cur2 is calculated from that of
Cur1.
92
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FxSwpToDepP
Arguments for
one currency
against USD
NbDays
Cur1Cur2
Spot12BA
DepBA
Swp12BA
FxMode
Currency or USD deposit rates (in real value) for approx. NbDays (array Bid/Ask)
Currency swap points (array Bid/Ask)
In this case, FxMode should include the argument "RES:DEPCUR" if the deposit rate of Currency is
calculated from that of USD, or "RES:DEPUSD" if the deposit rate of USD is calculated from that of
Currency.
FxSwpToDepP
Purpose
Calculates the synthetic deposit from swap point using a period. If any of the two currencies is the
USD, an alternate set of arguments can be used to avoid the burden of determining which of Cur1 or
Cur2 stands for the USD. To distinguish from both cases, the expected result must be specified in
FxMode using the RES keyword.
The deposit rate is by default returned in two cells. To get the rate in the Bid/Ask or Ask/Bid format,
Syntax
Arguments for
two non-USD
currencies
=FxSwpToDepP(CalcDate, Period, Cur1Cur2, Spot12BA, DepBA, Swp12BA, FxMode)
CalcDate
Period
Cur1Cur2
Spot12BA
DepBA
Swp12BA
FxMode
Cross currency code (example : "EURGBP")
Cur1 or Cur2 deposit rates (in real value) for the period (array Bid/Ask)
page 329)
In this case, FxMode should include the argument "RES:DEP1" if the deposit rate of Cur1 is
calculated from that of Cur2, or "RES:DEP2" if the deposit rate of Cur2 is calculated from that of
Cur1.
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4 August 2003
93
FxSwpToOut
Arguments for
one currency
against USD
CalcDate
Period
Cur1Cur2
Spot12BA
DepBA
Swp12BA
FxMode
Currency or USD deposit rates (in real value) for the period (array
Bid/Ask)
Currency swap points (array Bid/Ask)
page 329)
In this case, FxMode should include the argument "RES:DEPCUR" if the deposit rate of Currency is
calculated from that of USD, or "RES:DEPUSD" if the deposit rate of USD is calculated from that of
Currency.
FxSwpToOut
Purpose
Calculates outright rates from swap points.
This function is likely to be used to display a forward quotation of a cross currency as both swap
points (argument of the function) and outrights (result of the fonction).
The outright rate is by default returned in two cells. To get the rate in the Bid/Ask or Ask/Bid format,
Syntax
Arguments
=FxSwpToOut(Cur1Cur2, Spot12BA, Swp12BA, FxMode)
Cur1Cur2
Spot12BA
Swp12BA
FxMode
page 329)
FxSwpToSwp
Purpose
94
Calculates the cross swap point from swap points assuming that the cross value date and the spot
dates are equal.
4 August 2003
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FxSwpToSwpD
Syntax
Arguments
=FxSwpToSwp(Cur1Cur2, Spot1BA, Spot2BA, Swp1BA, Swp2BA, FxMode)
Cur1Cur2
Spot1BA
Spot2BA
Swp1BA
Swp2BA
FxMode
Cur1 swap points (array Bid/Ask)
page 329)
FxSwpToSwpD
Purpose
Calculates the cross swap point from swap points, using either the numbers of days or an array of
Start Dates and End Dates, to correct the calculation when the cross value date is different from the
spot date.
Syntax
Arguments
=FxSwpToSwpD(NbDays12, NbDays1, NbDays2, Cur1Cur2, Spot1BA, Spot2BA, Swp1BA,
Swp2BA, FxMode)
NbDays12
NbDays1
NbDays2
Cur1Cur2
Spot1BA
[email protected]
Number of days of Cur1Cur2 swap point period or an array of Start
Dates and End Dates
Number of days of Cur1USD swap point period or an array of Start
Dates and End Dates
Number of days of Cur2USD swap point period or an array of Start
Dates and End Dates
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FxSwpToSwpP
Spot2BA
Swp1BA
Swp2BA
FxMode
page 329)
FxSwpToSwpP
Purpose
Calculates the cross swap point from swap points using a period to correct the calculation when the
cross value date is different from the spot dates.
Syntax
Arguments
=FxSwpToSwpP(CalcDate, Period, Cur1Cur2, Spot1BA, Spot2BA, Swp1BA, Swp2BA,
FxMode)
CalcDate
Period
Cur1Cur2
Spot1BA
Spot2BA
Swp1BA
Swp2BA
FxMode
96
page 329)
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PART VI:
REUTERS ADFIN
OPTIONS
Reuters Adfin Options
98
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C H A P T E R 11 O P T I O N S A N D W A R R A N TS F U N C T I O N S
Contents
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•
•
•
•
•
•
NormalC
NormalS
OpCalcDeriv
OpHistVol
OpImpliedVol
OpPremium
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Chapter 11 Options and Warrants Functions
NormalC
NormalC
Purpose
Syntax
Arguments
Calculates y=f(x) using a cumulative normal distribution.
=NormalC(Number)
Number
x value
NormalS
Purpose
Syntax
Arguments
Calculates y=f(x) using a normal distribution.
=NormalS(Number)
Number
x value
OpCalcDeriv
Purpose
Syntax
Arguments
Returns all derivatives (delta, gamma, rho, theta, and vega) of an option on a security (index, stock),
a future, a commodity, or a currency in an array.
=OpCalcDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Volatility,
RiskFreeRateArray, ReturnArray, OptionStructure, RateStructure, CalcStructure,
AdMode)
CalcDate
ExpiryDate
SpotPrice
StrikePrice
Volatility
RiskFreeRateArray
ReturnArray
100
Calculation date of the option
Expiry date of the option
Market or spot price of the underlying instrument
Strike price of the option
Constant yield or dividend array (Date, Dividend)
4 August 2003
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OpHistVol
OptionStructure
RateStructure
CalcStructureC
AdMode
Extended argument defining the option structure (see
“OptionStructure” on page 354)
Extended argument defining the interest rate model (see
“CalcStructure” on page 262)
page 237)
OpHistVol
Purpose
Calculates the historical volatility of an option on a security (index, stock), a future, a commodity, or a
currency, from a set of underlying prices.
To define the type of prices used (either close prices, or high and low prices), use the HVM keyword in
OpMode.
Syntax
Arguments
=OpHistVol(PriceArray, OpMode)
PriceArray
OpMode
One-dimensional array (for HVM:CLOSE) or 2-dimensional array (for
HVM:HL) containing the prices. The orientation of this array is specified
using the LAY keyword in OpMode.
Extended argument customizing the return value (see “OpMode” on
page 351)
OpImpliedVol
Purpose
Syntax
Argument
Calculates the implied volatility of an option on a security (index, stock), a future, a commodity, or a
currency, from the option premium.
=OpImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Premium,
RiskFreeRateArray, ReturnArray, OptionStructure, RateStructure, CalcStructure)
CalcDate
ExpiryDate
[email protected]
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101
OpPremium
SpotPrice
StrikePrice
Premium
RiskFreeRateArray
ReturnArray
OptionStructure
RateStructure
CalcStructure
Premium of the option
OpPremium
Purpose
Syntax
Arguments
Calculates the premium of an option on a security (index, stock), a future, a commodity, or a
currency.
=OpPremium(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Volatility,
RiskFreeRateArray, ReturnArray, OptionStructure, RateStructure,CalcStructure)
CalcDate
ExpiryDate
SpotPrice
StrikePrice
Volatility
RiskFreeRateArray
ReturnArray
OptionStructure
RateStructure
CalcStructure
102
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CHAPTER 12 BOND OPTIONS FUNCTIONS
Contents
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•
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•
Bond Options
AdBondOptionDeriv
AdBondOptionPremium
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Chapter 12 Bond Options Functions
Bond Options
Bond Options
The Bond Options functions include:
AdBondOptionDeriv
AdBondOptionPremium
AdBondOptionDeriv
Purpose
Syntax
Arguments
Returns an array of all the derivatives (delta, gamma, rho, theta, vega) of a bond option defined from
a bond structure.
=AdBondOptionDeriv(CalcDate, RateArray, BondMaturity, Coupon, ExpiryDate,
StrikePrice, BondStructure, OptionStructure, RateStructure, CalcStructure,
AdMode)
CalcDate
RateArray
BondMaturity
Coupon
ExpiryDate
StrikePrice
BondStructure
OptionStructure
RateStructure
CalcStructure
AdMode
104
Calculation date
Coupon
Strike of the option
Extended argument defining the bond structure (see
“BondFutStructure” on page 243)
page 237)
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AdBondOptionPremium
AdBondOptionPremium
Purpose
Syntax
Arguments
Calculates the premium of a bond option defined from a bond structure.
=AdBondOptionPremium(CalcDate, RateArray, BondMaturity, Coupon, ExpiryDate,
StrikePrice, BondStructure, OptionStructure, RateStructure, CalcStructure,
AdMode)
CalcDate
RateArray
BondMaturity
Coupon
ExpiryDate
StrikePrice
BondStructure
OptionStructure
RateStructure
CalcStructure
AdMode
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Calculation date
Coupon
Extended argument defining the bond structure (see
“BondFutStructure” on page 243)
page 237)
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AdBondOptionPremium
106
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C H A P T E R 1 3 V A N I L L A C A PS , F L O O R , A N D C O L L A R S
FUNCTIONS
Contents
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•
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•
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AdCapFloorCaplets
AdCapFloorDeriv
AdCapFloorImpliedVol
AdCapFloorPremium
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Chapter 13 Vanilla Caps, Floor, and Collars Functions
AdCapFloorCaplets
AdCapFloorCaplets
Purpose
Syntax
Arguments
Generates an array with the caplet or floorlet values of a Vanilla cap, floor, or collar.
=AdCapFloorCaplets(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, CapFloorStructure, RateStructure,
SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
CapFloorStructure
RateStructure
CalcStructure
AdMode
Settlement date
Start date of the cap, floor, or collar
Maturity date of the cap, floor, or collar
Exercise or strike price of the cap
Exercise or strike price of the floor
Rate of the cap, floor, or collar for the current calculation period
Extended argument defining the instrument (see “CapFloorStructure”
on page 264)
page 237)
AdCapFloorDeriv
Purpose
Syntax
Arguments
Generates an array with the derivatives of a Vanilla cap, floor, or collar.
=AdCapFloorDeriv(SettlementDate, RateArray, StartDate, Maturity, CapStrikePrice,
FloorStrikePrice, FirstRate, CapFloorStructure, RateStructure, CalcStructure,
AdMode)
SettlementDate
RateArray
108
Settlement date
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StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
CapFloorStructure
RateStructure
CalcStructure
AdMode
on page 264)
page 237)
Purpose
Syntax
Arguments
Calculates the implied volatility of a Vanilla cap, floor, or collar.
=AdCapFloorImpliedVol(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, Premium, CapFloorStructure,
RateStructure, CalcStructure)
SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
Premium
CapFloorStructure
RateStructure
[email protected]
Settlement date
Market or spot price of the cap, floor, or collar
on page 264)
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AdCapFloorPremium
CalcStructure
AdCapFloorPremium
Purpose
Synatax
Arguments
Calculates the premium of a Vanilla cap, floor, or collar.
=AdCapFloorPremium(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, CapFloorStructure, RateStructure,
SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
CapFloorStructure
RateStructure
CalcStructure
110
Settlement date
on page 264)
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C H A P T E R 1 4 B A R R I E R C A PS A N D F L O O R S F U N C T I O N S
Contents
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•
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AdBarrierCapFloorCaplets
AdBarrierCapFloorDeriv
AdBarrierCapFloorImpliedVol
AdBarrierCapFloorPremium
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Chapter 14 Barrier Caps and Floors Functions
Purpose
Syntax
Arguments
Generates an array with the caplet or floorlet premiums of a Barrier cap or floor.
=AdBarrierCapFloorCaplets(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, UpperBarrier, LowerBarrier,
UpperRebate, LowerRebate, CapFloorStructure, RateStructure, CalcStructure,
AdMode)
SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
UpperBarrier
LowerBarrier
UpperRebate
LowerRebate
CapFloorStructure
RateStructure
CalcStructure
AdMode
Settlement date
Start date of the Barrier cap or floor
Maturity date of the Barrier cap or floor
Exercise or strike price of the Barrier cap
Exercise or strike price of the Barrier floor
Rate of the Barrier cap or floor for the current calculation period
Upper barrier of the Barrier cap or floor
Lower barrier of the Barrier cap or floor
Upper rebate of the Barrier cap or floor
Lower rebate of the Barrier cap or floor
on page 264)
page 237)
AdBarrierCapFloorDeriv
Purpose
112
Generates an array with the derivatives of a Barrier cap or floor.
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Syntax
Arguments
=AdBarrierCapFloorDeriv(SettlementDate, RateArray, StartDate, Maturity,
UpperRebate, LowerRebate, CapFloorStructure, RateStructure, CalcStructure,
AdMode)
SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
UpperBarrier
LowerBarrier
UpperRebate
LowerRebate
CapFloorStructure
RateStructure
CalcStructure
AdMode
Settlement date
on page 264)
page 237)
Purpose
Syntax
Arguments
[email protected]
Calculates the implied volatility of a Barrier cap or floor.
=AdBarrierCapFloorImpliedVol(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, Premium, UpperBarrier, LowerBarrier,
UpperRebate, LowerRebate, CapFloorStructure, RateStructure, CalcStructure)
SettlementDate
Settlement date
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RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
Premium
UpperBarrier
LowerBarrier
UpperRebate
LowerRebate
CapFloorStructure
RateStructure
CalcStructure
Market or spot price of the Barrier cap or floor
on page 264)
Purpose
Syntax
Arguments
Calculates the premium of a Barrier cap or floor.
=AdBarrierCapFloorPremium(SettlementDate, RateArray, StartDate, Maturity,
UpperRebate, LowerRebate, CapFloorStructure, RateStructure, CalcStructure)
SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
UpperBarrier
114
Settlement date
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LowerBarrier
UpperRebate
LowerRebate
CapFloorStructure
RateStructure
CalcStructure
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on page 264)
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115
116
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C H A P T E R 1 5 D I G I TA L C A PS , F L O O R S , A N D C O L L A R S
FUNCTIONS
Contents
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AdDigitalCapFloorCaplets
AdDigitalCapFloorDeriv
AdDigitalCapFloorImpliedVol
AdDigitalCapFloorPremium
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Chapter 15 Digital Caps, Floors, and Collars Functions
Purpose
Syntax
Arguments
Generates an array with the caplet or floorlet premiums of a Digital cap, floor, or collar.
=AdDigitalCapFloorCaplets(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, CapFixedAmount, FloorFixedAmount,
CapFloorStructure, RateStructure, CalcStructure, AdMode)
SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
CapFixedAmount
FloorFixedAmount
CapFloorStructure
RateStructure
CalcStructure
AdMode
Settlement date
Start date of the Digital cap, floor, or collar
Maturity date of the Digital cap, floor, or collar
Exercise or strike price of the Digital cap
Exercise or strike price of the Digital floor
Rate of the Digital cap, floor, or collar for the current calculation period
Rebate array of the Digital cap
Rebate array of the Digital floor
on page 264)
page 237)
AdDigitalCapFloorDeriv
Purpose
Syntax
118
Generates an array with the derivatives of a digital cap, floor, or collar.
=AdDigitalCapFloorDeriv(SettlementDate, RateArray, StartDate, Maturity,
CapFloorStructure, RateStructure, CalcStructure, AdMode)
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Arguments
SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
CapFixedAmount
FloorFixedAmount
CapFloorStructure
RateStructure
CalcStructure
AdMode
Settlement date
on page 264)
page 237)
Purpose
Syntax
Arguments
Calculates the implied volatility of a Digital cap, floor, or collar.
=AdDigitalCapFloorImpliedVol(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, Premium, CapFixedAmount,
FloorFixedAmount, CapFloorStructure, RateStructure, CalcStructure)
SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
Premium
[email protected]
Settlement date
Market or spot price of the Digital cap, floor, or collar
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CapFixedAmount
FloorFixedAmount
CapFloorStructure
RateStructure
CalcStructure
on page 264)
Purpose
Syntax
Arguments
Calculates the premium of a Digital cap, floor, or collar.
=AdDigitalCapFloorPremium(SettlementDate, RateArray, StartDate, Maturity,
CapFloorStructure, RateStructure, CalcStructure)
SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
CapFixedAmount
FloorFixedAmount
CapFloorStructure
RateStructure
CalcStructure
120
Settlement date
on page 264)
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CHAPTER 16 SWAPTIONS FUNCTIONS
Contents
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AdSwaptionPremium
AdSwaptionDeriv
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Chapter 16 Swaptions Functions
AdSwaptionPremium
AdSwaptionPremium
Purpose
Syntax
Arguments
Calculates the premium of a swaption.
=AdSwaptionPremium(CalcDate, RateArray, SwapStartDate, SwapMaturity, ExpiryDate,
SpotPrice, StrikePrice, SwapStructure, OptionStructure, RateStructure,
CalcStructure)
CalcDate
RateArray
SwapStartDate
SwapMaturity
ExpiryDate
SpotPrice
StrikePrice
SwapStructure
OptionStructure
RateStructure
CalcStructure
Settlement date
Start date of the swap
Maturity date of the swap
Spot market rate of the swap
Exercise or strike rate of the swap
Extended argument defining the swap (see “SwapStructure” on page
380)
Extended argument defining the option (see “OptionStructure” on
page 354)
AdSwaptionDeriv
Purpose
Syntax
Arguments
122
Returns in an array all derivatives (delta, gamma, theta, vega) of an option on a swap.
=AdSwaptionDeriv(CalcDate, RateArray, SwapStartDate, SwapMaturity, ExpiryDate,
SpotPrice, StrikePrice, SwapStructure, OptionStructure, RateStructure,
CalcDate
RateArray
Settlement date
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AdSwaptionDeriv
SwapStartDate
SwapMaturity
ExpiryDate
SpotPrice
StrikePrice
SwapStructure
OptionStructure
RateStructure
CalcStructure
AdMode
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Start date of the swap
Maturity date of the swap
Spot market rate of the swap
Exercise or strike rate of the swap
Extended argument defining the swap (see “SwapStructure” on page
380)
Extended argument defining the option (see “OptionStructure” on
page 354)
page 237)
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AdSwaptionDeriv
124
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PART VII:
REUTERS ADFIN
EXOTIC OPTIONS
Reuters Adfin Exotic Options
126
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CHAPTER 17 ASIAN OPTIONS FUNCTIONS
Contents
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Adfin Exotics
OpAsianDeriv
OpAsianImpliedVol
OpAsianPremium
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Chapter 17 Asian Options Functions
Adfin Exotics
Adfin Exotics
The Exotics functions include:
Asian Options Functions
Barrier Options Functions
Basket Options Functions
Binary Options Functions
Chooser Options Functions
Cliquet Options Functions
Compound Options Functions
Double Barrier Options Functions
ExLookBack Options Functions
FxLinked Options Functions
Power Options Functions
Rainbow Options Functions
OpAsianDeriv
Purpose
Syntax
Arguments
Returns all derivatives (delta, gamma, rho, theta, and vega) of an Asian option in an array. At
maturity, this type of option pays either the difference between the average of the underlying prices
and the strike price, or the difference between the underlying price at maturity and the average of the
underlying prices.
=OpAsianDeriv(CalcDate, FirstFixingDate, ExpiryDate, SpotPrice, StrikePrice,
AveragePrice, NbFixing, Volatility, RiskFreeRateArray, ReturnArray,
ExoticStucture, RateStructure, CalcStructure, AdMode)
CalcDate
FirstFixingDate
ExpiryDate
SpotPrice
128
Calculation date
Date of the first fixing for the average calculation
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OpAsianImpliedVol
StrikePrice
AveragePrice
NbFixing
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode
Exercise or strike price of the option, ignored for average strike
options
Average of the underlying prices from the first fixing date to the
calculation date
Number of fixings used to calculate the average
Anticipated volatility of the underlying instrument
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
“ExoticStructure” on page 309)
page 237)
OpAsianImpliedVol
Purpose
Syntax
Arguments
Calculates the implied volatility of an Asian option. At maturity, this type of option pays either the
difference between the average of the underlying prices and the strike price, or the difference
between the underlying price at maturity and the average of the underlying prices.
=OpAsianImpliedVol(CalcDate, FirstFixingDate, ExpiryDate, SpotPrice, StrikePrice,
AveragePrice, NbFixing, Premium, RiskFreeRateArray, ReturnArray, ExoticStucture,
CalcDate
FirstFixingDate
ExpiryDate
SpotPrice
StrikePrice
AveragePrice
NbFixing
[email protected]
Calculation date
Exercise or strike price of the option, ignored for average strike options
calculation date
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OpAsianPremium
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
on page 262)
OpAsianPremium
Purpose
Syntax
Arguments
Calculates the premium of an Asian option. At maturity, this type of option pays either the difference
between the average of the underlying prices and the strike price, or the difference between the
underlying price at maturity and the average of the underlying prices.
=OpAsianPremium(CalcDate, FirstFixingDate, ExpiryDate, SpotPrice, StrikePrice,
AveragePrice, NbFixing, Volatility, RiskFreeRateArray, ReturnArray,
ExoticStructure, RateStructure, CalcStructure)
CalcDate
FirstFixingDate
ExpiryDate
SpotPrice
StrikePrice
AveragePrice
NbFixing
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
130
Calculation date
Exercise or strike price of the option, ignored for average strike
options
calculation date
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OpAsianPremium
RateStructure
CalcStructure
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OpAsianPremium
132
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CHAPTER 18 BARRIER OPTIONS FUNCTIONS
Contents
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OpBarrierDeriv
OpBarrierImpliedVol
OpBarrierPremium
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Chapter 18 Barrier Options Functions
OpBarrierDeriv
OpBarrierDeriv
Purpose
Syntax
Arguments
Returns all derivatives (delta, gamma, rho, theta, and vega) of a Barrier option in an array. At
maturity, this type of option pays either the difference between the strike price and the underlying
price if activated, or an agreed rebate if the option is knocked out or if it fails to knock-in.
=OpBarrierDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePrice, BarrierPrice,
Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcDate
ExpiryDate
SpotPrice
StrikePrice
BarrierPrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode
Calculation date
Exercise or strike price of the option
Price of the barrier of the option
page 237)
OpBarrierImpliedVol
Purpose
134
Calculates the implied volatility of a Barrier option. At maturity, this option pays either the difference
between the strike price and the underlying price if activated, or an agreed rebate if the option is
knocked out or if it fails to knock-in.
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OpBarrierPremium
Syntax
Arguments
=OpBarrierImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice, BarrierPrice,
Premium, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcStructure)
CalcDate
ExpiryDate
SpotPrice
StrikePrice
BarrierPrice
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
Calculation date
OpBarrierPremium
Purpose
Syntax
Arguments
Calculates the premium of a Barrier option. At maturity, this type of option pays either the difference
between the strike price and the underlying price if activated, or an agreed rebate if the option is
knocked out or if it fails to knock-in.
=OpBarrierPremium(CalcDate, ExpiryDate, SpotPrice, StrikePrice, BarrierPrice,
CalcStructure)
CalcDate
ExpiryDate
SpotPrice
StrikePrice
BarrierPrice
[email protected]
Calculation date
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135
OpBarrierPremium
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
136
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CHAPTER 19 BASKET OPTIONS FUNCTIONS
Contents
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OpBasketDeriv
OpBasketPremium
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Chapter 19 Basket Options Functions
OpBasketDeriv
OpBasketDeriv
Purpose
Syntax
Arguments
Returns all derivatives (delta, gamma, rho, theta, and vega) of a Basket option in an array. Basket
options, also called portfolio options, are a variation of Rainbow options. Their payoff is the weighted
average of the prices within the basket of underlying assets.
=OpBasketDeriv(CalcDate, ExpiryDate, SpotPriceArray, StrikePrice,
CorrelationArray, RiskFreeRateArray, ReturnArray, NbSharesArray, ExoticStucture,
CalcDate
ExpiryDate
SpotPriceArray
StrikePrice
CorrelationArray
RiskFreeRateArray
ReturnArray
NbSharesArray
ExoticStructure
RateStructure
CalcStructure
AdMode
138
Calculation date
Array containing the spot prices of the underlying instruments
Array containing the volatilities of the assets on the diagonal and the
correlation coefficients
Array of data depending on the rate model chosen:
• constant risk free rate
• zero-coupon curve
Array containing the annualized dividend rates of the underlying
instruments
Specifies the number of shares for each asset
page 237)
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OpBasketPremium
OpBasketPremium
Purpose
Syntax
Arguments
Calculates the premium of a Basket option. Basket options, also called portfolio options, are a
variation of Rainbow options. Their payoff is the weighted average of the prices within the basket of
underlying assets.
=OpBasketPremium(CalcDate, ExpiryDate, SpotPriceArray, StrikePrice,
CorrelationArray, RiskFreeRateArray, ReturnArray, NbSharesArray, ExoticStucture,
CalcDate
ExpiryDate
SpotPriceArray
StrikePrice
CorrelationArray
RiskFreeRateArray
ReturnArray
NbSharesArray
ExoticStructure
RateStructure
CalcStructure
[email protected]
Calculation date
Array containing the spot prices of the underlying instruments
correlation coefficients
instruments
Specifies the number of shares for each asset
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OpBasketPremium
140
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CHAPTER 20 BINARY OPTIONS FUNCTIONS
Contents
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OpBinaryDeriv
OpBinaryImpliedVol
OpBinaryPremium
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Chapter 20 Binary Options Functions
OpBinaryDeriv
OpBinaryDeriv
Purpose
Syntax
Arguments
Returns all derivatives (delta, gamma, rho, theta, and vega) of an All-or-Nothing Binary option or
One -Touch/No-Touch Binary option in an array. At maturity or when the barrier is reached, this type
of option pays a fixed amount of cash or the asset.
=OpBinaryDeriv(CalcDate, ExpiryDate, SpotPrice, BarrierPrice, StrikePrice,
CashAmount, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture,
CalcDate
ExpiryDate
SpotPrice
BarrierPrice
StrikePrice
CashAmount
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode
Calculation date
Fixed amount of cash paid if applicable
page 237)
OpBinaryImpliedVol
Purpose
142
Calculates the implied volatility of an All-or-Nothing Binary option or One-Touch/No-Touch Binary
option. At maturity or when the barrier is reached, this type of option pays a fixed amount of cash or
the asset.
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OpBinaryPremium
Syntax
Arguments
=OpBinaryImpliedVol(CalcDate, ExpiryDate, SpotPrice, BarrierPrice, StrikePrice,
CashAmount, Premium, RiskFreeRateArray, ReturnArray, ExoticStucture,
CalcDate
ExpiryDate
SpotPrice
BarrierPrice
StrikePrice
CashAmount
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
Calculation date
OpBinaryPremium
Purpose
Syntax
Arguments
Calculates the premium of an All-or-Nothing Binary option or One-Touch/No-Touch Binary option. At
maturity or when the barrier is reached, this type of option pays a fixed amount of cash or the asset.
=OpBinaryPremium(CalcDate, ExpiryDate, SpotPrice, BarrierPrice, StrikePrice,
CashAmount, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture,
CalcDate
ExpiryDate
SpotPrice
BarrierPrice
StrikePrice
[email protected]
Calculation date
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143
OpBinaryPremium
CashAmount
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
144
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CHAPTER 21 CHOOSER OPTIONS FUNCTIONS
Contents
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OpChooserDeriv
OpChooserImpliedVol
OpChooserPremium
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Chapter 21 Chooser Options Functions
OpChooserDeriv
OpChooserDeriv
Purpose
Syntax
Arguments
Returns all derivatives (delta, gamma, rho, theta, vega) of a Chooser option in an array. Chooser
options allow the holder to choose at some pre-determined future date whether the option is a call or
a put, with the same predefined strike price and expiry date.
=OpChooserDeriv(CalcDate, ExpiryDate, PutExpiryDate, CallExpiryDate, SpotPrice,
PutStrikePrice, CallStrikePrice, Volatility, RiskFreeRateArray, ReturnArray,
CalcDate
ExpiryDate
PutExpiryDate
CallExpiryDate
SpotPrice
PutStrikePrice
CallStrikePrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode
Calculation date
Maturity date of the option
Expiry date of the underlying put option
Expiry date of the underlying call option
Market or spot price of the underlying stock
Exercise or strike price of the underlying put option
Exercise or strike price of the underlying call option
page 237)
OpChooserImpliedVol
Purpose
146
Calculates the implied volatility of a Chooser option. Chooser options allow the holder to choose at
some pre-determined future date whether the option is a call or a put, with the same predefined
strike price and expiry date.
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OpChooserPremium
Syntax
Arguments
=OpChooserImpliedVol(CalcDate, ExpiryDate, PutExpiryDate, CallExpiryDate,
SpotPrice, PutStrikePrice, CallStrikePrice, Premium, RiskFreeRateArray,
ReturnArray, ExoticStucture, RateStructure, CalcStructure)
CalcDate
ExpiryDate
PutExpiryDate
CallExpiryDate
SpotPrice
PutStrikePrice
CallStrikePrice
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
Calculation date
Maturity date of the option
Market or spot price of the underlying stock
OpChooserPremium
Purpose
Syntax
Arguments
Calculates the premium of a Chooser option. Chooser options allow the holder to choose at some
pre-determined future date whether the option is a call or a put, with the same predefined strike price
and expiry date.
=OpChooserPremium(CalcDate, ExpiryDate, PutExpiryDate, CallExpiryDate, SpotPrice,
PutStrikePrice, CallStrikePrice, Volatility, RiskFreeRateArray, ReturnArray,
ExoticStucture, RateStructure, CalcStructure)
CalcDate
ExpiryDate
PutExpiryDate
[email protected]
Calculation date
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147
OpChooserPremium
CallExpiryDate
SpotPrice
PutStrikePrice
CallStrikePrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
148
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CHAPTER 22 CLIQUET OPTIONS FUNCTIONS
Contents
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•
•
•
OpCliquetDeriv
OpCliquetImpliedVol
OpCliquetPremium
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Chapter 22 Cliquet Options Functions
OpCliquetDeriv
OpCliquetDeriv
Purpose
Syntax
Arguments
Returns in an array all derivatives (delta, gamma, rho, theta, vega) of a Cliquet option or a
Forward-Start option. A Cliquet or Ratchet option is essentially a series of Forward-Start options with
increasing maturities and strike prices set at the maturity date of the previous option.
=OpCliquetDeriv(CalcDate, StartDateArray, ExpiryDateArray, SpotPrice,
StrikePrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture,
CalcDate
StartDateArray
ExpiryDateArray
SpotPrice
StrikePrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode
Calculation date
Array of start dates of each Forward-Start option
Array of expiry dates of each Forward-Start option
page 237)
OpCliquetImpliedVol
Purpose
150
Calculates the implied volatility of a Cliquet option or a Forward-Start option. A Cliquet or Ratchet
option is essentially a series of Forward-Start options with increasing maturities and strike prices set
at the maturity date of the previous option.
4 August 2003
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OpCliquetPremium
Syntax
Arguments
=OpCliquetImpliedVol(CalcDate, StartDateArray, ExpiryDateArray, SpotPrice,
StrikePrice, Premium, RiskFreeRateArray, ReturnArray, ExoticStucture,
CalcDate
StartDateArray
ExpiryDateArray
SpotPrice
StrikePrice
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
Calculation date
OpCliquetPremium
Purpose
Syntax
Arguments
Calculates the premium of a Cliquet option or a Forward-Start option. A Cliquet or Ratchet option is
essentially a series of Forward-Start options with increasing maturities and strike prices set at the
maturity date of the previous option.
=OpCliquetPremium(CalcDate, StartDateArray, ExpiryDateArray, SpotPrice,
StrikePrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture,
CalcDate
StartDateArray
ExpiryDateArray
SpotPrice
StrikePrice
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Calculation date
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151
OpCliquetPremium
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
152
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CHAPTER 23 COMPOUND OPTIONS FUNCTIONS
Contents
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•
•
•
OpCompoundDeriv
OpCompoundImpliedVol
OpCompoundPremium
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Chapter 23 Compound Options Functions
OpCompoundDeriv
OpCompoundDeriv
Purpose
Syntax
Arguments
Returns all derivatives (delta, gamma, rho, theta, and vega) of a Compound option in an array. This
function calculates the derivatives of European Compound options also known as options on
options. An option on option gives the option holder the right to sell or buy an option.
=OpCompoundDeriv(CalcDate, ExpiryDate, CmpExpiryDate, SpotPrice, StrikePrice,
CmpStrikePrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStructure,
CalcDate
ExpiryDate
CmpExpiryDate
SpotPrice
StrikePrice
CmpStrikePrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode
Calculation date
Expiry date of the Compound option
Strike price of the Compound option
page 237)
OpCompoundImpliedVol
Purpose
154
Calculates the implied volatility of a Compound option. This function calculates the implied volatility
of European Compound options also known as options on options. An option on option gives the
option holder the right to sell or buy an option.
4 August 2003
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OpCompoundPremium
Syntax
Arguments
=OpCompoundImpliedVol(CalcDate, ExpiryDate, CompoundExpiryDate, SpotPrice,
StrikePrice, CompoundStrikePrice, Premium, RiskFreeRateArray, ReturnArray,
CalcDate
ExpiryDate
CmpExpiryDate
SpotPrice
StrikePrice
CmpStrikePrice
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
Calculation date
OpCompoundPremium
Purpose
Syntax
Arguments
Calculates the premium of a Compound option. This function calculates the premium of European
Compound options also known as options on options. An option on option gives the option holder
the right to sell or buy an option.
=OpCompoundPremium(CalcDate, ExpiryDate, CmpExpiryDate, SpotPrice, StrikePrice,
CmpStrikePrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture,
CalcDate
ExpiryDate
CmpExpiryDate
SpotPrice
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Calculation date
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155
OpCompoundPremium
StrikePrice
CmpdStrikePrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
156
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CHAPTER 24 DOUBLE BARRIER OPTIONS FUNCTIONS
Contents
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•
•
•
OpDoubleBarrierDeriv
OpDoubleBarrierImpliedVol
OpDoubleBarrierPremium
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Chapter 24 Double Barrier Options Functions
Purpose
Syntax
Arguments
Returns in an array all derivatives (delta, gamma, rho, theta, vega) of a Double Barrier option.
Barrier options are options where the right to exercise depends on whether the underlying asset
price reaches a predefined barrier level during the lifetime of the option. Double Barrier options have
two barrier levels, one above and one below the current price of the underlying asset.
=OpDoubleBarrierDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePrice,
LowerBarrierPrice, UpperBarrierPrice, Volatility, RiskFreeRateArray, ReturnArray,
CalcDate
ExpiryDate
SpotPrice
StrikePrice
LowerBarrierPrice
UpperBarrierPrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode
Calculation date
Expiry date of the option (also date of the last fixing)
Price of the lower barrier of the option
Price of the upper barrier of the option
Anticipated volatility of the underlying
page 237)
OpDoubleBarrierImpliedVol
Purpose
158
Calculates the implied volatility of a Double Barrier option. Barrier options are options where the right
to exercise depends on whether the underlying asset price reaches a predefined barrier level during
the lifetime of the option. Double Barrier options have two barrier levels, one above and one below
the current price of the underlying asset.
4 August 2003
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Syntax
Arguments
=OpDoubleBarrierImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice,
LowerBarrierPrice, UpperBarrierPrice, Premium, RiskFreeRateArray, ReturnArray,
CalcDate
ExpiryDate
SpotPrice
StrikePrice
LowerBarrierPrice
UpperBarrierPrice
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
Calculation date
Purpose
Syntax
Arguments
Calculates the premium of a Double Barrier option. Barrier options are options where the right to
exercise depends on whether the underlying asset price reaches a predefined barrier level during
the lifetime of the option. Double Barrier options have two barrier levels, one above and one below
the current price of the underlying asset.
=OpDoubleBarrierPremium(CalcDate, ExpiryDate, SpotPrice, StrikePrice,
LowerBarrierPrice, UpperBarrierPrice, Volatility, RiskFreeRateArray, ReturnArray,
CalcDate
ExpiryDate
SpotPrice
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Calculation date
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159
StrikePrice
LowerBarrierPrice
UpperBarrierPrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
160
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CHAPTER 25 EXLOOKBACK OPTIONS FUNCTIONS
Contents
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•
•
•
OpExLookbackDeriv
OpExLookbackImpliedVol
OpExLookbackPremium
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Chapter 25 ExLookBack Options Functions
OpExLookbackDeriv
OpExLookbackDeriv
Purpose
Syntax
Arguments
Returns all derivatives (delta, gamma, rho, theta, and vega) of a Lookback Strike option or Lookback
Spot option in an array. At maturity, this type of option pays either the difference between the
underlying spot price and the lowest (highest) price achieved during the life of the call (put), or the
difference between the highest (lowest) price achieved during the life of the call (put) and the strike
price.
=OpExLookbackDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Min/Max,
VolatilityArray, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
StrikePrice
Calculation date
Exercise or spot price of the underlying instrument
Strike price of the option, ignored for Lookback Strike options
Min/Max
•
CalcDate
ExpiryDate
SpotPrice
•
VolatilityArray
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode
162
Lowest price for a call or highest price for a put achieved so far for
Lookback Strike options
Highest price for a call or lowest price for a put achieved so far for
Lookback Spot options
Array of anticipated volatilities of the underlying instrument
page 237)
4 August 2003
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Purpose
Syntax
Arguments
Calculates the implied volatility of a Lookback Strike option or Lookback Spot option. At maturity, this
type of option pays either the difference between the underlying spot price and the lowest (highest)
price achieved during the life of the call (put), or the difference between the highest (lowest) price
achieved during the life of the call (put) and the strike price.
=OpExLookbackImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Min/Max,
CalcStructure)
StrikePrice
Calculation date
Exercise or strike of the option, ignored for Lookback Strike options
Min/Max
•
CalcDate
ExpiryDate
SpotPrice
•
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
Market or spot price of the option
OpExLookbackPremium
Purpose
[email protected]
Calculates the premium of a Lookback Strike option or Lookback Spot option. At maturity, this type of
option pays either the difference between the underlying spot price and the lowest (highest) price
achieved during the life of the call (put), or the difference between the highest (lowest) price
achieved during the life of the call (put) and the strike price.
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OpExLookbackPremium
Syntax
Arguments
=OpExLookbackPremium(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Min/Max,
VolatilityArray, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcStructure)
StrikePrice
Calculation date
Exercise or strike of the option, ignored for Lookback Strike options
Min/Max
•
CalcDate
ExpiryDate
SpotPrice
•
VolatilityArray
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
164
Array of anticipated volatilities of the underlying instrument
4 August 2003
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CHAPTER 26 FXLINKED OPTIONS FUNCTIONS
Contents
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•
•
•
OpFxLinkedDeriv
OpFxLinkedImpliedVol
OpFxLinkedPremium
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Chapter 26 FxLinked Options Functions
OpFxLinkedDeriv
OpFxLinkedDeriv
Purpose
Syntax
Arguments
Returns all derivatives (delta, gamma, rho, theta, and vega) of a Quanto, Composite, or Equity
Linked Foreign Exchange option in an array. Quanto (quantity-adjusting) options are mainly used to
eliminate the foreign exchange risk when the underlying asset is denominated in a currency other
than the currency of the option, exchange rate being fixed to the calculation date. A Composite
option is an option on a foreign equity where the strike is denominated in domestic currency. A
Composite option has an exposure on the exchange risk. In an Equity Linked Foreign Exchange
option, the face value is linked to the forward price of a stock or equity index. This is an ideal option
for an investor who wants to speculate directly in a foreign equity market but wishes to place a floor
on the currency exposure.
=OpFxLinkedDeriv(CalcDate, ExpiryDate, ExchangeRate, SpotPrice, StrikePrice,
ERVolatility, Volatility, Correlation, RiskFreeRateArray, ForeignRateArray,
ReturnArray, ExoticStucture, RateStructure, CalcStructure, AdMode)
CalcDate
ExpiryDate
ExchangeRate
SpotPrice
StrikePrice
ERVolatility
Volatility
Correlation
RiskFreeRateArray
ForeignRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode
166
Calculation date
Spot exchange rate specified in units of the domestic currency per unit
of the foreign currency
Anticipated volatility of the exchange rate
Correlation between asset and domestic exchange rate
Yearly rate of the foreign market for an equivalent risk-free investment
page 237)
4 August 2003
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Purpose
Returns:
•
•
the relative implied volatility of a Composite option
the underlying volatility of a Quanto or Equity Linked Foreign Exchange option in an array
Quanto (quantity-adjusting) options are mainly used to eliminate the foreign exchange risk when the
underlying asset is denominated in a currency other than the currency of the option, exchange rate
being fixed to the calculation date. A Composite option is an option on a foreign equity where the
strike is denominated in domestic currency. A Composite option has an exposure on the exchange
risk. In an Equity Linked Foreign Exchange option, the face value is linked to the forward price of a
stock or equity index. This is an ideal option for an investor who wants to speculate directly in a
foreign equity market but wishes to place a floor on the currency exposure.
Syntax
Arguments
=OpFxLinkedImpliedVol(CalcDate, ExpiryDate, ExchangeRate, SpotPrice, StrikePrice,
Premium, ERVolatility, Correlation, RiskFreeRateArray, ForeignRateArray,
StrikePrice
Calculation date
Premium
ERVolatility
Anticipated volatility of the exchange rate if applicable
Correlation between asset and domestic exchange rate if applicable
CalcDate
ExpiryDate
ExchangeRate
SpotPrice
Correlation
RiskFreeRateArray
ForeignRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
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OpFxLinkedPremium
OpFxLinkedPremium
Purpose
Syntax
Arguments
Calculates the premium of a Quanto, Composite, or Equity Linked Foreign Exchange option. Quanto
(quantity-adjusting) options are mainly used to eliminate the foreign exchange risk when the
underlying asset is denominated in a currency other than the currency of the option, exchange rate
being fixed to the calculation date. A Composite option is an option on a foreign equity where the
strike is denominated in domestic currency. A Composite option has an exposure on the exchange
risk. In an Equity Linked Foreign Exchange option, the face value is linked to the forward price of a
stock or equity index. This is an ideal option for an investor who wants to speculate directly in a
foreign equity market but wishes to place a floor on the currency exposure.
=OpFxLinkedPremium(CalcDate, ExpiryDate, ExchangeRate, SpotPrice, StrikePrice,
ERVolatility, Volatility, Correlation, RiskFreeRateArray, ForeignRateArray,
CalcDate
ExpiryDate
ExchangeRate
SpotPrice
StrikePrice
ERVolatility
Volatility
Correlation
RiskFreeRateArray
ForeignRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
168
Calculation date
Anticipated volatility of the exchange rate
Correlation between asset and domestic exchange rate
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CHAPTER 27 POWER OPTIONS FUNCTIONS
Contents
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•
•
•
OpPowerDeriv
OpPowerImpliedVol
OpPowerPremium
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Chapter 27 Power Options Functions
OpPowerDeriv
OpPowerDeriv
Purpose
Syntax
Arguments
Returns in an array all derivatives (delta, gamma, rho, theta, and vega) of an asymmetric Power
option where the payoff is expressed as:
=OpPowerDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Alpha, Power,
CalcDate
ExpiryDate
SpotPrice
StrikePrice
Alpha
Power
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode
Calculation date
Spot price of the underlying stock (S)
Strike price of the option (X)
Polynomial coefficient (α)
Power coefficient (v)
page 237)
OpPowerImpliedVol
Purpose
Calculates the implied volatility of an asymmetric Power option where the payoff is expressed as:
υ
max ( αS – X, 0 )
170
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OpPowerPremium
Syntax
Arguments
=OpPowerImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Alpha, Power,
CalcStructure)
CalcDate
ExpiryDate
SpotPrice
StrikePrice
Alpha
Power
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
Calculation date
Market or spot price of the underlying instrument (S)
Strike price of the option (X)
Market or spot price of the option
OpPowerPremium
Purpose
Calculates the premium of an asymmetric Power option where the payoff is expressed as:
υ
max ( αS – X, 0 )
Syntax
Arguments
=OpPowerPremium(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Alpha, Power,
CalcStructure)
CalcDate
ExpiryDate
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Calculation date
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171
OpPowerPremium
SpotPrice
StrikePrice
Alpha
Power
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
172
Market or spot price of the underlying stock (S)
Exercise or strike price of the option (X)
Anticipated volatility of the underlying
on page 365)
on page 262)
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CHAPTER 28 RAINBOW OPTIONS FUNCTIONS
Contents
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•
•
OpRainbowDeriv
OpRainbowPremium
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Chapter 28 Rainbow Options Functions
OpRainbowDeriv
OpRainbowDeriv
Purpose
Syntax
Arguments
Returns all derivatives (delta, gamma, rho, theta, and vega) of a Spread or a Two-Color Rainbow
option in an array. Rainbow options are options for which final payoff is determined by the highest
performance achieved at the expiration date by two or more underlying assets. Rainbow options can
be either American or European options.
=OpRainbowDeriv(CalcDate, ExpiryDate, SpotPriceArray, StrikePriceArray,
CorrelationArray, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcDate
ExpiryDate
SpotPriceArray
StrikePriceArray
CorrelationArray
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode
174
Calculation date
Spot prices of the underlying instruments
Strike price, and second strike price of a Dual-Strike option
correlation coefficient
instruments
on page 365)
on page 262)
page 237)
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OpRainbowPremium
OpRainbowPremium
Purpose
Syntax
Arguments
Calculates the premium of a Spread or a Two-Color Rainbow option. Rainbow options are options
for which final payoff is determined by the highest performance achieved at the expiration date by
two or more underlying assets. Rainbow options can be either American or European options.
=OpRainbowPremium(CalcDate, ExpiryDate, SpotPriceArray, StrikePriceArray,
CorrelationArray, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcStructure)
CalcDate
ExpiryDate
SpotPriceArray
StrikePriceArray
CorrelationArray
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
[email protected]
Calculation date
Spot prices of the underlying instruments
Strike of the option. Can be a table in the case of a Dual-Strike option
correlation coefficient
instruments
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OpRainbowPremium
176
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PART VIII:
REUTERS ADFIN
SWAPS
Reuters Adfin Swaps
178
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C H A P T E R 2 9 I N T E R E S T R A T E S W A PS F U N C T I O N S
Contents
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•
•
•
•
•
•
SwIrsCashFlows
SwIrsCpnDates
SwIrsPvbpCrv
SwIrsPx
SwIrsSolve
SwZcToIrs
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Chapter 29 Interest Rate Swaps Functions
SwIrsCashFlows
SwIrsCashFlows
Purpose
Generates an array with the remaining cash flows of the interest rate swap.
Syntax
Arguments
=SwIrsCashFlows(CalcDate, ZcDates, ZcRates, StartDate, Maturity, FixedRate,
CurFloatingRate, IrsStructure, SwMode)
CalcDate
ZcDates
ZcRates
StartDate
Maturity
FixedRate
CurFloatingRate
IrsStructure
SwMode
Calculation date
Start date of the interest rate swap (effective date)
Maturity date of the interest rate swap (expressed as a date or a code
such as "1Y")
Rate of the swap fixed leg
Rate of the swap floating leg for the current calculation period
Extended argument defining the interest rate swap (see “IrsStructure”
on page 346)
Extended argument customizing the return value (see “SwMode” on
page 386)
SwIrsCpnDates
Purpose
Generates an array with the coupon dates of one swap leg.
The leg type must be specified in SwMode using the RES keyword ("RES:FIXED" or "RES:FLOAT").
Syntax
Arguments
=SwIrsCpnDates (CalcDate, StartDate, Maturity, IrsStructure, SwMode)
CalcDate
StartDate
Maturity
IrsStructure
180
Calculation date
such as "1Y")
on page 346)
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SwIrsPvbpCrv
SwMode
page 386)
SwIrsPvbpCrv
Purpose
Syntax
Arguments
Calculates the price variation per basis point of a swap or one of its legs for each point of a
zero-coupon yield curve.
=SwIrsPvbpCrv(CalcDate, ZcDates, ZcRates, StartDate, Maturity, FixedRate,
CalcDate
ZcDates
ZcRates
StartDate
Maturity
FixedRate
CurFloatingRate
IrsStructure
SwMode
Calculation date
such as "1Y")
Extended argument defining the interest rate Swap (see “IrsStructure”
on page 346)
page 386)
SwIrsPx
Purpose
Syntax
Arguments
Calculates the net present value of an interest rate swap or one of its legs.
=SwIrsPx(CalcDate, ZcDates, ZcRates, StartDate, Maturity, FixedRate,
CalcDate
ZcDates
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Calculation date
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181
SwIrsSolve
ZcRates
StartDate
Maturity
FixedRate
CurFloatingRate
IrsStructure
SwMode
such as "1Y")
on page 346)
page 386)
SwIrsSolve
Purpose
Calculates the fixed rate or the floating rate spread equivalent to a predefined net present value.
To distinguish between both cases, the expected result must be specified in SwMode using the RES
keyword ("RES:FIXED" or "RES:FLOAT").
Syntax
Arguments
=SwIrsSolve(CalcDate, ZcDates, ZcRates, StartDate, Maturity, FixedRate,
CurFloatingRate, NetPresentValue, IrsStructure, SwMode)
CalcDate
ZcDates
ZcRates
StartDate
Maturity
FixedRate
CurFloatingRate
NetPresentValue
IrsStructure
SwMode
182
Calculation date
Maturity date of the interest rate swap (expressed as a date or a code such
as "1Y")
Present value of the swap or one of its legs
Extended argument defining the interest rate swap (see “IrsStructure” on
page 346)
Extended argument customizing the return value (see “SwMode” on page
386)
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SwZcToIrs
SwZcToIrs
Purpose
Calculates the standard swap rates implied by the zero-coupon yield curve.
The maturities included in the array returned by the function can be defined using the MATRANGE
keyword in SwMode.
Note
Syntax
Arguments
Previous versions of Adfin Swaps include the SwZcToIrs function.
=SwZcToIrs(CalcDate, ZcDates, ZcRates, IrsStructure, SwMode)
CalcDate
ZcDates
ZcRates
IrsStructure
SwMode
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Calculation date
on page 346)
page 386)
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SwZcToIrs
184
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C H A P T E R 3 0 C U R R E N C Y S W A PS F U N C T I O N S
Contents
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•
•
•
•
SwCsCashFlows
SwCsPx
SwCsSolve
SwSwpExtend
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Chapter 30 Currency Swaps Functions
SwCsCashFlows
SwCsCashFlows
Purpose
Syntax
Arguments
Generates an array with the remaining cash flows of the currency swap.
=SwCsCashFlows(CalcDate, StartDate, Maturity, PaidRate, CurPaidRate,
ReceivedRate, CurReceivedRate, ZcPaidArray, ZcReceivedArray, FxArray,
CsStructure, SwMode)
CalcDate
StartDate
Maturity
PaidRate
CurPaidRate
ReceivedRate
CurReceivedRate
ZcPaidArray
ZcReceivedArray
FxArray
CsStructure
SwMode
Calculation date
Start date of the currency swap (effective date)
Maturity date of the currency swap (expressed as a date or a code such as
"1Y")
Fixed rate if the paid leg is fixed, floating rate spread as a percentage if the
paid leg is floating
Floating rate of the paid leg for the current calculation period if applicable
Fixed rate if the received leg is fixed, floating rate spread as a percentage if
the received leg is floating
Floating rate of the received leg for the current calculation period if applicable
Array of zero-coupon dates and rates or discount factors for the paid leg
Array of zero-coupon dates and rates or discount factors for the received leg
Array of (N+1) cells x 2 cells (dates, rates) where N is the number of swap
point periods
• The first line (row or column depending on the array orientation specified
with the LAY keyword) contains the spot date and the spot rate for the
cross-currency.
• The other lines contain swap point period end dates and corresponding
swap point values for the cross-currency.
Extended argument defining the currency swap structure (see “CsStructure”
on page 280)
386)
SwCsPx
Purpose
186
Calculates the net present value of a currency swap or one of its legs.
4 August 2003
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SwCsSolve
Syntax
Arguments
=SwCsPx(CalcDate, StartDate, Maturity, PaidRate, CurPaidRate, ReceivedRate,
CurReceivedRate, ZcPaidArray, ZcReceivedArray, FxArray, CsStructure, SwMode)
CalcDate
StartDate
Maturity
PaidRate
CurPaidRate
ReceivedRate
CurReceivedRate
ZcPaidArray
ZcReceivedArray
FxArray
CsStructure
SwMode
Calculation date
Maturity date of the currency swap (expressed as a date or a code such as
"1Y")
Fixed rate if the paid leg is fixed, floating rate spread as a percentage if the
paid leg is floating
Floating rate of the paid leg for the current calculation period if applicable
Fixed rate if the received leg is fixed, floating rate spread as a percentage if
the received leg is floating
Floating rate of the received leg for the current calculation period if
applicable
Array of zero-coupon dates and rates or discount factors for the paid leg
Array of zero-coupon dates and rates or discount factors for the received leg
Array of (N+1) cells x 2 cells (dates, rates) where N is the number of swap
point periods
• The first line (row or column depending on the array orientation specified
with the LAY keyword) contains the spot date and the spot rate for the
cross-currency.
• The other lines contain swap point period end dates and corresponding
swap point values for the cross-currency.
Extended argument defining the currency swap structure (see “CsStructure”
on page 280)
386)
SwCsSolve
Purpose
Calculates the paid rate or the received rate spread for any leg equivalent to a predefined net
present value.
To specify for which leg the fixed rate or the floating rate spread is calculated, use the RES keyword
in SwMode ("RES:PAID" or "RES:RECEIVED").
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4 August 2003
187
SwCsSolve
Syntax
Arguments
=SwCsSolve(CalcDate, StartDate, Maturity, PaidRate, CurPaidRate, ReceivedRate,
CurReceivedRate, ZcPaidArray, ZcReceivedArray, FxArray, NetPresentValue,
CalcDate
StartDate
Maturity
PaidRate
CurPaidRate
ReceivedRate
CurReceivedRate
ZcPaidArray
ZcReceivedArray
FxArray
NetPresentValue
CsStructure
SwMode
188
Calculation date
Maturity date of the currency swap (expressed as a date or a code
such as "1Y")
Fixed rate iff the paid leg is fixed, floating rate spread as a percentage
if the paid leg is floating
Floating rate of the paid leg for the current calculation period if
applicable
Fixed rate if the received leg is fixed, floating rate spread as a
percentage if the received leg is floating
applicable
Array of zero-coupon dates and rates or discount factors for the paid
leg
Array of zero-coupon dates and rates or discount factors for the
received leg
Array of (N+1) cells x 2 cells (dates, rates) where N is the number of
swap point periods
• The first line (row or column depending on the array orientation
specified with the LAY keyword) contains the spot date and the
spot rate for the cross-currency
• The other lines contain swap point period end dates and
corresponding swap point values for the cross-currency
Present value of the currency swap or one of its legs in the discount
currency
Extended argument defining the currency swap structure (see
“CsStructure” on page 280)
page 386)
4 August 2003
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SwSwpExtend
SwSwpExtend
Purpose
Syntax
Arguments
Calculates the swap point at maturity date equivalent to a spread/fixed rate and to a predefined net
present value.
=SwSwpExtend(CalcDate, StartDate, Maturity, PaidRate, CurPaidRate, ReceivedRate,
CurReceivedRate, ZcPaidArray, ZcReceivedArray, FxArray, NetPresentValue,
CalcDate
StartDate
Maturity
PaidRate
CurPaidRate
ReceivedRate
CurReceivedRate
ZcPaidArray
ZcReceivedArray
FxArray
NetPresentValue
CsStructure
[email protected]
Calculation date
Maturity date of the currency swap (expressed as a date or a code
such as "1Y")
Fixed rate if the paid leg is fixed, floating rate spread as a percentage
if the paid leg is floating
Floating rate of the paid leg for the current calculation period if
applicable
Fixed rate if the received leg is fixed, floating rate spread as a
percentage if the received leg is floating
applicable
Array of zero-coupon dates and rates or discount factors for the paid
leg
Array of zero-coupon dates and rates or discount factors for the
received leg
Array of (N+1) cells x 2 cells (dates, rates) where N is the number of
swap point periods
• The first line (row or column depending on the array orientation
specified with the LAY keyword) contains the spot date and the
spot rate for the cross-currency
• The other lines contain swap point period end dates and
corresponding swap point values for the cross-currency
Present value of the currency swap or one of its legs in the discount
currency
Extended argument defining the currency swap structure (see
“CsStructure” on page 280)
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SwSwpExtend
SwMode
190
page 386)
4 August 2003
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PART IX:
REUTERS ADFIN
TERM STRUCTURE
Reuters Adfin Term Structure
192
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CHAPTER 31 RATES CALCULATIONS FUNCTIONS
Contents
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•
•
AdRate
AdRateConv
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Chapter 31 Rates Calculations Functions
AdRate
AdRate
Purpose
Calculates the discount factors for an array of dates, using one of the following term structure
models:
•
•
•
•
•
•
Syntax
Arguments
Vasicek-Fong model
standard bootstrapping model
basis-spline models
Black, Derman, and Toy model
Hull and White model
yield-to-maturity model
=AdRate(CalcDate, DateArray, RateArray, RateStructure, AdMode)
CalcDate
DateArray
RateArray
RateStructure
AdMode
Calculation date of the yield curve
Input array of dates
page 365)
237)
AdRateConv
Purpose
Converts a rate/discount factor from one type to another.
The type of rate used for Rate and the returned rate must be specified in the RateMode argument
with the keywords FROM and TO.
Syntax
Arguments
=AdRateConv(StartDate, EndDate, RateMode, Rate)
StartDate
EndDate
RateMode
194
Start date of the period
End date of the period
Extended argument defining the type of conversion (see “RateMode” on page
359)
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AdRateConv
Rate
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Rate to be converted
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AdRateConv
196
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C H A P T E R 3 2 TE R M S T R U C T U R E F U N C T I O N S
Contents
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•
•
•
•
AdCalibrate
AdFutCodes
AdFutDates
AdTermStructure
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Chapter 32 Term Structure Functions
AdCalibrate
AdCalibrate
Purpose
Syntax
Arguments
Calculates the model parameters (dates, rates and volatility curve or dates, rates, volatility plus
mean-reversion curve) from an array of instruments.
=AdCalibrate(InputArray, ZCArray, StartOutputArray, RateArray, CalcStructure,
AdMode)
InputArray
ZCArray
StartOutputArray
RateStructure
CalcStructure
AdMode
Array of instruments as described later
(Date, Zero-coupon yield) array describing the zero coupon curve
Start points of the output parameters
page 237)
AdFutCodes
Purpose
Syntax
Arguments
Calculates the next maturity codes for a STIR futures contract.
=AdFutCodes(CalcDate, StirFutStructure, YcMode)
CalcDate
StirFutStructure
YcMode
Calculation date
Extended argument customizing the return value (see “YcMode” on
page 389)
AdFutDates
Purpose
198
Calculates the start date and the end date of a STIR futures contract hedging period.
4 August 2003
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AdTermStructure
Syntax
Arguments
=AdFutDates(StirFutStructure, MaturityCode, YcMode)
StirFutStructure
MaturityCode
YcMode
2-character string defining the contract maturity (example: "Z6" , codes
can be obtained using AdFutCodes)
Extended argument customizing the return value (see “YcMode” on page
389)
AdTermStructure
Purpose
Depending on the model specified by the RM keyword, the function calculates a zero-coupon yield
curve from an array of instruments, using the:
•
•
•
Syntax
Arguments
Vasicek-Fong model
standard bootstrapping model
regression or smoothing basis-spline models
=AdTermStructure(InstrumentArray, RateStructure, AdMode)
InstrumentArray
RateStructure
AdMode
Array of instruments
Extended argument defining the structure of the interest rate structure (see
237)
‘
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AdTermStructure
200
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PART X:
REUTERS ADFIN
COMMON
Reuters Adfin Common
202
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CHAPTER 33 INTERPOLATION FUNCTIONS
Contents
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•
AdInterp
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Chapter 33 Interpolation Functions
AdInterp
AdInterp
Purpose
Interpolates a point from a curve according to a linear or cubic spline method.
To define the type of the interpolation, use the IM keyword in InterpMode.
If the value X used for the interpolation is not within the range of the Xarray array, the function may
either extrapolate or return an error message depending on value of the OBC keyword.
Syntax
204
=AdInterp(X, XArray, YArray, InterpMode)
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CHAPTER 34 FORMATTING AND PARSING FUNCTIONS
Contents
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•
•
•
•
AdFormat
AdParse
AdRound
DfFormatDate
DfIDNDate
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Chapter 34 Formatting and Parsing Functions
AdFormat
AdFormat
Purpose
Syntax
Arguments
Converts a decimal number to a fraction or displays a bid/ask array as a string using the bid/ask
format.
=AdFormat(Data, BidDecimals, AskDigits, FormatMode)
Data
BidDecimals
AskDigits
FormatMode
Decimal number or array of bid and ask values to format
Number of decimals of the fractional component (for fraction formatting) or of the
bid side (for bid/ask formatting)
Number of last digits of the ask side (applicable for bid/ask formatting only)
Extended argument customizing the return value (see “FormatMode” on page
315)
AdParse
Purpose
Parses a data string formatted in fraction or bid/ask format.
To define the type of parsing, use the PDF and PDT keywords in ParseMode.
Syntax
Arguments
=AdParse(DataString, ParseMode)
DataString
ParseMode
Data string
Extended argument defining the parsing mode (see “ParseMode” on
page 358)
AdRound
Purpose
Syntax
Arguments
206
Rounds a number to the nearest tick.
=AdRound(Value, Tick, RoundMode)
Value
Number to be rounded
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DfFormatDate
Tick
RoundMode:
Rounding tick
Extended argument defining the type of the rounding (see
“RoundMode” on page 374)
DfFormatDate
Purpose
Syntax
Arguments
Converts a date specified as a serial number to the string format "DDMMMYY".
=DfFormatDate(CalcDate)
CalcDate
Calculation date
DfIDNDate
Purpose
Syntax
Arguments
[email protected]
Converts a date specified in the string format "DD MMM YY" or "DD MMM YYYY" to a serial number,
whatever the date settings of both the operating system and the spreadsheet application are.
=DfIDNDate(DateStr)
DateStr
Date-formatted string ("DD MMM YY" or "DD MMM YYYY")
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DfIDNDate
208
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CHAPTER 35 SETTINGS MANAGEMENT FUNCTIONS
Contents
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•
•
•
•
AdDefAttribute
AdDefSet
AdDefStructure
AdReadParam
AdWriteParam
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Chapter 35 Settings Management Functions
AdDefAttribute
AdDefAttribute
Purpose
Returns the value of a default setting.
Syntax
Arguments
=AdDefAttribute(DefCategory, DefAttribute)
DefCategory
DefAttribute
String argument defining the default settings category
Keyword of DefStructure corresponding to the default setting (see
“DefStructure” on page 285)
AdDefSet
Purpose
Sets one or several default settings belonging to a same default settings category.
The default settings category or nature is defined in the argument DefCategory. Hence, all settings
grouped together in the DefStructure argument must belong to the same category.
Syntax
Arguments
=AdDefSet(DefCategory, DefStructure)
DefCategory
DefStructure
Extended argument defining the default settings (see “DefStructure”
on page 285)
AdDefStructure
Purpose
Syntax
Arguments
210
Returns all default settings for a default settings category.
=AdDefStructure(DefCategory)
DefCategory
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AdReadParam
AdReadParam
Purpose
Syntax
Arguments
Reads information from the Adfin data file m_excel.dat.
=AdReadParam(Section, Entry)
Section
Entry
Section name
Entry name
AdWriteParam
Purpose
Syntax
Arguments
Writes information into the Adfin data file m_excel.dat.
=AdWriteParam(Section, Entry, Value)
Section
Entry
Value
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Section name
Entry name
Value of entry as a string
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AdWriteParam
212
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CHAPTER 36 STYLES MANAGEMENT FUNCTIONS
Contents
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•
AdHistoryUpdate
AdHistoryValue
AdStyleAttribute
AdStyleDelete
AdStyleName
AdStyleSet
AdStyleStructure
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Chapter 36 Styles Management Functions
AdHistoryUpdate
AdHistoryUpdate
Purpose
Adds new values to the index history database.
Syntax
Arguments
=AdHistoryUpdate(IndexName, DateArray, ValueArray)
IndexName
DateArray
ValueArray
Index history style name
Array of dates
Array of historical values
AdHistoryValue
Purpose
Syntax
Arguments
Retrieves the latest historical value available in the database for an index history style.
=AdHistoryValue(IndexName, StyleMode)
IndexName
StyleMode
Index history style name
Extended argument customizing the return value (see “StyleMode” on
page 380)
AdStyleAttribute
Purpose
Syntax
Arguments
Returns the value of a style attribute.
=AdStyleAttribute(StyleTable, StyleCode, StyleAttribute)
StyleTable
StyleCode
StyleAttribute
214
String argument defining the style table
Style code
Keyword corresponding to the style attribute
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AdStyleDelete
AdStyleDelete
Purpose
Syntax
Arguments
Deletes an existing style from a style table.
=AdStyleDelete(StyleTable, StyleCode)
StyleTable
StyleCode
Style code
AdStyleName
Purpose
Syntax
Arguments
Returns the name of a style.
=AdStyleName(StyleTable, StyleCode)
StyleTable
StyleCode
Style code
AdStyleSet
Purpose
Syntax
Arguments
Creates or modifies a style in a style table.
=AdStyleSet(StyleTable, StyleCode, StyleName, StyleStructure, StyleMode)
StyleTable
StyleCode
StyleName
StyleStructure
StyleMode
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Style code
Style name
Extended argument defining the style structure
Extended argument defining the operation (see “StyleMode” on page
380)
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AdStyleStructure
AdStyleStructure
Purpose
Syntax
Arguments
Returns the structure of a style.
=AdStyleStructure(StyleTable, StyleCode)
StyleTable
StyleCode
216
Style code
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CHAPTER 37 DATES FUNCTIONS
Contents
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DfAddMonths
DfAddPeriod
DfAddWD
DfAddYears
DfCountDays
DfCountNonWD
DfCountWD
DfCountYears
DfAdjustToWD
DfFindDateD
DfFindDateM
DfIsWD
DfLastWD
DfListHolidays
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Chapter 37 Dates Functions
DfAddMonths
DfAddMonths
Purpose
Syntax
Arguments
Adds a number of months to a date.
=DfAddMonths(Calendars, CalcDate, NbMonths, DfMode)
Calendars
CalcDate
NbMonths
DfMode
String of calendar codes (example: "FRA,UKG")
Calculation date
Number of months
Extended argument customizing the return value (see “DfMode” on
page 308)
DfAddPeriod
Purpose
Syntax
Arguments
Adds a period (number of calendar days, working days, weeks, months or years) to a date.
=DfAddPeriod(Calendars, CalcDate, Period, DfMode)
Calendars
CalcDate
Period
DfMode
Calculation date
Period code {iD, iM, iW, iWD, iY, with i as integer}
• D i calendar days
• M i months
• W i weeks
• WD i working days (from -366 to 366)
• Y i years
page 308)
DfAddWD
Purpose
218
Adds a number of working days to a date.
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DfAddYears
Syntax
Arguments
=DfAddWD(Calendars, CalcDate, NbDays, DfMode)
Calendars
CalcDate
NbDays
DfMode
Calculation date
Number of working days (from -366 to 366)
# not currently used - leave blank # (see “DfMode” on page 308)
DfAddYears
Purpose
Syntax
Arguments
Adds a number of years to a date.
=DfAddYears(Calendars, CalcDate, NbYears, DfMode)
Calendars
CalcDate
NbYears
DfMode
Calculation date
Number of years
page 308)
DfCountDays
Purpose
Syntax
Arguments
Calculates the number of days between two dates according to the day count basis specified in
DfMode with the keyword DCB.
=DfCountDays(StartDate, EndDate, DfMode)
StartDate
EndDate
DfMode
[email protected]
Period start date
Period end date
page 308)
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DfCountNonWD
DfCountNonWD
Purpose
Syntax
Arguments
Calculates the number of non-working days between two dates.
=DfCountNonWD(Calendars, StartDate, EndDate, DfMode)
Calendars
StartDate
EndDate
DfMode
Period start date
Period end date
DfCountWD
Purpose
Syntax
Arguments
Calculates the number of working days between two dates.
=DfCountWD(Calendars, StartDate, EndDate, DfMode)
Calendars
StartDate
EndDate
DfMode
Period start date
Period end date
DfCountYears
Purpose
Syntax
Arguments
Calculates the number of years between two dates according to the day count basis specified in
DfMode with the keyword DCB.
=DfCountYears(StartDate, EndDate, DfMode)
StartDate
EndDate
220
Period start date
Period end date
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DfAdjustToWD
DfMode
page 308)
DfAdjustToWD
Purpose
Syntax
Arguments
Adjusts a holiday date to the previous or next working day.
=DfAdjustToWD(Calendars, CalcDate, AdjMode, DfMode)
Calendars
CalcDate
AdjMode
DfMode
Calculation date
Adjustment mode {0, 1, -1}
• 0 for adjusting the date according to the date moving convention
specified in DfMode with the keyword DMC
• 1 for adjusting the date to the next day
• -1 for adjusting the date to the previous day
page 308)
DfFindDateD
Purpose
Syntax
Arguments
Finds a date from a rule based on a reference date.
=DfFindDateD(Number, Day, Direction, RefDate)
Number
Day
Direction
RefDate
[email protected]
Integer representing the number of days or given day of the week
String representing the day {Day, Monday, Tuesday, Wednesday,
Thursday, Friday, Saturday, Sunday}
String representing the direction {Of, Before, After}
Reference date
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DfFindDateM
DfFindDateM
Purpose
Syntax
Arguments
Finds a date from a rule based on a reference month.
=DfFindDateM(Number, Day, Direction, RefMonth, Year)
Number
Day
Direction
RefMonth
Year
Integer representing the number of days or given day of the week
String representing the day {Day, Monday, Tuesday, Wednesday,
Thursday, Friday, Saturday, Sunday}
String representing the direction {Of, Before, After}
String representing the month {January, February, March, April, May,
June, July, August, September, October, November, December}
Year
DfIsWD
Purpose
Syntax
Arguments
Indicates whether a date is a working day.
=DfIsWD(Calendars, CalcDate, DfMode)
Calendars
CalcDate
DfMode
Calculation date
page 308)
DfLastWD
Purpose
Syntax
Arguments
222
Calculates the last working day of a month.
=DfLastWD(Calendars, CalcDate, DfMode)
Calendars
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DfListHolidays
CalcDate
DfMode
Calculation date
DfListHolidays
Purpose
Syntax
Arguments
Lists one or several calendars holidays between two dates.
=DfListHolidays(Calendars, StartDate, EndDate, DfMode)
Calendars:
StartDate
EndDate
DfMode
[email protected]
Period start date
Period end date
page 308)
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DfListHolidays
224
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PART XI:
REUTERS 3000
DATA ENGINE
Reuters 3000 Data Engine
226
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C H A P T E R 3 8 D A TA E N G I N E F U N C T I O N S
Contents
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DeHistory
DeList
DeLookup
DeQuery
DeUpdate
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Chapter 38 Data Engine Functions
DeHistory
DeHistory
Purpose
Retrieves historical data for:
•
•
Syntax
one single instrument, from a specified table in Securities 3000 and Treasury 3000 databases
several instruments, from the DBU server
=DeHistory(Code, TableName, FieldList, DestinationCell, MacroName, Conditions,
DeMode)
Important! You must specify the data source, using the SOURCE keyword in the DeMode argument.
Arguments
Code
TableName
FieldList
DestinationCell
MacroName
Conditions
DeMode
Instrument names, separated by commas.
Name of the table or view in the Treasury 3000 or Securities 3000
databases. TableName uses the FID code when data is retrieved from the
DBU server.
Array of fields to retrieve. FieldList is mandatory for Security data.
Cell reference specifying the top-left corner of the destination cell.
Excel macro, called when the result table is updated.
Any extra information required to retrieve data, depending on the provider
and the kind of request you make.
Data retrieval parameters. DeMode specifies the data source, update
frequency, data filters/extrapolators for historical data, results format, and
specifies whether results are refreshed automatically.
DeList
Purpose
Note
Syntax
228
Retrieves a list of instrument constituents. The constituents can be from an index or from the
Reuters Securities 3000 database. The index is specified in the parameters.
This function can also retrieve lists of RICs, clearing codes, rating sources, and price sources for a
bond, from the Reuters Treasury 3000 database.
=DeList(Code, TableName, FieldList, DestinationCell, MacroName, Conditions,
DeMode)
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DeLookup
Arguments
Code
TableName
FieldList
DestinationCell
MacroName
Conditions
DeMode
Identifies the instrument name for which to retrieve data.
Name of the table or view in the Treasury 3000 or Securities 3000
databases from which to retrieve data. Uses the FID code when data is
retrieved from the DBU server.
Array of fields to retrieve. This argument is mandatory for EQUITY source.
Identifies the Excel macro that is called when the result table is updated.
Any extra information required to retrieve the desired data. This depends
on the provider and the kind of request being made. It identifies any
required conditions and/or supplementary values needed.
Indicates the Data Engine source to consult in the request (the “SOURCE”
keyword), defines data retrieval parameters (update frequency, whether to
refresh), data filters/extrapolators (for historic data), the format of the
results, and specifies whether results are refreshed automatically. It has
the form of a structure string. Please refer to the following table to see the
dependency of DeMode keywords according to the function used.
DeLookup
Purpose
Syntax
Arguments
[email protected]
Retrieves issues and quotations associated with an organization name from the Securities 3000
database.
=DeLookup(LookupString, DestinationCell, MacroName, DeMode)
String containing the name or beginning of the name for the organization for
which to retrieve data.
DestinationCell Cell reference specifying the top-left corner of the destination cell.
MacroName
DeMode
refresh), data filters/extrapolators (for historic data), the format of the results,
and specifies whether results are refreshed automatically. It has the form of a
structure string. Please refer to the following table to see the dependency of
DeMode keywords according to the function used.
LookupString
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DeQuery
DeQuery
Purpose
Sends a request to a provider.
If the data provider is a Reuters 3000 database (SOURCE:TREASURY or SOURCE:EQUITY) or a local
relational database (SOURCE:LOCAL) the request string is an SQL request. The request must be a
SELECT request. The Data Engine checks the SQL syntax embedded in the query prior to passing it
to the database.
Using this function, you can retrieve data as an array.
Text strings in Data Engine functions are limited to 255 characters. For SQL queries that exceed this
length, enter the text in a vertical range of cells, putting a portion of the text in each cell. The values
of the cells can then be concatenated through cell referencing to form the complete SQL statement.
Syntax
Arguments
=DeQuery(RequestString, DestinationCell, MacroName, Conditions, DeMode)
String containing the HTTP or SQL request.
DestinationCell Cell reference specifying the top-left corner of the destination cell.
MacroName
Conditions
Any extra information required to retrieve the desired data. This depends on the
provider and the kind of request being made. It identifies any required
conditions and/or supplementary values needed.
DeMode
refresh), data filters/extrapolators (for historic data), the format of the results,
and specifies whether results are refreshed automatically. It has the form of a
structure string. Please refer to the following table to see the dependency of
DeMode keywords according to the function used.
RequestString
DeUpdate
Purpose
230
Retrieves a table of values from a named data source specified by the keyword SOURCE in the
DeMode argument. You can choose the default data source by selecting the “Set as default source”
check box in the Reference Data Engine Settings dialog. Changes to the default value are
taken into account at the next Data Engine session.
4 August 2003
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DeUpdate
The list of fields available for a given security is available in the Reuters Data Encyclopedia, at the
following URL: http://rde.session.rservices.com/3000xtra. To assist you in building your DeUpdate
request, you can also use the Treasury and Security assistants..
Syntax
Arguments
=DeUpdate(CodeList, FieldList, DestinationCell, MacroName, Conditions, DeMode)
CodeList
FieldList
DestinationCell
MacroName
Conditions
DeMode
[email protected]
Array of instrument codes for which the function returns data.
Array of fields to retrieve.
Any extra information required to retrieve the desired data. This depends on
the provider and the kind of request being made. It identifies any required
conditions and/or supplementary values needed.
refresh), data filters/extrapolators (for historic data), the format of the
results, and specifies whether results are refreshed automatically. It has the
form of a structure string. Please refer to the following table to see the
dependency of DeMode keywords according to the function used.
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DeUpdate
232
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PART XII:
REUTERS ADFIN
EXTENDED
ARGUMENTS
Reuters Adfin Extended Arguments
234
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E X T E N D E D A R G U M E N TS
APPENDIX A
Contents
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Adfin Structures
AdMode
BdMode
BondFutStructure
BondStructure
CalcMethod
CalcStructure
CapFloorStructure
CdsStructure
ConvMode
ConvStructure
CreditStructure
CrossStructure
CsStructure
CurStructure
DefStructure
DfMode
ExoticStructure
FormatMode
FrnMode
FrnStructure
FxMode
HistoryMode
HistoryStructure
IlbMode
IlbStructure
IndexHistoryStructure
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Appendix A Extended Arguments
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236
InterpMode
IrsStructure
OpMode
OptionStructure
ParseMode
RateMode
RateStructure
RepoMode
RoundMode
RtMode
StirFutStructure
StyleMode
SwapStructure
SwMode
YcMode
4 August 2003
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Adfin Structures
Adfin Structures
Use of Structure
Arguments with
Adfin Analytics
Most of the calculations in Reuters PowerPlus Pro rely on the definition of the instrument in terms of
a Structure or a Style.
A Structure, such as a BondStructure, is an extended argument, consisting of several keywords to
define attributes such as accrued interest calculation method, etc. A Style is a name given to a
particular instance of a Structure (in the case of instruments). Thus the BondStructure for a UK
Gilt-edged security should be ACC:AA CM:AA FRQ:2 XD:7WD EY:2 SETTLE:1WD CLDR:UKG_FI
RND:6. This may be used in bond calculations. This structure is also defined in the Style Database;
its Style Name is Gilt. It is interchangeable with the above Structure, and will produce identical
results in calculations.
The following table indicates how instruments and related data, such as calendars, index histories,
etc, may be defined using Structures and Styles. If an entity may be defined using a Structure, the
entry in the Structure column will be Yes, followed by the Structure Arguments to be used. If Styles
exist in the Style Database for the entity, its entry in the Style column will be Yes. Styles may be
viewed via the Style Management function: click Reuters ➤Settings ➤ Style Management.
Extended
Arguments
Adfin arguments in Reuters PowerPlus Pro combine several attributes in a single parameter. As
many attributes as needed may be combined within the extended argument and in a random order.
Each attribute is referred to in the extended argument by a keyword.
An extended argument is a string made up of a series of parameters in a function, each one
consisting of a keyword followed by a colon (:) and the value of the parameter. The separator
between the parameters in the string should be a blank space ( ) as shown in the example below.
Keyword1:Value1 Keyword2:Value2 Keyword3:Value3
Reuters PowerPlus Pro provides two types of Extended arguments:
• Structure arguments
• Mode arguments
AdMode
AdMode is used as argument in Adfin Analytics functions to customize returned values.
AdMode is a string consisting of a series of parameters. Each of set parameters consists of a
keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.
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AdMode
Structure
The following keywords used in AdMode are common to Adfin Analytics functions:
Keyword Explanation
238
LAY
Layout parameter for the array orientation {H, HOR, V, VER}
LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: LAY:H
RET
Return value parameter to shorten or lengthen the array of data returned by array
functions {Ai, Bi, or i (where i is integer)} (see the Notes section below)
RET:Ai with i from 1 to ArraySize to get the i first rows of the default array (only
values)
RET:Bi with i from 1 to ArraySize to get the i first rows of the default arrays (names
and their values)
RET:i with i from 1 to ArraySize to get the value of the ith row of a one dimension
array
Default value: RET:A
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AdMode
Keywords used in AdMode for Adfin Bonds functions:
Keyword Explanation
RES
[email protected]
Expected result {BDPRICE, CBPRICE, CV, CVPRICE, OPTIONFREEPRICE, PARITY,
EQPREMIUM, OPTPREMIUM, PREMIUM, MPREM, MPREMIUM, BEVEN, VOL, PVBP, DUR, CONV,
AVGLIFE, YTWYTB, PREV, NEXT, EXDIV, ACC, ACCDAYS, NXCPN, D, DELTA, G, GAMMA, R, RHO, T,
THETA, V, VEGA}
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AdMode
Keyword Explanation
RES
RES:D or RES:DELTA to calculate the delta ratio (sensitivity of the premium to the change
of the underlying price)
RES:G or RES:GAMMA to calculate the gamma ratio(sensitivity of the delta ratio to the
change of the underlying price)
RES:R or RES:RHO to calculate the rho ratio (sensitivity of the premium to the market
interest rates)
RES:T or RES:THETA to calculate the theta ratio(sensitivity of the premium to the
reduction of the option remaining life)
RES:V or RES:VEGA to calculate the vega ratio(sensitivity of the premium to the
underlying volatility)
RES:BDPRICE to calculate the bond price
RES:CBPRICE to calculate the convertible bond price
RES:CV to calculate the conversion value
RES:CVPRICE to calculate the conversion price
RES:OPTIONFREEPRICE to calculate the option free price
RES:PARITY to calculate the parityof the convertible bond
RES:EQPREMIUM to calculate the equity premium
RES:OPTPREMIUM to calculate the option premium
RES:PREMIUM to calculate the total premium
RES:MPREMIUM or RES:MPREM to calculate the market conversion premium
RES:BEVEN to calculate the break-even time
RES:VOL to calculate the volatility
RES:PVBP to calculate the PVBP
RES:DUR to calculate the duration
RES:CONV to calculate the convexity (see the Notes section below)
RES:AVGLIFE to calculate the average life
RES:YTWYTB to calculate the Yield-To-Worst/Yield-To-Best Date
RES:PREV to calculate the previous coupon date
RES:NEXT to calculate the next coupon date
RES:EXDIV to calculate the ex dividend date
RES:ACCDAYS to calculate the accrued days
RES:ACC to calculate the accrued interest
RES:NXCPN to calculate the next coupon value
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AdMode
Keywords used in AdMode for Adfin Options functions:
[email protected]
Keyword
Explanation
RES
Expected result {BPV, CONVEXITY, D, DELTA, FDELTA, FRHO, FTHETA, FVEGA, G, GAMMA, R,
RHO, T, THETA, V, VEGA}
RES:BPV to calculate the basis point value of caps and floors
RES:CONVEXITY to calculate the convexity of caps and floors (see the Notes section
below)
RES:D or RES:DELTA to calculate the delta ratio(sensitivity of the premium to the
RES:G or RES:GAMMA to calculate the gamma ratio(sensitivity of the delta ratio to the
RES:R or RES:RHO to calculate the rho ratio(sensitivity of the premium to the market
interest rates)
RES:T or RES:THETA to calculate the theta ratio(sensitivity of the premium to the
RES:V or RES:VEGA to calculate the vega ratio(sensitivity of the premium to the
RES:FDELTA to calculate the delta ratio in the foreign currency (for currency options)
RES:FRHO to calculate the rho ratio in the foreign currency (for currency options)
RES:FTHETA to calculate the theta ratio in the foreign currency (for currency options)
RES:FVEGA to calculate the vega ratio in the foreign currency (for currency options)
Default value: No expected result is defined
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AdMode
Keywords used in AdMode for Adfin Exotics functions:
Example
242
Keyword
Explanation
RES
Expected result {DELTA, DELTA:i, D1, D2, GAMMA, GAMMA:i, GAMMA:i:j, G1, G2, RHO, R1,
R2, T, THETA, VEGA:i, V1, V2}
RES:DELTA to calculate the deltaof the option, except for Rainbow and exotic currency
options
RES:DELTA:i to calculate the delta of the i-th asset for multi asset options
RES:GAMMA to calculate the gamma of the option, except for Rainbow and exotic
currency options
RES:GAMMA:i to calculate the gamma of the i-th asset for multi asset options
RES:GAMMA:i:j to calculate the crossgamma of the i-th and j-th asset for basket
options
RES:RHO to calculate the rhoof the option
RES:THETA to calculate the thetaratio in domestic currency
RES:VEGA to calculate the vegaof the option, except for Rainbow options
RES:VEGA:i to calculate the vega of the i-th asset for multi asset options
RES:D1 or RES:DELTA:1 to calculate the delta ratio in domestic currency for exotic
currency options
RES:D2 or RES:DELTA:2 to calculate the delta ratio in foreign currency for exotic
currency options
RES:G1 or RES:GAMMA:1 to calculate the gamma ratio in domestic currency for exotic
currency options
RES:G2 or RES:GAMMA:2 to calculate the gamma ratio in foreign currency for exotic
currency options
RES:V1 or RES:VEGA:1 to calculate the vega ratio in domestic currency for exotic
currency options
RES:V2 or RES:VEGA:2 to calculate the vega ratio in foreign currency for exotic
currency options
RES:R1 to calculate the rho ratio in domestic currency for exotic currency options
RES:R2 to calculate the rho ratio in foreign currency for exotic currency options
LAY:H RET:B1 displays the name of the first parameter returned and the corresponding value below.
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BdMode
BdMode
BdMode is used as argument in functions of the Adfin Bonds module to customize returned values.
BdMode is a string consisting of a series of parameters. Each of set parameters consists of a
Structure
Keyword
Explanation
IAC
Cash flows calculation split up into interest and principal {no value}
IAC to display interest cash flows and principal cash flows
Default value: Interest and principal added in cash flows calculation
LAY
RET
functions {Ai, Bi, i with i as integer}
RET:Ai with i from 1 to ArraySize to get the array of the i first elements (values only)
RET:Bi with i from 1 to ArraySize to get the array of the i first elements along with
their names (header and values)
RET:i with i from 1 to ArraySize to get the i-th element only
Default value: RET:A
BondFutStructure
BondFutStructure is used as argument in functions of the Adfin Bonds module to define the
structure of a bond futures contract.
BondFutStructure is a string consisting of a series of parameters. Each set of parameters consists
of a keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
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BondFutStructure
Structure
244
Keyword Explanation
AFTER
Bond futures style for future maturities {DDMMMYY:bondfutures}
AFTER:DDMMMYY:bondfutures to use the corresponding bond futures style instead of
the current one after the specified date
Default value: No bond futures style is defined
BEFORE
Bond futures style for old maturities {DDMMMYY:bondfutures}
BEFORE:DDMMMYY:bondfutures to use the corresponding bond futures style instead of
the current one before the specified date
Default value: No bond futures style is defined
BOND
Underlying bond {bond}
BOND:bond to define the contract underlying bond
Default value: No bond style is defined
CDADJ
Conversion factor date adjustment {C{:M, Q}, F{:M, Q}, N, P{:M, Q}}
CDADJ:C:M to adjust to the closest month
CDADJ:C:Q to adjust to the closest quarter
CDADJ:F:M to adjust to the following month
CDADJ:F:Q to adjust to the following quarter
CDADJ:N for None
CDADJ:P:M to adjust to the preceding month
CDADJ:P:Q to adjust to the preceding quarter
Default value: CDADJ:N
CFD
Conversion factor date calculation method {iWD with i as integer}
CFD:iWD for i working days from the reference date
Default value: CFD:0WD
CLDR
Calendar for holiday management {calendar}
CLDR:calendar to assign the corresponding calendar style to the currency
Default value: CLDR:NULL (no date adjustment is made)
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BondFutStructure
Keyword Explanation
[email protected]
CRD
Contract reference date calculation method {1C, 10C, 15C, 20C, 2NDFRI, 3RDWED, NBB}
CRD:1C to set the date to the first calendar day of the delivery month
CRD:10C to set the date to the 10th calendar day of the delivery month
CRD:15C to set the first calendar day of the delivery month
CRD:20C to set the date to the 20th calendar day of the delivery month
CRD:2NDFRI to set the second Friday of the delivery month
CRD:3RDWED to set the date to the third Wednesday day of the delivery month
CRD:NZL to set the date to the third Wednesday after the ninth day of the contact month
(specific to the NZ Bank Bill Future Contracts)
Default value: No contract reference date calculation method is defined
CUR
Underlying currency {currency}
CUR:currency to define the contract underlying currency
Default value: No currency is defined
DEC
Decimal precision for conversion factor {NO, RND:i, TRUNC:i with i as integer}
DEC:NO to use the calculated value without rounding or truncating
DEC:RND:i to round the calculated value to i decimals
DEC:TRUNC:i to trunc the calculated value to i decimals
Default value: DEC:NO
EDD
Delivery period end date calculation method {LAST, iWD with i as integer}
EDD:LAST to set the date to the last working day of the delivery month
EDD:iWD for i working days from the reference date
Default value: EDD:0WD
MDADJ
Maturity date adjustment {F, M, N, P}
MDADJ:F for Following
MDADJ:M for Modified Following
MDADJ:N for None
MDADJ:P for Preceding
Default value: MDADJ:N
QM
Quotation mode {100, 32, 256}
QM:100 for prices quoted in decimals
QM:32 for prices quoted in 32nd
QM:256 for prices quoted in 256th
Default value: QM:100
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BondFutStructure
Keyword Explanation
RATE
Nominal rate {i (where i is numeric)}
RATE:i where i is the rate of the contract
Default value: RATE:0
RRTYPE
Repo rate type {00, A0, A0D, A25D, A5, A5D, AA, BFM, DISCA0, DISCA5, E0,
JAP, MMBA0, MMBA5, MMDA0, MMDA5, MMMA0, MMMA5, MMPA0, MMPA5, MOOS, TRE}
RRTYPE:00 for 30/360
RRTYPE:A0 for Actual/360
RRTYPE:A0D for Actual/360 (day-based)
RRTYPE:A25D for Actual/365.25 (day-based)
RRTYPE:A5 for Actual/365
RRTYPE:A5D for Actual/365 (day-based)
RRTYPE:AA for Actual/Actual
RRTYPE:BFM for Braess/Fangmeyer
RRTYPE:DISCA0 for discount Actual/360
RRTYPE:DISCA5 for discount Actual/365
RRTYPE:E0 for 30E/360 ISMA
RRTYPE:JAP for Japanese
RRTYPE:MMBA0 for money market bullet Actual/360
RRTYPE:MMBA5 for money market bullet Actual/365
RRTYPE:MMDA0 for money market direct discounting Actual/360
RRTYPE:MMDA5 for money market direct discounting Actual/365
RRTYPE:MMMA0 for money market medium term CD Actual/360
RRTYPE:MMMA5 for money market medium term CD Actual/365
RRTYPE:MMPA0 for money market proceeds Actual/360
RRTYPE:MMPA5 for money market proceeds Actual/365
RRTYPE:MOOS for Moosmüller
RRTYPE:TRE for Treasuries
Default value: No rate type is defined
SDD
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Delivery period start date calculation method {FIRST, iWD with i as integer}
SDD:FIRST to set the date to the first working day of the delivery month
SDD:iWD for i working days from the reference date
Default value: SDD:0WD
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BondStructure
Keyword Explanation
SIZE
Contract size {i (where i is numeric)}
SIZE:i where i is the size of the contract
Default value: SIZE:0
BondStructure
BondStructure is used as argument in functions of the Adfin Bonds module to define the structure
of the bond.
BondStructure is a string consisting of a series of parameters. Each set of parameters consists of a
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BondStructure
Structure
248
Keyword Explanation
ACC
Accrued interest calculation method {{00, A0, A5, AA, BB00, BBA5, BBW252, E0, IT, IT2,
JAP, MMA0, MMA5, MMNL5, NL0, NL5, W252} with {:SSD} optional for each value}
ACC:00 for 30/360
ACC:A0 for Actual/360
ACC:AA for Actual/Actual
ACC:BB00 for Brazilian bonds with 30/360
ACC:BBA5 for Brazilian bonds with Actual/365
ACC:BBW252 for Brazilian bonds with Actual Working days/252
ACC:IT for Italian (from last coupon date to settlement date in E0 + 1 day)
ACC:IT2 for Italian modified (from last coupon date to settlement date + 1 day in E0)
ACC:JAP for Japanese (A5 or A5 + 1 day for first coupon)
ACC:MMA0 for money market Actual/360
ACC:MMNL5 for money market Actual No Leap/365
ACC:NL0 for Actual No Leap/360
ACC:W252 for Actual Working days/252
ACC:i:SSD for German Schuldscheindarlehen bonds where i is {00, A0, A5, AA, BB00,
BBA5, BBW252, E0, IT, IT2, JAP, MMA0, MMA5, MMNL5, NL0, NL5, W252}
Default value: ACC:AA
ALIMIT
Accrued interest adjustment method for Actual/360 and Actual/365 {CPN, NEXT, NO}
ALIMIT:CPN to limit the accrued interest to the regular coupon value
ALIMIT:NEXT to adjust the coupon subtracting the exceeding number of days
ALIMIT:NO to allow the accrued interest to exceed the regular coupon value
Default value: ALIMIT:NEXT
AMORT
Amortization pattern for sinking funds {DDMMMYY:i with i<=1}
MORT:DDMMMYY:i to indicate that i is redeemed at the date DDMMMYY
Default value: No amortization pattern defined
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BondStructure
Keyword Explanation
[email protected]
ARND
Rounding mode of the accrued interest {NO} or {i (where i is numeric) : {UP, DOWN,
NEAR}}
ARND:NO if no rounding is requested
ARND:i:{UP, DOWN, NEAR} for rounding to the precision defined by i
Default value: ARND:NO if no rounding is requested
ARND:i:NEAR if i is specified
CALL
Callable bond {DDMMMYY:i, DMMMYY:DDMMMYY: i (where i is numeric)}
CALL:DDMMMYY:i to indicate that the bond holds a European call option whose expiry
date is DDMMMYY and strike clean price is i
CALL:DDMMMYY:DDMMMYY:i to indicate that the bond holds an American call option
between DDMMMYY and DDMMMYY and whose strike clean price is i
Default value: The bond is not callable
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BondStructure
Keyword Explanation
250
CCM
Coupon calculation method {BB00, BBA0, BBA5, BBAA, BBE0, MM00, MMA0, MMA5, MMAA,
MME0, MMNL0, MMNL5, 00D, A0D, A5D, E0D, 00, A0, A5, AA, E0} (see the Notes section
below)
CCM:BB00 for bond 30/360
CCM:BBA0 for bond Actual/360
CCM:BBAA for bond Actual/Actual
CCM:BBE0 for bond 30E/360 ISMA
CCM:MM00 for money market 00/360
CCM:MMA5 for money market Actual/365
CCM:MMAA for money market Actual/Actual
CCM:MME0 for money market 30E/360
CCM:MMNL0 for money market Actual No Leap/360
CCM:00D for effective 30/360 (day-based)
CCM:A0D for effective Actual/360 (day-based)
CCM:E0D for effective 30E/360 (day-based)
CCM:00 for effective 30/360 (period-based)
CCM:A0 for effective Actual/360 (period-based)
CCM:AA for effective Actual/Actual (period-based)
CCM:E0 for effective 30E/360 (period-based)
Default value: CCM:BBAA
CFADJ
Cash Flow (Value) Adjustment {YES, NO}
CFADJ:YES for adjusting the cash flow value with the payment date
CFADJ:NO for not adjusting the cash flow values
Default value: CFADJ:NO
CLDR
Calendar parameter for all date adjustments {calendars}
CLDR: calendars to assign one or more calendars to a bond for settlement date and
coupon date adjustments
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BondStructure
Keyword Explanation
[email protected]
CRND
Coupon rounding tick size {i (where i is numeric) (0.001=10E-3)}
CRND:i for rounding to the precision defined by i
Default value: CRND:NO
DATED
Dated date {DDMMMYY}
DATED:DDMMMYY where DDMMMYY is the accrual start date for irregular coupons
Default value: No dated date defined
DMC
Date moving convention used when an expiry date or a dividend date falls on a non
working day {F, FOL, M, MOD, N, NONE, P, PRE}
DMC:F or DMC:FOL for moving the date to the following working day
DMC:M or DMC:MOD for moving the date to the following working day unless it causes the
date to be pushed into the next month (in this latter case, the last working day of the
month is used)
DMC:N or DMC:NONE for no moving
DMC:P or DMC:PRE for moving the date to the preceding working day
Default value: The value of the DMC keyword of the "BOND" category
EMC
End-of-month convention used when the maturity date falls on the last day of a month
{D, DEF, L, LAST, S, SAME, L28}
EMC:D or EMC:DEF for the value in Default Settings
EMC:L or EMC:LAST for Last
EMC:S or EMC:SAME for Same
EMC:L28 to match Hong Kong bond requirements: They ignore the 29th of February for
cash flow payment. This particularity affects semi-annual bonds maturing on the 31st of
August. Coupons are paid every 31st of August and every 28th of February. In case of a
leap year the cash flow is still paid the 28th and not the 29th
Default value: EMC:LAST
FAD
First amortization date {DDMMMYY}
FAD:DDMMMYY where DDMMMYY is the first amortization date
Default value: No first amortization date defined
FCV
First coupon nominal value {i (where i is numeric)}
FCV:i where i is the first coupon nominal rate for irregular coupons
(the bond issue date must also be specified using ISSUE)
Default value: All coupons are regular so FCV has no meaning
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BondStructure
Keyword Explanation
FRCD
First Regular Coupon Date for odd first coupon {DDMMMYY}
FRCD:DDMMMYY where DDMMMYY is the first regular coupon date.
Default value: No first regular coupon date defined
FRQ
Frequency of the coupon payments {i {28D, 91D, 182D, 364D, 1, 2, 4, 12}} (see the Notes
section below)
FRQ:28D to define a coupon payment every 28 days from the maturity date
FRQ:1 to define an annual coupon payment from the maturity date
FRQ:2 to define a semi-annual coupon payment from the maturity date
FRQ:4 to define a quarterly coupon payment from the maturity date
FRQ:12 to define a monthly coupon payment from the maturity date
FRQ:DDMMMYY:i to define a frequency of i from date DDMMMYY
IC
Irregular first coupon {L1, L1R, S1, S1P, S1R, NBC}
(the bond issue date must also be specified using ISSUE or DATED)
Frequency of the coupon payments {i {28D, 91D, 182D, 364D, 1, 2, 4, 12}} (see the Notes
section below)
IC
Default value: FRQ:1
252
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BondStructure
Keyword Explanation
IC
IC:L1 for long first coupon (first coupon date equal to second anniversary date)
IC:L1R for long first coupon with regular nominal value and starting accrued date equal
to first anniversary date (SPGB)
IC:S1 for short first coupon (first coupon date equal to first anniversary date)
IC:S1P for short first coupon with proportional value (BTAN)
IC:S1R for short first coupon with regular nominal value
IC:NBC for NBC first coupon
Default value: IC:S1
[email protected]
INTCAP
Capitalization rate of a bond {DDMMYYYY:DDMMYYYY:i where i is numeric}
INTCAP:DDMMYYYY:DDMMYYYY to set the start and end dates between which all coupons
are paid and the bond is fully capitalized
INTCAP:DDMMYYYY:DDMMYYYY:i to set the start date, end date and capitalization rate
Default value: No capitalization rate is defined
ISSUE
Issue date {DDMMMYY}
ISSUE:DDMMMYY where DDMMMYY is the bond issue date for irregular coupons
Default value: All coupons are regular (the issue date is aligned with the maturity date
on the coupon frequency)
LOCK
Lockout period in settlement date calculations {iWD with i>0} (see the Notes section
below)
LOCK:iWD for i working days
LRCD
Last regular coupon date for odd last coupon {DDMMMYY, JGB}
LRCD:DDMMMYY where DDMMMYY is the last regular coupon date
LRCD:JGB to handle automatically odd last coupons for JGBs
MDADJ
MDADJ:N for None
NC
Normalization of the capital {YES, NO}
YES for the use of the remaining capital
NO for the use of the initial capital
Default value: NC:NO
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BondStructure
Keyword Explanation
NOTIONAL Face value of the bond {i, expressed in the bond currency}
NOTIONAL:i indicates that the face value of the bond is equal to i
Default value: NOTIONAL:1
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PPMT
Partial payment for partly paid bond {DDMMMYY:i with i<=1}
PPMT:DDMMMYY:i to indicate that i are paid at the date DDMMMYY
Default value: The bond is completely paid at the issue date
PUT
Puttable bond {DDMMMYY:i, DMMMYY:DDMMMYY:i (where i is numeric)}
PUT:DDMMMYY:i to indicate that the bond holds a European put option whose expiry
date is DDMMMYY and strike clean price is i
PUT:DDMMMYY:DDMMMYY:i to indicate that the bond holds an American put option
between DDMMMYY and DDMMMYY and whose strike clean price is i
Default value: The bond is not puttable
PX
Price type parameter {C, G}
PX:C for clean price
PX:G for gross price
Default value: The value of the PX keyword of the "BOND" category
PXRND
Rounding mode of the output price {NO} or {i (where i is numeric): {UP, DOWN, NEAR}}
PXRND:NO if no rounding is requested.
PXRND:i:{UP, DOWN, NEAR} for rounding to the precision defined by i
Default value: PXRND:NO if no rounding is requested
PXRND:i:NEAR if i is specified
REFDATE
Reference date in cash flow dates generation {MATURITY, ISSUE}
REFDATE:ISSUE for using the issue date as reference date.
REFDATE:MATURITY for using the maturity date as reference date
Default value: REFDATE:MATURITY
RP
Redemption price {i (where i is numeric) (1=100%)}
RP:i for a ratio equal to i
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BondStructure
Keyword Explanation
[email protected]
RT
Reimbursement type {B, C{:i}, Sj{:i} where i is numeric (1=100%) and j from 1 to 8,
P}
RT:B for bullet or in fine
RT:C for constant payments
RT:C:i for constant payments equal to i except for the last cash flow which is adjusted
RT:Sj for j series
RT:Sj:i for j series and constant payments equal to i except for the last cash flow
which is adjusted
RT:P for perpetual bonds
SETTLE
Settlement date calculation rule {AUT, INTL, JAP, RSA, iD, iDF, iDM, iDN, iDP, iWD with i
from 1 to 9}
SETTLE:AUT for the Austrian settlement rule
SETTLE:INTL for the International settlement
SETTLE:JAP for the Japanese settlement rule
SETTLE:RSA for the South-African settlement
SETTLE:iD for i calendar days and the default date moving convention
SETTLE:iDF for i calendar days and the following date moving convention
SETTLE:iDM for i calendar days and the modified following date moving convention
SETTLE:iDN for i calendar days and no date moving convention
SETTLE:iDP for i calendar days and the preceding date moving convention
SETTLE:iWD for i working days
(the calendar used must also be specified using CLDR)
STEP
Coupon rate pattern for stepped coupon bonds {DDMMMYY:i (where i is numeric)}
STEP:DDMMMYY:i where i is the nominal coupon rate starting from the date DDMMMYY
TAX
Taxation for yield/price calculation {i:j where i and j are numeric (1=100%)}
TAX:i:j to specify a taxation of i on the coupons and j on the capital
TC
Tax credit when the redemption price is less than the taxed price {NO, YES}
(the taxation rate must also be specified using TAX)
TC:NO to ignore the tax credit
TC:YES to adjust the redemption price with the tax credit
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BondStructure
Keyword Explanation
Examples
TP
Price used for capital gain taxation when different from the actual bond price {i (where
i is numeric) (1=100%)}
(the taxation rate must also be specified using TAX)
TP:i for a price equal to i
XD
Ex-dividend calculation {no value, NO, YES, iD, iWD, AUT, DEN}
XD or XD:YES to force ex-dividend calculations (exclude the right to the next coupon)
XD:NO to force cum-dividend calculations (grant the right to the next coupon)
XD:iD for an ex-dividend period of i calendar days
XD:iWD for an ex-dividend period of i working days
XD:AUT for the Austrian ex-dividend period
XD:DEN for the Dane ex-dividend period
YLDRND
Rounding mode of the output yield {NO} i (where i is numeric) : {UP, DOWN, NEAR}}
YLDRND:NO if no rounding is requested.
YLDRND:i:{UP, DOWN, NEAR} for rounding to the precision defined by i
YM
Rate style associated to the bond {YM}
To specify the rate style that corresponds to the bond calculation methods (for example
yield, price, derivatives)
ACC:A5 FRQ:2 XD:7WD CLDR:UKG SETTLE:1D is the structure stored for UK gilts in the bond
database.
ACC:AA RND:3 CLDR:FRA SETTLE:3WD is the structure stored for French OATs in the bond
database.
CALL:01Jan00:01Jan01:1.2 describes an American call option between 01-Jan-2000 and
01-Jan-2001, the call strike will be 120% of the face value.
PUT:01Jan00:01Jan01:1.2 describes an American put option between 01-Jan-2000 and
01-Jan-2001, the put strike will be 120% of the face value
CALL:01Jan01:1.2 describes a European call option whose expiry date is 01-Jan-2001, the call
strike will be 120% of the face value.
PUT:01Jan01:1.2 describes a European put option whose expiry date is 01-Jan-2001, the put
strike will be 120% of the face value.
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CalcMethod
AMORT:04Jan00:0.5 AMORT:04Jan03:0.5 NC:YES describes a bond. If it is evaluated the
2001,10th February, its price will be approximately 100%. With “NC:NO” instead of “NC:YES”,
its price will be approximately 50%.
If start date and end date are the same, the optio
Reuters
PowerPlus Pro
4.0
To match results in PowerPlus Pro 4.0, you must use the following default configurations. All other
configurations are impossible.
Is NOTIONAL used?
Are AMORT and PPMT
used?
RT has the value
NC has the value
YES
NO
B
NO
YES – Unique value
YES
B
NO
NO
YES
B
YES for sinking funds
NO for LATAM bonds
NO
NO
C
or S
YES
.
CalcMethod
CalcMethod is used as argument in functions of the Adfin Bonds module to define the calculation
method.
CalcMethod is a string consisting of a series of parameters. Each set of parameters consists of a
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CalcMethod
Structure
Keyword Explanation
CF
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Cash flow mode to choose between analytic pricing and cash flow {CLDR, NO, NULL, WE,
YES}
CF:CLDR for cash flow pricing using the calendar defined by the keyword CLDR (if no
calendar is defined, CLDR:WEEKEND is used)
CF:NO for analytic pricing (for example from the bond structure)
CF:NULL for cash flow pricing using the calendar NULL
CF:WE for cash flow pricing using the calendar WEEKEND
CF:YES for cash flow pricing using the calendar defined in Default Settings
Default value: Calculation with cash flows
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CalcMethod
Keyword Explanation
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CM
Yield calculation method {00, A0, A0D, A25D, A5, A5D, AA, BFM, DISCA0, DISCA5, E0, JAP,
MMBA0, MMBA5, MMDA0, MMDA5, MMMA0, MMMA5, MMPA0, MMPA5, MOOS, TRE, UDI, W252}
CM:00 for 30/360
CM:A0 for Actual/360
CM:A0D for Actual/360 (day-based)
CM:A25D for Actual/365.25 (day-based)
CM:A5 for Actual/365
CM:A5D for Actual/365 (day-based)
CM:AA for Actual/Actual
CM:BFM for Braess/Fangmeyer
CM:DISCA0 for discount Actual/360
CM:DISCA5 for discount Actual/365
CM:E0 for 30E/360 ISMA
CM:JAP for Japanese
CM:MMBA0 for money market bullet Actual/360 (formerly CM:MMA0)
CM:MMBA5 for money market bullet Actual/365 (formerly CM:MMA5)
CM:MMDA0 for money market direct discounting Actual/360
CM:MMDA5 for money market direct discounting Actual/365
CM:MMMA0 for money market medium term CD Actual/360
CM:MMMA5 for money market medium term CD Actual/365
CM:MMPA0 for money market proceeds Actual/360
CM:MMPA5 for money market proceeds Actual/365
CM:MOOS for Moosmüller
CM:TRE for Treasuries
CM:UDI for Udibonos
CM:W252 for Actual Working days/252
Default value: No default value is defined
CMP
Compounding frequency for cash flow pricing {EY, FRQ, YEARLY}
CMP:EY for using the frequency defined by the EY keyword
CMP:FRQ for using the frequency defined by the FRQ keyword
CMP:YEARLY for a yearly frequency
Default value: CMP:YEARLY
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CalcMethod
Keyword Explanation
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DCB
Day count basis {00, A0, A0D, A25D, A5, A5D, AA, E0, W252}
DCB:00 for 30/360 (period-based calculation)
DCB:A0 for Actual/360 (period-based calculation)
DCB:A0D for Actual/360 (day-based calculation)
DCB:A25D for Actual/365.25 (day-based calculation)
DCB:AA for Actual/Actual (period-based calculation)
DCB:E0 for 30E/360 ISMA (period-based calculation)
DCB:W252 for Actual Working days/252
Default value: The value of the DCB keyword of the "RATEMODEL" category
EY
Equivalent yield parameter {1, 12, 182D, 2, 28D, 364D, 4, 91D, M, Q, S, Y}
EY:1 or EY:Y for yearly
EY:12 or EY:M for monthly
EY:182D for a compounding every 182 days
EY:2 or EY:S for semi-annual
EY:4 or EY:Q for quarterly
Default value: The value of FRQ for functions using a BondStructure Argument
EY:1 for functions using cash flows
IM
Interpolation method {CUBD, CUBR, LIN, LIX, LOG, VOL}
IM:CUBD for cubic spline discount factor interpolation
IM:CUBR for cubic spline rate interpolation
IM:LIN for linear interpolation without extrapolation
IM:LIX for linear interpolation with extrapolation
IM:LOG for loglinear interpolation
IM:VOL for linear interpolation on volatility curves
Default value: The value of the IM keyword of the "RATEMODEL" category
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CalcMethod
Keyword Explanation
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LAY
Default value: The value of the LAY keyword of the "RATEMODEL" category
LLP
Linear last period parameter {00{:i}, A0{:i}, A5{:i}, AA{:i}, E0{:i}, NO with i as
integer}
LLP:00 for 30/360 for the last period only
LLP:00:i for 30/360 for the i last periods
LLP:A0 for Actual/360 for the last period only
LLP:A0:i for Actual/360 for the i last periods
LLP:AA for Actual/Actual for the last period only
LLP:AA:i for Actual/Actual for the i last periods
LLP:E0 for 30E/360 for the last period only
LLP:E0:i for 30E/360 for the i last periods
LLP:NO for defining no special processing of the last period(s)
Default value: LLP:NO
ND
Null date processing {DIS, ERR}
ND:DIS to discard null dates from the date array
ND:ERR to generate error messages for a null date in the date array
Default value: The value of the ND keyword of the "RATEMODEL" category
OBC
Out of boundary interpolation check {no value, NO, YES}
OBC or OBC:YES to verify if the date to interpolate is within the range of the date array
used (otherwise an error is returned)
OBC:NO to perform no check (an extrapolated value is returned if the date is out of the
array boundaries)
Default value: The value of the OBC keyword of the "RATEMODEL" category
PX
Default value: PX:G
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CalcStructure
Keyword Explanation
SHIFT
Yield change value {i (where i is numeric)}
SHIFT:i for a yield change equal to i
Default value: SHIFT:0.0001
SPREAD
Credit spread flag {no value, NO, YES}
SPREAD or SPREAD:YES to enable the credit spread in the calculation
SPREAD:NO to disable the credit spread in the calculation
Default value: SPREAD:NO
XD
Default value: Calculation on an ex-dividend basis for ex-dividend periods
YTM
Yield type for callable/puttable bonds {AUTO, BEST, MATURITY, WORST}
YTM:AUTO to adapt the calculation of the yield to the structure (yield to maturity for a
standard bond or callable and puttable, yield to worst for callable bonds, yield to best for
puttable bonds)
YTM:BEST to force the calculation of the yield to best
YTM:MATURITY to force the calculation of the yield to maturity
YTM:WORST to force the calculation of the yield to worst
Default value: YTM:AUTO
ZCTYPE
Zero-coupon yield curve {DF, RATE}
ZCTYPE:DF to use discount factors
ZCTYPE:RATE to use zero-coupon rates
Default value: The value of the ZCTYPE keyword of the "RATEMODEL" category
CalcStructure
CalcStructure is used as argument in Adfin Analytics functions to define the calculation methods
available for pricing instruments.
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CalcStructure
CalcStructure is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
[email protected]
Keyword Explanation
ANP
Avoiding negative probabilities in the evaluation model {NO, YES}
ANP:NO to use the standard model
ANP:YES to use the modified version of the model avoiding negative probabilities
Default value: ANP:NO
CMT
Calculation model type {TREE, FD, FORM}
CMT:TREE for model using a tree (Cox, Ross, and Rubinstein and Trinomial models)
CMT:FD for model using the finite differences method
CMT:FORM for model using a formula
Default value: CMT:FORM
CONV
Calculation method of the convexity {MIDDLE, VOL}
Default value: CONV:MIDDLE
COR
Correlation coefficient between the instantaneous stock rate and the absolute changes
of the interest rate {i, where i is numeric}
COR:i where i is the correlation coefficient
Default value: COR:0
DCP
Current payment parameter for cap, or floor functions {NO, YES}
DCP:NO to keep the current caplet, or floorlet
DCP:YES to skip the current caplet, or floorlet
Default value: DCP:NO
DUR
Calculation method of the duration {MIDDLE, RIGHT}
Default value: DUR:MIDDLE
FT
Formula type {BS, CEV, WHALEY}
FT:BS to use the Black & Scholes Model if CMT:FORM
FT:CEV to use the Constant Elasticity of Variance Model if CMT:FORM
FT:WHALEY to use the Whaley Model if CMT:FORM
Default value: FT:BS
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CapFloorStructure
Keyword Explanation
NBBRANCH
Number of branches in the tree {2, 3}
NBBRANCH:2 if CMT:TREE
NBBRANCH:3 if CMT:TREE
Default value: 2
NBFACTOR
Number of factors for the calculation method, if CMT:TREE or CMT:FD is used {1, 2}
NBFACTOR:1 if CMT:TREE or CMT:FD for one factor
NBFACTOR:2 if CMT:TREE for two factors
Default value: 1
PVBP
Calculation method of the PVBP {MIDDLE, RIGHT}
Default value: PVBP:MIDDLE
SOLVER
Calculation method of the implied volatility of equity options (Vanilla, capped,
Composite, Quanto, and warrants) {NEWTON, RIDDER, DICHO} (see the Notes section
below)
SOLVER:NEWTON to use the Newton-Raphson method
SOLVER:RIDDER to use the Ridder method
SOLVER:DICHO to use the dichotomy method
TITER
Number of discrete time steps {i, where i is numeric} (see the Notes section below)
TITER:i where i is the number of steps
Default value: 30 for one factor trees (NBFACTOR:1) and for finite differences method.
15 for two factors trees (NBFACTOR:2)
VOL
Calculation method of the volatility {MIDDLE, RIGHT}
Default value: VOL:MIDDLE
VOLAT
Starting volatility value for implied volatility calculations {i, where i is numeric}
VOLAT:i where i is the starting value
Default value: VOLAT:0.1
CapFloorStructure
CapFloorStructure is used as argument in functions of the Adfin Options module to define the
structure of a cap, a floor or a collar.
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CapFloorStructure
CapFloorStructure is a string consisting of a series of parameters. Each set of parameters
consists of a keyword, a colon (:), and the value of the keyword. The parameter sets are separated
by a blank space. However, certain keywords are used on their own and do not require a value. A
keyword can also have several values, all separated by colons.
Structure
All keywords of the BondStructure Argument are used in CapFloorStructure. The following
keywords have been added:
Keyword Explanation
[email protected]
CAP
Specifies that the instrument structure defines an interest rate cap {no value}
CAP to specify an interest rate cap
CCM
Specifies the type of the yearly rates (Strike and forward rate) {00, A0, A0D, A25D, A5,
A5D, AA, CONT, DAYA0, DAYA5, DISCA0, DISCA5, DF, E0, IAM, MMA0, MMA5, MMA0, MMAA, MME0,
MMNL0, MMNL5}
CCM:00 for 30/360
CCM:A0 for Actual/360
CCM:A0D for Actual/360 (daily compounding)
CCM:A25D for Actual/365.25 (daily compounding)
CCM:A5 for Actual/365
CCM:A5D for bond Actual/365 (daily compounding)
CCM:AA for Actual/Actual
CCM:CONT for continuous
CCM:DAYA0 for daily Actual/360
CCM:DAYA5 for daily Actual/365
CCM:DISCA0 for discount Actual/360
CCM:DISCA5 for discount Actual/365
CCM:DF for discount factor
CCM:E0 for 30E/360 ISMA
CCM:IAM for interest at maturity
Default value: CCM:MMA0
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CapFloorStructure
Keyword Explanation
266
CFADJ
CFADJ:YES to specify that the cash flow values are adjusted with the payment date
CFADJ:NO to specify that the cash flow values are not adjusted
CLDR
Calendar parameter for expiry date and dividend date adjustments {calendars}
CLDR:calendars to assign one or more calendars used for moving dividend dates if they
fall on non-working days
COLLAR
Specifies that the instrument structure defines a collar {no value}
COLLAR to specify a collar option
CONVBIAS
Specifies whether the convexity bias is made or not {YES, NO} (see the Notes section
below)
CONVBIAS:YES to make the adjustment
CONVBIAS:NO not to make the adjustment
Default value: CONVBIAS:NO
DMC
month is used)
DMC:N or DMC:NONE for no date moving
Default value: DMC:F
FAD
FIXING
Reset frequency of the forward rate of the option {i, where i is numeric} (see the Notes
section below)
FIXING:i to specify that the forward rate is reset i times during the lifetime of the option
Default value: FIXING:0
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CapFloorStructure
Keyword Explanation
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FLOOR
Specifies that the instrument structure defines a floor {no value}
FLOOR to specify a floor option
FRQ
Frequency of caplets, or floorlets {1, 12, 2, 4, A, M, Q, S}
FRQ:1 or FRQ:A for annual
FRQ:12 or FRQ:M for monthly
FRQ:4 or FRQ:Q for quarterly
FRQ:2 or FRQ:S for semi-annual
KI
Knock in barrier flag {no value}
KI to specify a knock in or double knock in Barrier cap or floor
Default value: No barrier is defined
KO
Knockout barrier flag {no value}
KO to specify a knockout or double knockout Barrier cap or floor
PAYMENT
Payment time of the cash flow payoff {START, END} (see the Notes section below)
PAYMENT:START to specify that the payoff is received at the beginning of the associated
protection period
PAYMENT:END to specify that the payoff is received at the end of the associated
protection period
Default value: PAYMENT:END
REFDATE
Reference date for coupon date generation {MATURITY, ISSUE}
REFDATE:ISSUE to specify the issue date as the reference date
REFDATE:MATURITY to specify the maturity date as the reference date
RESET
Defines when the forward rate is reset {ADVANCE, ARREARS} (see the Notes section
below)
RESET:ADVANCE to specify that the forward rate is reset in advance
RESET:ARREARS to specify that the forward rate is reset in arrears
Default value: RESET:ADVANCE
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CdsStructure
CdsStructure
CdsStructure is used as argument in functions of the Adfin Credit module to define the structure of
a credit default swap.
CdsStructure is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
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Keyword
Explanation
AMORT
Notional principal amortization pattern for amortizing swaps {DDMMMYY:i (where i is
numeric)}
Default value: The notional principal amount is fixed during the swap life
AOD
Specifies whether the accrued is paid at the credit event date or not {YES, NO} (see the
Notes section below)
AOD:YES means that the accrued is paid at the credit event date
AOD:NO means that the accrued is not paid at the credit event date
Default value: AOD:NO
ARND
NEAR}}
ARND:i:{UP,DOWN,NEAR} for rounding to the precision defined by i
Default value: ARND:NO if no rounding is specified
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CdsStructure
[email protected]
Keyword
Explanation
CCM
MME0, MMNL0, MMNL5, 00D, A0D, A5D, E0D, 00, A0, A5, AA, E0}
CDSTYPE
Specifies the type of the credit default swap {AMERCDS, EURCDS}
CDSTYPE:AMERCDS to indicate that the credit default swap has an American exercise
mode
CDSTYPE:EURCDS to indicate that the credit default swap has a European exercise mode
Default value: CDSTYPE:AMERCDS
CFADJ
Cash Flow (Value) Adjustment{YES, NO}
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CdsStructure
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Keyword
Explanation
CLDR
CPLAG
Contingent payment delay {iWD, where i is numeric} (see the Notes section below)
CPLAG:iWD to define the number of days that separate the credit event time from the
contingent payment time
Default value: CPLAG:0WD
CRND
CUR
Currency parameter for currency swaps {currencies}
CUR:currency to assign the currency for the current leg
DATED
Default value: No dated date is defined
DMC
month is used)
DMC:N or DMC:NONE for no moving date
Default value: The value of the DMC keyword of the "IRS" category
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CdsStructure
[email protected]
Keyword
Explanation
EMC
EMC:L or EMC:LAST for last
EMC:S or EMC:SAME for same
cash flow payment. This affects semi-annual bonds maturing on the 31st of August.
Coupons are paid every 31st of August and every 28th of February. In case of a leap
year the cash flow is still paid the 28th and not the 29th
Default value: The value of the EMC keyword of the "IRS" category
FRCD
FRCD:DDMMMYY where DDMMMYY is the first regular coupon date
FRQ
Frequency of the coupon payments {i {28D, 91D, 182D,364D, 1, 2, 4, 12}}
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CdsStructure
Keyword
Explanation
IC
Irregular first coupon type for asset swaps combined with bonds with an irregular first
coupon {L1, L1R, S1, S1P, S1R, NBC}
(the bond issue date must also be specified using DATED)
LBOTH
Swap attribute specification flag {no value}
LBOTH to specify that the following keywords apply to both legs
LFIXED
Fixed leg attribute flag {no value}
LFIXED to specify that the following keywords apply to the fixed leg only
LFLOAT
Floating leg attribute flag {no value}
LFLOAT to specify that the following keywords apply to the floating leg only
LPAID
Paid leg attribute flag {no value}
LPAID to specify that the following keywords apply to the paid leg only
LRCD
LRCD:JGB to handle odd last coupons for JGBs automatically
Default value: All coupons are regular so LRCD has no meaning
LRECEIVED Received leg attribute flag {no value}
LRECEIVED to specify that the following keywords apply to the received leg only
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CdsStructure
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Keyword
Explanation
LTYPE
Type of the current leg {FIXED, FLOAT}
LTYPE:FIXED to define that the current leg is a fixed leg
LTYPE:FLOAT to define that the current leg is a floating leg
Default value: No leg type is defined (mandatory keyword for both legs)
MDADJ
MDADJ:N for No maturity date adjustment
NOTIONAL
Notional principal amount used for interest payments {i (where i is numeric)}
NOTIONAL:i for a notional principal equal to i units of currency
PDELAY
Payment delay {i, with i as integer}
PDELAY:i to apply a payment delay of i working days after the calculation period end
date
Default value: PDELAY:0
REFDATE
REFDATE:ISSUE to use the issue date as reference date
REFDATE:MATURITY to use the maturity date as reference date
RND
Coupon rounding for accrued calculation {2, 3, 4, 5, 6, NO}
For backward compatibility reasons, this keyword is still supported
RND:2 for 2-decimal rounding
RND:NO for no rounding
Default value: RND:NO
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ConvMode
Keyword
Explanation
RP
Redemption price ratio {i (where i is numeric) (1=100%)}
Default value: RP:1 (for 100%)
RT
Reimbursement type {B, C{:i}, Sj{:i} where i is numeric (1=100%) and j from 1 to 8}
RT:Sj for j series
which is adjusted
Default value: RT:B
ConvMode
ConvMode is used as argument in functions of the Adfin Bonds module to define the so-called
deliverable bond oddities.
Depending on the type of the bond futures contract specified in the argument BondFutStructure,
the calculation of the conversion factor is or is not be impacted by bond oddities such as an
ex-dividend feature or an odd first coupon. If the calculation is not impacted, the ConvMode argument
should be left blank (empty string). If the calculation is impacted, the ConvMode argument should
contain relevant BondStructure and RateStructure keywords (generally CM, EY, IC, ISSUE, FRQ,
XD) to adjust the calculation with the deliverable bond oddities.
ConvStructure
ConvStructure is used as argument in functions of the Adfin Bonds module to define the structure
of a convertible bond.
ConvStructure is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
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All keywords of the Argument are used in ConvStructure. The following keywords have been
added:
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ConvStructure
Example
Keyword
Explanation
AOC
Flag to determine if the accrued interest is paid on conversion {YES, NO}
Default value: AOC:NO
CONVRATIO
Conversion ratio {DDMMYY:DDMMYY:i (where i is numeric)}
CONVRATIO:DDMMYY:DDMMYY:i to indicate that the conversion ratio is equal to i
between the two dates.
Default value: CbSettledate:CbMaturity:1
CROSS
Cross currency parameter {currency1currency2}
CROSS:currency1currency2 to define the underlying cross currency.
Default value: No default value
DIVTYPE
Dividend type {CONT, DISC, FIXED, PROP} (see the Notes section below)
DIVTYPE:CONT for continuous dividends
DIVTYPE:DISC for discounted dividends
DIVTYPE:PROP for proportional dividends
Default value: DIVTYPE:CONT
HURDLE
Soft calls management parameter {DDMMMYY:DDMMMYY:i:j}
HURDLE:DDMMMYY:DDMMMYY:i:j to indicate that the convertible bond can be
repurchased during this period at a price equal to (j*Face Value), if the stock price
exceeds (i*Face Value)
IOTYPE
Specifies the format of function inputs and outputs {CASH, PERCENT} (see the Notes
section below)
IOTYPE:CASH determines that inputs and outputs are expressed in their current
currency.
IOTYPE:PERCENT determines that inputs and outputs are expressed as a percentage
of the face value.
Default value: IOTYPE:PERCENT is the default value for all other bonds
CONVRATIO:01Jan00:01Jan01:1.2 means that the conversion period starts at 01Jan00 and
ends at 01JAN01, and the conversion ratio is equal to 1.2 between the two dates.
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CreditStructure
IOTYPE keyword
The IOTYPE keyword is used to describe the format of the following inputs and outputs in the Adfin
convertible functions
Functions
Inputs
Outputs
AdConvBdDeriv
Straight Value
AdConvCalcCpn
Accrued Interest and Next
Coupon Value
AdConvCashFlows
Coupon Values and Principal
AdConvImpliedVol
Price of the convertible bond
Equity Premium, Option
Premium, Total Premium,
Break-even, and Straight Value
AdConvPrice
Price of the convertible bond
AdConvYiel
CreditStructure
CreditStructure is used as argument in functions of the Adfin Credit module to define the structure
of the credit model of the credit default swap.
CreditStructure is a string consisting of a series of parameters. Each set of parameters consists
Structure
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Keyword
Explanation
APPROX
Specifies whether the calibration of the Cox, Ingersoll, and Ross model uses the
approximated formula or not {YES, NO} (see the Notes section below)
APPROX:YES to use the approximated formula in the calibration of the Cox, Ingersoll,
and Ross model
APPROX:NO to use the exact formula in the calibration of the Cox, Ingersoll, and Ross
model
Default value: APPROX:YES
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CreditStructure
Keyword
Explanation
CREDITEVENT Specifies the rating, which corresponds to the credit event {i, where i is numeric} (see
the Notes section below)
CREDITEVENT:i to indicate that the instrument rating becomes the one in the ith
column at the credit event date
Default value: The default value is the rating, which corresponds to the default state
[email protected]
IM
INSTTYPE
Credit model calibration {CDS, DF} (see the Notes section below)
INSTYPE:CDS to calibrate the model by using a credit default swap curve
INSTTYPE:DF to calibrate the model by using a credit zero-coupon curve
Default value: INSTTYPE:CDS
NBDAYS
Specifies the number of days per discrimination interval for pricing of American credit
default swaps {i, where i is numeric}
NBDAYS:i to specify that the discrimination interval is i days
Default value: NBDAYS:3
ND
OBC
array boundaries)
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CrossStructure
Keyword
Explanation
RATING
Issuing firm rating, expressed as the column number in the transition matrix {j, where
i is numeric} (see the Notes section below)
RATING:i to indicate that the instrument rating is the one of the ith column
Default value: The default value is the highest rating of the transition matrix
RECOVERY
Recovery rate value, expressed as a percentage {i, where i is numeric} (see the
RECOVERY:i to indicate that the recovery rate is i, expressed as a percentage
Default value: RECOVERY:0
RISKMODEL
Type of the credit model {CIR, CURVE}
RISKMODEL:CIR to indicate that the credit model is provided by the Cox, Ingersoll, and
Ross model
RISKMODEL:CURVE to indicate that the credit model is provided by the credit event
probability curve
Default value: RISKMODEL:CURVE
CrossStructure
CrossStructure is used as argument in functions of the Adfin Forex & MM module. It defines the
underlying structure of a cross currency and is only used for the style table "CROSS".
CrossStructure is a string consisting of a series of parameters. Each set of parameters consists of
a keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
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CrossStructure
Structure
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Keyword
Explanation
CRDEC
Cross rate decimals {0, 1, 2, 3, 4, 5, 6, 7, 8, 9}
CRDEC:0 for 0 decimal
CRDEC:2 for 2 decimals
Default value: No default value defined
FROM
Date calculation origin for FxCalcPeriod {MMSPOT, MMTRADE, FXSPOT, FXTRADE}
FROM:MMSPOT to use the spot date as origin and the Money market spot offset
FROM:MMTRADE to use the trading date as origin and the Money market spot offset
FROM:FXSPOT to use the spot date as origin and the Forex market spot offset
FROM:FXTRADE to use the trading date as origin and the Forex market spot offset
Default value: FROM:FXTRADE
QU
Quotation unit{1, 10, 100, 1000, 10000}
QU:1 for 1
QU:10 for 10
QU:100 for 100
QU:1000 for 1000
QU:10000 for 10000
QM1
Quotation mode of the first currency versus the base currency when different from USD
{DIRECT, INDIRECT}
QM1:DIRECT for direct quotation
QM1:INDIRECT for indirect quotation
Default value: QM1:DIRECT
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CsStructure
Keyword
Explanation
QM2
Quotation mode of the second currency versus the base currency when different from
USD {DIRECT, INDIRECT}
SPDEC
Swap point decimals {0, 1, 2, 3, 4, 5, 6, 7, 8, 9}
SPDEC:0 for 0 decimal
SPDEC:2 for 2 decimals
SWPR
Swap point ratio {1, 10, 100, 1000, 10000}
SWPR:1 for 1
SWPR:10 for 10
SWPR:100 for 100
SWPR:1000 for 1000
SWPR:10000 for 10000
CsStructure
CsStructure is used as argument in functions of the Adfin Swaps module to define the structure of
a currency swap.
CsStructure is a string consisting of a series of parameters. Each set of parameters consists of a
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CsStructure
Structure
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Keyword
Explanation
AMORT
numeric)}
AMORT:DDMMMYY:i to indicate that i are redeemed at the date DDMMMYY
CCM
Default value: CCM:BBE0 for the fixed leg, or CCM:MMA0 for the floating leg
CFADJ
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CsStructure
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Keyword
Explanation
CLDR
Calendar parameter for coupon date adjustments {calendars}
CLDR:calendars to assign one or more calendars used for moving coupon dates if they
CROSS
Cross-currency parameter for currency swaps {cross-currencies}
CROSS:crosscurrency to define the underlying cross-currency
Default value: No cross-currency is defined (mandatory keyword common to both
legs)
CUR
Currency parameter for currency swaps {currencies}
CUR:currency to assign the currency for the current leg
Default value: No currency is defined (mandatory keyword for both legs)
DATED
Dated date for asset swaps combined with bonds with an irregular first coupon
{DDMMMYY}
DMC
Date moving convention used when a calculated date falls on a non-working day {F,
FOL, M, MOD, N, NONE, P, PRE}
month is used)
EMC
End-of-month convention used when a calculation date falls on the last day of a month
{L, LAST, S, SAME}
EMC:L or EMC:LAST for setting the calculated date to the last working day
EMC:S or EMC:SAME for setting the calculated date to the same day (in this latter case,
the date may be moved according to the date moving convention if it is a non-working
day)
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CsStructure
Keyword
Explanation
FRQ
Coupon frequency {0, 1, 12, 2, 4, Q, M, S, Y}
FRQ:0 for no coupon (in-fine)
FRQ:1 or FRQ:Y for yearly
Default value: FRQ:1 for the fixed leg, or FRQ:4 for the floating leg
IC
IC:NBC for NBC fist coupon
Default value: IC:S1 (this default value does not affect the first fixed cash flow unless
the dated date is not equal to the CS start date)
LBOTH
LPAID
LRECEIVED Received leg attribute flag {no value}
LTYPE
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CurStructure
Keyword
Explanation
NOTIONAL
Default value: NOTIONAL:1 (all interest payments are returned in percentage i.e. for a
principal equal to one unit of currency)
PDELAY
date
PEX
Notional principal exchange parameter {BOTH, END, NONE, START}
PEX:BOTH to exchange the notional principal at the swap start date and maturity date
PEX:END to exchange the notional principal at the swap maturity date only
PEX:NONE for no exchange of the notional principal
PEX:START to exchange the notional principal at the swap start date only
Default value: PEX:BOTH
CurStructure
CurStructure is used as argument in functions of the Adfin Forex & MM module. It defines the
underlying structure of a currency and is only used for the style table "CUR".
CurStructure is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
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Keyword
Explanation
CLDR
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DefStructure
Keyword
Explanation
DTM
Number of working days from trade date to MM spot date {0, 1, 2, 3, 4, 5}
DTM:0 for 0 working day
DTM:2 for 2 working days
DTS
Number of working days from trade date to Forex spot date {0, 1, 2, 3, 4, 5}
DTS:0 for 0 working day
DTS:2 for 2 working days
QM
Quotation mode versus the USD {DIRECT, INDIRECT}
QM:DIRECT for direct quotation
QM:INDIRECT for indirect quotation
YB
Money market year basis {360, 365}
YB:360 for 360 days
YB:365 for 365 days
DefStructure
DefStructure is used as argument to define the default settings that apply within one Adfin default
settings category specified by the argument DefCategory .
DefStructure is a string consisting of a series of parameters. Each set of parameters consists of a
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DefStructure
Following are the descriptions of DefStructure argument for each category.
Structure for
BOND Category
Structure for
CLDR Category
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The attributes listed below must be used with the DefCategory argument set to "BOND".
Keyword
Explanation
CFADJ
DMC
month is used)
EMC
cash flow payment. This particularity affects semi-annual bonds maturing on the 31st
of August. Coupons are paid every 31st of August and every 28th of February. In case
of a leap year the cash flow is still paid the 28th and not the 29th
PX
Price parameter{C, G}
The attributes listed below must be used with the DefCategory argument set to "CLDR".
Keyword
Explanation
YBACKWARD
Number of years before current year used for holiday calculation {i with i as integer}
YBACKWARD:i for calculating holidays from i years backward
YFORWARD
Number of years after current year used for holiday calculation {i with i as integer}
YFORWARD:i for calculating holidays up to i years forward
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DefStructure
Structure for
CROSS Category
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The attributes listed below must be used with the DefCategory argument set to "CROSS".
Keyword
Explanation
CRDEC
Cross rate decimals {0, 1, 2, 3, 4, 5, 6, 7, 8, 9}
QM1
Quotation mode of the first currency versus the base currency when different from
QM2
QU
Quotation unit {1, 10, 100, 1000, 10000}
QU:1 for 1
QU:10 for 10
QU:100 for 100
QU:1000 for 1000
QU:10000 for 10000
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DefStructure
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Keyword
Explanation
SPDEC
Swap point decimals {0, 1, 2, 3, 4, 5, 6, 7, 8, 9}
SWPR
Swap point ratio {1, 10, 100, 1000, 10000}
SWPR:1 for 1
SWPR:10 for 10
SWPR:100 for 100
SWPR:1000 for 1000
SWPR:10000 for 10000
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DefStructure
Structure for
CUR Category
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The attributes listed below must be used with the DefCategory argument set to "CUR".
Keyword
Explanation
DTM
DTS
Number of working days from trade date to Forex spot date {0, 1, 2, 3, 4, 5}
QM
Quotation mode versus the USD {DIRECT, INDIRECT}
QM:DIRECT for direct quotation
QM:INDIRECT for indirect quotation
YB
YB:360 for 360 days
YB:365 for 365 days
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DefStructure
Structure for
DATE Category
Structure for
FORMULA
Category
The attributes listed below must be used with the DefCategory argument set to "DATE".
Keyword
Explanation
DATEFMT
Date format for structure keywords {DMY, MDY, SYS, YMD}
DATEFMT:DMY for the DD/MM/YY format
DATEFMT:MDY for the MM/DD/YY format
DATEFMT:SYS for the system format
DATEFMT:YMD for the YY/MM/DD format
YPIVOT
Pivotal year between 19xx and 20xx for years specified with 2 digits {i with i from 0 to
100}
YPIVOT:i with i different from 100 for defining 31-Dec-(i-1) = 31-Dec-20(i-1) and
01-Jan-(i) = 01-jan-19(i)
YPIVOT:100 for defining a moving pivotal year equal to i = (current year + 50) i.e.
having 31-Dec-(i-1) = 31-Dec-20(i-1) and 01-Jan-(i) = 01-jan-19(i)
The attributes listed below must be used with the DefCategory argument set to "FORMULA".
Keyword
Explanation
CONV
Convexity {MIDDLE, VOL}
DUR
Calculation method of the duration {MIDDLE, RIGHT}
MATCORREC Type of maturity factor calculation {NO, YES}
TED
MATCORRECTED:NO for a day based maturity factor calculation (Adfin Analytics 2.50 and
earlier)
MATCORRECTED:YES for a period based maturity factor calculation
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NORMAL
Type of normal distribution {3, 6, HULL}
NORMAL:3 for a 1.0E-3 precision (Adfin Analytics 2.50 and earlier)
NORMAL:6 for a 1.0E-6 precision (Adfin Analytics 3.50)
NORMAL:HULL for the Hull algorithm
PVBP
Calculation method of PVBP {MIDDLE, RIGHT}
VOL
Calculation method of the volatility {MIDDLE, RIGHT}
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DefStructure
Structure for IDX
Category
Structure for IRS
Category
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The attributes listed below must be used with the DefCategory argument set to "IDX".
Keyword
Explanation
AVG
Index compounding method {ARI, CMP, MCA, NONE}
AVG:ARI for arithmetic average
AVG:CMP for daily compounded average
AVG:MCA for monthly compounded average
AVG:NONE for no compounding method
PERIOD
Index calculation period {ON, TN}
PERIOD:ON for overnight calculation
PERIOD:TN for Tom/Next calculation
RND
Rounding decimals for the compounded settlement rate calculation {0, 1, 2, 3, 4, 5, 6}
YB
YB:360 for a 360-day year
The attributes listed below must be used with the DefCategory argument set to "IRS".
Keyword
Explanation
CFADJ
DMC
Date moving convention used when the calculated date falls on a non-working day {F,
DMC:F or DMC:FOL for Following
DMC:M or DMC:MOD for Modified Following
DMC:N or DMC:NONE for None
DMC:P or DMC:PRE for Preceding
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DefStructure
Structure for
MMFUTURE
Category
Keyword
Explanation
EMC
End-of-month convention used when the calculation date falls on the last day of a
month {L, LAST, S, SAME}
PAID
Type of the paid leg {FIXED, FLOAT}
PAID:FIXED to define that the fixed rate is paid (and the floating rate received)
PAID:FLOAT to define that the floating rate is paid (and the fixed rate received)
The attributes listed below must be used with the DefCategory argument set to "MMFUTURE".
Keyword
Explanation
NFVP
Next fixing validity period {i, with i as integer}
NFVP:i to use the next fixing for a period of i days before the fixing date
PFVP
Previous fixing validity period {i, with i as integer}
PFVP:i to use the previous fixing for a period of i days after the fixing date
YB
YB:360 for 360 days
YB:365 for 365 days
Structure for
RATEMODEL
Category
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The attributes listed below must be used with the DefCategory argument set to "RATEMODEL".
Keyword
Explanation
CLDRADJ
Cash flow date adjustment according to a calendar {NO, NULL, WE, CLDR}
CLDRADJ:NO for analytic pricing (i.e. from the bond structure)
CLDRADJ:NULL for cash flow pricing using the calendar NULL
CLDRADJ:WEEKEND for cash flow pricing using the calendar WEEKEND
CLDRADJ:CLDR for cash flow pricing using the calendar defined by the keyword CLDR (if
no calendar is defined, CLDRADJ:WEEKEND is used)
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DefStructure
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Keyword
Explanation
DCB
Day count basis {00, A0, A0D, A25D, A5, A5D, AA, E0, JAP, NL0, NL5, W252}
DCB:JAP for Japanese (A5 or A5 + 1 day for first coupon)
DCB:NL0 for Actual No Leap/360
EY
Equivalent yield parameter {1, 12, 182D, 2, 28D, 364D, 4, 91D, M, Q, S, Y, FRQ}
EY:FRQ for a compounding defined by the FRQ keyword in the BondStructure
IM
ND
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DefStructure
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Keyword
Explanation
OBC
array boundaries)
RATEFRQ
Compounding frequency parameter {1, 12, 28D, 182D, 2, 28D, 182D, 364D, 4, 91D, M, Q,
S, Y, ZERO, EY, FRQ}
RATEFRQ:1 or RATEFRQ:Y for yearly
RATEFRQ:12 or RATEFRQ:M for monthly
RATEFRQ:182D for a compounding every 182 days
RATEFRQ:2 or RATEFRQ:S for semi-annual
RATEFRQ:4 or RATEFRQ:Q for quarterly
RATEFRQ:ZERO no compounding
RATEFRQ:EY for compounding defined by the EY keyword
RATEFRQ:FRQ for compounding defined by the FRQ keyword in the BondStructure
RATETYPE
Yield type {CMP, CONT, DISC, MM, MMB, MMM, MMP, TRE, SIMPLEJAP, CMPJAP}
RATETYPE:CMP for Actual
RATETYPE:CONT for continuous yield/rate
RATETYPE:DISC for discounted yield/rate
RATETYPE:MM for Money Market yield/rate
RATETYPE:MMB for Money Market Bullet
RATETYPE:MMM for Money Market Medium
RATETYPE:MMP for Money Market Proceed
RATETYPE:MMR for Money Market Direct Discounting
RATETYPE:TRE for US bills Treasury
RATETYPE:SIMPLEJAP for simple yield/rate
RATETYPE:CMPJAP for compounded yield/rate
ZCTYPE
Zero-coupon yield curve type {DF, RATE}
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DeMode Argument for DeHistory
Structure for
XLMODE
Category
The attributes listed below must be used with the DefCategory argument set to "XLMODE".
Keyword
Explanation
LAY
The DeMode argument of DeHistory is used to specify the data source, to format results and to
specify whether data is refreshed automatically.
DeMode is a string made up of a series of parameters, each one consisting of a keyword possibly
followed by a colon (":") and the value of the parameter. Spaces should be used to separate the
parameters in the string.
Structure
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Keyword
Description
CTU
‘Cells To Update’ keyword specifies which cells to update when the
Update action is triggered, using “DeUpdate” on page 230:
• CTU:ALL means that all cells are updated
• CTU:CHANGED means that only changed cells are updated
Default value: CTU:CHANGED
DT
Specifies the date type for time series data provided by the Equity and
Treasury sources:
• DT:D retrieves only days with values
• DT:AD retrieves data for every day
• DT:WD retrieves only weekdays (for Price History data)
Default value: DT:D
HEADER
Returned header:
• HEADER:YES specifies that headers are returned
• HEADER:NO specifies that no header is returned
Default value: HEADER:NO
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Keyword
Description
IDFM
Specifies how invalid values are replaced:
• IDFM:NA replaces any invalid data with #N/A
• IDFM:NAND replaces any invalid data with #N/A ND
• IDFM:ZERO replaces any invalid data with zeros
• IDFM:NEXT replaces any invalid data with the next valid piece of data
• IDFM:PREVIOUS replaces any invalid data with the previous valid piece
of data
Default value: IDFM:NA (if IDR:FILL is specified)
IDR
Specifies the handling of the timestamp data sequence, which contains
invalid data:
• IDR:NONE does nothing
• IDR:SKIP removes rows containing invalid data
• IDR:FILL fills rows that contain invalid data according to the IDFM
keyword
Default value: IDR:NONE
IDZ
‘Invalid Data Zero’ keyword determines whether zero values are invalid:
• IDZ:YES means that zero values are invalid
• IDZ:NO means that zero values are not invalid
Default value: IDZ:NO
LAY
Specifies the layout of the array:
• LAY:H or LAY:HOR for horizontal orientation
• LAY:V or LAY:VER for vertical orientation
Default value: LAY:HOR
NODATE
Specifies that columns containing dates are ignored:
•
•
NODATE:YES
NODATE:NO
Default value: NODATE:NO
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Keyword
Description
NULL
Specifies how to handle empty rows in a time list:
• NULL:SKIP erases any empty rows of data
• NULL:REPEAT replaces an empty row with the previous one
• NULL:NA replaces any NULL data with #N/A
• NULL:NAND replaces any NULL data with #N/A ND
• NULL:NIL puts a zero in the cell for any NULL data
Default value: NULL:SKIP
PRIORITY
Establishes a priority for the next request of the object:
• PRIORITY:HIGH for highest priority
• PRIORITY:MEDIUM for medium priority
• PRIORITY:LOW for lowest priority
Default value: PRIORITY:LOW
RECALL
Specifies the update frequency:
• RECALL:nS provides an update every n seconds (S is optional)
• RECALL:nM provides an update every n minutes
• RECALL:nH provides an update every n hours
• RECALL:NO provides no update
• RECALL:AUTO provides automatic updates
Default value: RECALL:NO
REFRESH
Specifies whether data is refreshed:
• REFRESH:YES ensures that data is refreshed automatically every 24
hours
• REFRESH:NO retrieves data that can only be refreshed manually
Default value: REFRESH:NO
RET
Specifies the size of the array returned by array functions:
RET:Ai with i from 1 to ArraySize to get the i first rows of the default
array (only values)
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Keyword
Description
SOURCE
Defines the data source to which you address your requests:
• SOURCE:EQUITY retrieves equity data from the Reuters Securities
3000 database
• SOURCE:TREASURY retrieves bond data from the Reuters Treasury
3000 database
• SOURCE:DBU retrieves data from the DBU server
SORT
Specifies the order of retrieved data:
• SORT:ASC for an ascending order when data is retrieved from Equity
and Treasury databases
• SORT:DESC for a descending order when data is retrieved from DBU
server
Default value: SORT:ASC
TIMEOUT
Specifies the maximum amount of time allowed following the issuing of a
request before its cancellation. For example, TIMEOUT:30 allows 30
seconds to elapse before the request is cancelled. If the timeout value is
0, no timeout control is applied.
Default value: TIMEOUT:0
TITLE
Specifies whether results include full column names rather than the
abbreviated code names that appear when HEADER is used:
•
•
TITLE:YES
TITLE:NO
Default value: No TITLE
TRIM
Specifies the space trimming for retrieved data of type string:
•
•
TRIM:YES
TRIM:NO
Default value: TRIM:NO
TSREPEAT
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Specifies whether a timestamp synchronization is used between the
retrieved data of several instruments:
• TSREPEAT:YES means that time series data is not synchronized
• TSREPEAT:NO means that time series data is synchronized
Default value: TSREPEAT:YES
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DeMode Argument for DeList
The DeMode argument is used to specify data source, to format result and to specify whether or not
data or to be refreshed automatically each day.
Structure
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Keyword
Description
CTU
CTU (Cells To Update) specifies which cells to update when the Update
action is triggered with “DeUpdate” on page 230:
• CTU:ALL means that all cells will be updated
• CTU:CHANGED means that only changed cells will be updated
HEADER
Returned header:
• HEADER:YES to specify that headers are returned
• HEADER:NO to specify that no header is returned
LAY
Layout parameter for the array orientation:
NULL
Specifies how to handle empty rows in a time list returned with the
“DeHistory” on page 228:
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Keyword
Description
PRIORITY
Establishes a priority for the object's next request:
• PRIORITY:HIGH highest priority
• PRIORITY:MEDIUM medium priority
• PRIORITY:LOW lowest priority
REFRESH
REFRESH:NO retrieves data that can only be refreshed manually
REFRESH:YES ensures that data is refreshed automatically every 24
hours, provided that Daily Refresh Activated is selected in the Reference
Data Engine Settings dialog for Equities or Treasury.
The Global Refresh property is not provided in the DBU settings dialog
box.
RET
Return value parameter to shorten or lengthen the array of data returned
by array functions:
array (only values)
SOURCE
Defines the data source to which requests are addressed:
3000 database
3000 database
TIMEOUT
The maximum amount of time allowed following the issuing of a request
before its cancellation. This time is measured in seconds. For example,
TIMEOUT:30 allows 30 seconds to elapse before the request is cancelled.
If the timeout value is 0, no timeout control is applied.
TITLE
If TITLE (or TI) is present in the DeMode argument string, results include
full column names rather than the abbreviated code names that appear
when HEADER is specified:
•
•
TITLE:YES
TITLE:NO
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DeMode Argument for DeLookup
Keyword
Description
TRIM
Space trimming for string data retrieved:
•
•
TRIM:YES
TRIM:NO
Structure
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Keyword
Description
CTU
HEADER
Returned header:
LAY
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Keyword
Description
NULL
PRIORITY
REFRESH
•
•
hours, provided that Daily Refresh Activated is selected in the
Reference Data Engine Settings dialog for Equities or Treasury
The Global Refresh property is not provided in the DBU settings
dialog box.
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RET
by array functions:
array (only values)
SOURCE
3000 database
3000 database
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DeMode Argument for DeQuery
Keyword
Description
TIMEOUT
TITLE
•
•
TITLE:YES
TITLE:NO
TRIM
•
•
TRIM:YES
TRIM:NO
Structure
Keyword
Description
CTU
action is triggered with “DeHistory” on page 228:
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Keyword
Description
HEADER
Returned header
LAY
NULL
PRIORITY
REFRESH
•
•
Reference Data Engine Settings dialog for Equities or Treasury.
dialog box.
RET
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by array functions:
array (only values)
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DeMode Argument for DeUpdate
Keyword
Description
SOURCE
3000 database
3000 database
• SOURCE:LOCAL retrieves data from your local database with the
“DeQuery” on page 230
TIMEOUT
TITLE
•
TITLE:YES
• TITLE:NO
TRIM
•
•
TRIM:YES
TRIM:NO
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Structure
Keyword
Description
CTU
HEADER
Returned header
LAY
Layout parameter for the array orientation
NULL
• NULL:NA replaces any NULL data with #N/A.
PRIORITY
REFRESH
•
•
Reference Data Engine Settings dialog for Equities or Treasury.
dialog box.
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Keyword
Description
RET
by array functions:
• RET:Ai with i from 1 to ArraySize to get the i first rows of the default
array (only values)
SOURCE
3000 database
3000 database
SPLIT
Specifies an array in which to place the text string retrieved from the
ADFIN_STRUCTURE FieldList argument with “DeUpdate” on page 230:
SPLIT:n (n as an integer), with n specifies the number of cells.
The results can be longer than 255 byte characters in length, that is the
current limit for return strings This keyword defines exactly how many
pieces can be made from a string by using spaces. DeUpdate will
generate a return table and each piece of the string will be placed in a
separate cell in the same direction as field values for an instrument.
Returns an error message if the specified array is too small.
Default value: SPLIT:0
Note: Despite the apparent resemblance with cell addressing, the SPLIT
keyword only specifies the dimension of the array, not a location on a
spreadsheet.
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TIMEOUT
TITLE
•
•
TITLE:YES
TITLE:NO
•
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DfMode
Keyword
Description
TRIM
•
•
TRIM:YES
TRIM:NO
UWC (Update When Completed) determines whether receipt of partial
UWC
results will be flagged with “DeUpdate” on page 230:
• UWC:YES means that partial results will be flagged
• UWC:NO means that partial results will not be flagged
If UWC is present without a value, it will be interpreted as UWC:YES. This
keyword is only valid when data is retrieved from the Treasury 3000
database
Default value: UWC:NO
DfMode
DfMode is used as argument in functions of the Adfin Common module to customize returned values.
DfMode is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
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Keyword
Explanation
DCB
Day count basis {00, A0, A0D, A25D, A5, A5D, AA, E0}
DCB:00 for 30/360
DCB:A0 for Actual/360
DCB:A0D for Actual/360 (day-based)
DCB:A25D for Actual/365.25 (day-based)
DCB:A5 for Actual/365
DCB:A5D for Actual/365 (day-based)
DCB:AA for Actual/Actual
DCB:E0 for 30E/360 ISMA
Default value: DCB:AA
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ExoticStructure
Example
Keyword
Explanation
DMC
Date moving convention used when the calculated date falls on a non-working day {F,
DMC:F or DMC:FOL for Following
DMC:M or DMC:MOD for Modified Following
DMC:N or DMC:NONE for None
DMC:P or DMC:PRE for Preceding
EMC
End-of-month convention used when the calculation date falls on the last day of a
Default value: EMC:L
LAY
Default value: LAY:V
RET
Return value parameter to shorten the array of data returned by array functions {Ai, Bi,
i with i as integer}
RET:i with i from 1 to ArraySize to get the i-th element only.
DMC:P calculates dates using the preceding day date moving convention.
ExoticStructure
ExoticStructure is used as argument in functions of the Adfin Options module to define the
structure of an exotic option.
ExoticStructure is a string consisting of a series of parameters. Each set of parameters consists
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ExoticStructure
Structure
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Keyword
Explanation
ASIAN
Type of an Asian option {RATE, STRIKE}
ASIAN:RATE to specify an average-rate Asian option
ASIAN:STRIKE to specify an average-strike Asian option
Default value: No default Asian option type is defined, mandatory keyword
AVE
Average type for an Asian option {ARI, GEO}
AVE:ARI to specify an arithmetic average
AVE:GEO to specify a geometric average
Default value: AVE:ARI
BINARY
Type of a Binary option {ASSET, CASH}
BINARY:ASSET to specify an asset or nothing option
BINARY:CASH to specify a cash or nothing option
Default value: BINARY:CASH
CALL
Call option type flag {no value or DDMMYYYY:DDMMYYYY}
CALL to specify a call option
Default value: No default option type (neither parameter CALL nor PUT) is defined,
mandatory keyword
DCB
Day count basis {00, A0, A0D, A25D, A5, A5D, AA, E0, IT, JAP, NL0, NL5, W252} (see the
DCB:IT for Italian (from last coupon date to settlement date in E0 + 1 day)
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ExoticStructure
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Keyword
Explanation
DIVTYPE
Dividend type {CONT, DISC, PROP}
EXM
Exercise mode {A, AMER, AMERICAN, DDMMMYY{:DDMMMYY{:i}}, E, EUR, EURO} (see the
EXM:A, EXM:AMER, or EXM:AMERICAN to specify an exotic option with an American mode
EXM:DDMMMYY or EXM:DDMMMYY:DDMMMYY to specify an exotic option with a Bermudan
mode
EXM:DDMMMYY:DDMMMYY:i to specify a Composite or Quanto option with variable strike
price i
EXM:E, EXM:EUR, or EXM:EURO to specify an exotic option with a European mode\
Default value: EXM:EURO
FXLINK
Type of foreign exchange linked option {COMPO, ELFX, QUANTO} (see the Notes section
below)
FXLINK:COMPO to specify a Composite option
FXLINK:ELFX to specify an Equity Linked Foreign Exchange option
FXLINK:QUANTO to specify a Quanto option
Default value: No default foreign exchanged linked option type is defined, mandatory
keyword
KI
Knock in barrier flag {no value} (see the Notes section below)
KI to specify a knock in or double knock in Barrier option
KIKO
Knock in down-barrier and knockout up-barrier flag {no value}
KIKO to specify a knock in / knockout double Barrier option
KO
Knockout barrier flag {no value} (see the Notes section below)
KO to specify a knockout or double knockout Barrier option
KOKI
Knockout down-barrier and knock in up-barrier flag {no value}
KOKI to specify a knockout / knock in double Barrier option
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ExoticStructure
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Keyword
Explanation
LADDER
Barrier levels for Ladder options {i (where i is numeric)}
LADDER:i to define a barrier level equal to i
Default value: No barrier levels for Ladder options is defined
LOOK
Type of a Lookback option {SPOT, STRIKE}
LOOK:SPOT to specify a Lookback Spot option
LOOK:STRIKE to specify a Lookback Strike option
Default value: No default Lookback option type is defined, mandatory keyword
PUT
Put option type flag {no value}
PUT to specify a put option
Default value: No default option type (neither parameter CALL nor PUT) is defined,
mandatory keyword
RAIN
Type of a Rainbow option {MAX, MIN, SPREAD, DUAL, BEST} (see the Notes section
below)
RAIN:MAX to specify a best of two assets option
RAIN:MIN to specify a worst of two assets option
RAIN:SPREAD to specify a Spread option
RAIN:DUAL to specify a Dual-Strike option
RAIN:DUAL to specify a Best Of option
Default value: No default Rainbow option type is defined, mandatory keyword
RATEFRQ
S, Y, ZERO} (see the Notes section below)
Default value: RATEFRQ:YEARLY or RATEFRQ:1
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ExoticStructure
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Keyword
Explanation
RATETYPE
Yield type {CONT, DISC, MM, MMB, MMM, MMP, TRE, SIMPLEJAP, CMPJAP} (see the Notes
section below)
Default value: RATETYPE:CONT
REBATE
Rebate amount for Barrier and double Barrier options {i, i:j (where i and j are
numeric)}
REBATE:i to indicate that the option holder receives the cash amount i if the Barrier
option is cancelled
REBATE:i:j to indicate that the option holder receives the cash amount i if the
down-barrier is hit and the cash amount j if the up-barrier is hit
Default value: REBATE:0
TOUCH
Binary path-dependent option type {DEFERRED, NO, ONE}
TOUCH:DEFERRED for a deferred One-Touch option
TOUCH:NO for a No-Touch option
TOUCH:ONE for a One-Touch option with immediate payment
Default value: No default Binary option type is defined
UI
Underlying asset type {COM, CUR, FUT, SEC}
UI:COM for an option on commodities
UI:CUR for an option on currencies
UI:FUT for an option on futures
UI:SEC for an option on securities (indexes, stocks, bonds)
Default value: UI:SEC
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Notes
Keyword
Explanation
UO
Underlying option type for a Compound option {CALL, PUT}
UO:CALL to specify a call option
UO:PUT to specify a put option
Default value: No default underlying option type is defined for Compound options,
mandatory keyword
WIN
Start date or end date of Window Barrier options {END:DDMMMYY, START:DDMMMYY} (see
the Notes section below)
WIN:END:DDMMMYY where DDMMMYY is the end date for an early-end Window Barrier
WIN:START:DDMMMYY where DDMMMYY is the start date for Forward-Start Window Barrier
Default value: No default Window type is defined for Window Barrier options
Topic
Recommendation
ExoticStructure option
You must include at least the option type in the ExoticStructure, by
using the CALL or PUT keywords.
type
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DCB, RATEFRQ, and
RATETYPE
The DCB, RATEFRQ, and RATETYPE keywords in ExoticStructure
define the dividend scenario for the ReturnArray argument of Adfin
Exotics functions. The same keywords in RateStructure specify the
rate model properties for the RiskFreeRateArray argument.
Barrier options
You must specify one of the KI and KO keywords in the
ExoticStructure to price Barrier options.
WIN
You can specify WIN either as a serial number, or by using the DDMMMYY
format.
Basket option with more
than two assets
You cannot use EXM:{A, AMER, AMERICAN} with a Basket option with
more than two assets.
CMT:FORM
You cannot use EXM:{A, AMER, AMERICAN} with CMT:FORM.
FXLINK:EFLX
You cannot use EXM:{A, AMER, AMERICAN} or
EXM:DDMMMYY{:DDMMMYY{:i}} with FXLINK:EFLX.
CMT:TREE and NBBRANCH:3
You must use EXM:DDMMMYY:DDMMMYY:i with CMT:TREE and
NBBRANCH:3.
One day exercise period
If the exercise period lasts only one day, you must specify the same
date DDMMMYY in the keyword EXM:DDMMMYY:DDMMMYY:i.
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FormatMode
Topic
Recommendation
SOLVER in the
CalcStructure
You cannot use FXLINK:EFLX if you specify SOLVER in the
CalcStructure.
CMT:FORM
You cannot use RAIN:BEST or RAIN:DUAL with CMT:FORM.
FormatMode
FormatMode is used as argument in functions of the Adfin Common module to define the formatting
mode.
FormatMode is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
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Keyword
Explanation
ADAA
Ask digits automatic adaptation {no value, NO, YES}
ADAA or ADAA:YES to automatically adapt the number of digits used for the ask side if
the original string can be misinterpreted
ADAA:NO to disable the automatic adaptation
Default value: ADAA:YES
BACTRL
Bid > Ask control {ASK, BID, ERR, INV, MID, NO}
BACTRL:ASK to set the Bid rate to the Ask value
BACTRL:BID to set the Ask rate to the Bid value
BACTRL:ERR to generate an error message
BACTRL:INV to set the Bid rate to the Ask value and the Ask rate to the Bid value
BACTRL:MID to set the Bid and Ask rates to the Mid value
BACTRL:NO to keep the original Bid and Ask rates
Default value: BACTRL:MID
BASEP
Separator between the Bid rate and the Ask rate {any character(s), "^" standing for a
space}
BASEP:- to use for instance the separator "-"
Default value: BASEP:^/^
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FormatMode
Keyword
Explanation
BAWARN
Bid > Ask warning indicator {no value, NO, YES}
BAWARN or BAWARN:YES to display a star after the bid/ask string
BAWARN:NO to disable the display of the star
Default value: BAWARN:YES
DATA
Result data format {BA, ONE}
DATA:BA for Bid/Ask format
DATA:ONE to specify a one value format
Default value: DATA:BA
FD
Fraction denominator {i with i as integer}
FD:i to convert a decimal number to a fraction expressed with a denominator equal to
i
Default value: FD:1 (decimal numbers are used instead of fractions)
Examples
FSEP
Separator between the integer component and the fractional component {any
character(s), "^" standing for a space}
FSEP:- to use for instance the separator "-"
Default value: FSEP:^
FSHOW
Fraction denominator display indicator {no value, NO, YES}
FSHOW or FSHOW:YES to display the fraction denominator
FSHOW:NO to disable the display of the fraction denominator
Default value: FSHOW:NO
SCALE
Scaling factor between the real and the displayed rates {i with i as integer}
SCALE:i to multiply the Bid and Ask rates by 10E+i
Default value: SCALE:1
FD:32 FSHOW converts a decimal number into 32s and display the fraction denominator /32
after the integer and fractional components
BASEP:^-^ BACTRL:ERR uses " - " as Bid/Ask separator and displays an error message if the
Bid rate is greater than the Ask rate.
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FrnMode
FrnMode
FrnMode is used as argument in functions of the Adfin Bonds module to define the attributes of the
zero-coupon yield curves used in input.
FrnMode is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
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Keyword
Explanation
DCB
Day count basis used for zero-coupon calculations {00, A0, A0D, A25D, A5, A5D, AA, E0}
FROM
Type of the input rate for FrnMargin {ASM, ATM, DM, PXA, PXC, PXG, SM, YS, YTM}
FROM:ASM for the adjusted simple margin
FROM:ATM for the adjusted total margin
FROM:DM for the discounted margin
FROM:PXA for the adjusted price
FROM:PXC for the clean price
FROM:PXG for the gross price
FROM:SM for the simple margin
FROM:YS for the yield to maturity spread
FROM:YTM for the yield to maturity
Default value: No default input price type is defined, mandatory keyword
IAC
Cash flows calculation split up into interest and principal {no value}
IAC to display interest cash flows and principal cash flows into two separate columns
Default value: nterest and principal added in cash flows calculation
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FrnMode
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Keyword
Explanation
IM
Interpolation method {CUBD, CUBR, LIN}
LAY
ND
OBC
Out of boundary interpolation check {NO, YES}
array boundaries)
OBC:YES to verify if the date to interpolate is within the range of the date array used
(otherwise an error is returned)
RET
Return value parameter to shorten the array of data returned by array functions {Ai,
Bi, i with i as integer}
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FrnMode
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Keyword
Explanation
TO
Type of the output rate for FrnMargin {ASM, ATM, DM, PXA, PXC, PXG, SM, YS, YTM}
TO:ASM for the adjusted simple margin
TO:ATM for the adjusted total margin
TO:DM for the discounted margin
TO:PXA for the adjusted price
TO:PXC for the clean price
TO:PXG for the gross price
TO:SM for the simple margin
TO:YS for the yield to maturity spread
TO:YTM for the yield to maturity
Default value: No default output price type is defined, mandatory keyword
YTM
Yield type for callable/puttable FRNs {AUTO, BEST, MATURITY, WORST}
YTM:AUTO to adapt the calculation of the yield to the structure (yield to maturity for a
standard FRN or callable and puttable, yield to worst for callable FRN, yield to best for
puttable FRN)
YTM:BEST to force the calculation of the yield to best
YTM:MATURITY to force the calculation of the yield to maturity
YTM:WORST to force the calculation of the yield to worst
Default value: YTM:AUTO
ZCTYPE
Input zero-coupon yield curve type {DF, RATE}
ZCTYPE:DF for a discount factor yield curve
ZCTYPE:RATE for a zero-coupon rate yield curve
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FrnStructure
Note
Topic
Recommendation
FROM and TO
The FROM and TO keywords are only used when performing
calculations with the FrnMargin function.
YS
The FROM and TO keywords specify the data type of the Px argument of
the FrnMargin function. When it takes the value YS (“yield to maturity
spread ”), the user must know that the input yield is always expressed
in the FRN frequency.
LAY:H and FrnCashFlows
The LAY:H keyword, which describes the result array orientation in the
FrnMode argument, is mandatory when used in the FrnCashFlows
function.
FrnMode
FrnMode is generally optional except when used as an argument in
FrnMargin function.
FrnStructure
FROM and TO is used as argument in functions of the Adfin Bonds module to define the structure of a
floating-rate note.
FROM and TO is a string consisting of a series of parameters. Each set of parameters consists of a
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FrnStructure
Structure
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Keyword
Explanation
FROM and
TO
Accrued interest calculation method {{00, A0, A5, AA, E0, MMA0, MMA5} with {:SSD}
optional for each value }
ACC:00 for 30/360
ACC:E0 for 30E/360
ACC:i:SSD for German Schuldscheindarlehen bonds where i is {00, A0, A5, AA, E0,
MMA0, MMA5}
Default value: ACC:00
ALIMIT
Accrued interest adjustment method for Actual/360 and Actual/365 {CPN, NEXT, NO}
ALIMIT:CPN to limit the accrued interest to the regular coupon value
ALIMIT:NEXT to adjust the coupon subtracting the exceeding number of days
ALIMIT:NO to allow the accrued interest to exceed the regular coupon value
Default value: ALIMIT:NEXT
AMORT
Amortization pattern for sinking FRN {DDMMMYY:i with i1}
AMORT:DDMMMYY:i to indicate that i are redeemed at the date DDMMMYY
Default value: The notional principal amount is fixed during the FRN life
ARND
NEAR}}
ARND:i:{UP, DOWN, NEAR} for rounding to the precision defined by i
CALL
Callable FRN {DDMMMYY:i (where i is numeric)}
CALL:DDMMMYY:i to indicate that the FRN holds a call option which expiry date is
DDMMMYY and strike clean price is i
Default value: The FRN holds no call option
CAP
Cap coupon value {i (where i is numeric) (1=100%)}
CAP:i to limit the coupon rate value to a maximum of i
Default value: No cap value is defined
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Keyword
Explanation
CCM
MME0, MMNL0, MMNL5, v, A0D, A5D, E0D, 00, A0, A5, AA, E0}
Default value: CCM:MMA0
CFADJ
Cash flow adjustment method {FRN, NONE, STD}
CFADJ:FRN to calculate the coupon date from the previous coupon date with calendar
adjustment (see CLDR below)
CFADJ:NONE to calculate the coupon date from the FRN start date without any calendar
adjustment (also requires CLDR:NULL)
CFADJ:STD to calculate the coupon date from the FRN start date with calendar
adjustment (see CLDR below)
Default value: The value of the CFADJ keyword of the "SWAP" category
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FrnStructure
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Keyword
Explanation
CLDR
Calendar parameter for coupon date adjustments {calendars} (see the Notes section
below)
CRND
Default value: No rounding
DATED
Default value: No dated date defined
DMC
month is used)
DMC:N or DMC:NONE for no moving date (also requires CLDR:NULL)
EMC
End-of-month convention used when a calculation date falls on the last day of a month
{L, LAST, S, SAME}
Default value: EMC:L
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Keyword
Explanation
EY
Equivalent yield parameter {1, 12, 182D, 2, 28D, 364D, 4, 91D, M, Q, S, Y, FRQ}
EY:182D for compounding every 182 days
EY:FRQ for compounding defined by the FRQ keyword in the BondStructure
Default value: The value of FRQ (of FrnStructure)
FAD
FCV
v where i is the first coupon nominal rate for irregular coupons
(the bond issue date must also be specified using ISSUE)
FLOOR
Floor index value {i (where i is numeric) (1=100%)}
FLOOR:i to limit the index value to a minimum of i
Default value: No floor value is defined
FRCD
FRCD:DDMMMYY where DDMMMYY is the first regular coupon date.
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FrnStructure
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Keyword
Explanation
FRQ
Coupon frequency {1, 12, 182D, 2, 28D, 364D, 4, 91D, M, Q, S, Y}
FRQ:1 or FRQ:Y for yearly
FRQ:182D for a payment every 182 days
IC
IDX
Underlying index style {index history style}
IDX:index to assign an index history style to the bond
Default value: No index history style is defined
INTCAP
Capitalizationrate of a FRN {DDMMYYYY:DDMMYYYY:i where i is numeric}
INTCAP:DDMMYYYY:DDMMYYYY to set the start and end dates between which all coupons
are paid and the FRN is fully capitalized. The capitalization rate is not defined
ISSUE
Issue date {DDMMMYY}
Default value: All coupons are regular so the issue date is aligned with the maturity
date on the coupon frequency
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FrnStructure
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Keyword
Explanation
LOCK
Lockout period in settlement date calculations {iWD with i>0} (see the Notes section
below)
LOCK:iWD for i working days
Default value: No lockout period calculation rule defined
LRCD
MDADJ
MDADJ:N for None
NC
YES for the use of the remaining capital
NO for the use of the initial capital
NOTIONAL
Notional principal {i (where i is numeric)}
Default value: NOTIONAL:1 (all results are returned in percentage i.e. for a principal
equal to one unit of currency)
PDELAY
date
PPMT
Partial payment for partly paid bonds {DDMMMYY:i with i1}
Default value: The bond is completely paid at the issue date
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FrnStructure
Keyword
Explanation
PUT
Puttable FRN {DDMMMYY:i (where i is numeric)}
PUT:DDMMMYY:i to indicate that the FRN holds a put option which expiry date is
DDMMMYY and strike clean price is i
Default value: The FRN holds no put option
PXRND
Rounding mode of the output price {NO} or {i (where i is numeric): {UP, DOWN, NEAR}}
PXRND:i:{UP,DOWN,NEAR} for rounding to the precision defined by i
QM
Quoted margin for fixed margins {i (where i is numeric)}
QM:i for a margin over the index equal to i
Default value: No default quoted margin type is defined
REFDATE
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REPO
Carrying repo rate {i (where i is numeric) (1=100%)}
REPO:i for a rate equal to i
Default value: Index rate for next coupons
RP
RT
RT:Sj for j series
which is adjusted
Default value: RT:B
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FrnStructure
328
Keyword
Explanation
SETTLE
Settlement datecalculation rule {AUT, INTL, JAP, RSA, iD, iDF, iDM, iDN, iDP, iWD with i
from 1 to 9}
SETTLE:AUT for the Austrian settlement rule
SETTLE:INTL for the International settlement rule
SETTLE:JAP for the Japanese settlement rule
SETTLE:RSA for the South-African settlement rule
SETTLE:iD for i calendar days and the default date moving convention
SETTLE:iDF for i calendar days and the following date moving convention
SETTLE:iDM for i calendar days and the modified following date moving convention
SETTLE:iDN for i calendar days and no date moving convention
SETTLE:iDP for i calendar days and the preceding date moving convention
SETTLE:iWD for i working days
(the calendar used must also be specified using CLDR)
Default value: No settlement date calculation rule defined
XD
Default value: XD:0
YLDRND
Rounding mode of the output yield {NO} i (where i is numeric) : {UP, DOWN, NEAR}}
YLDRND:NO if no rounding is requested.
YLDRND:i:{UP,DOWN,NEAR} for rounding to the precision defined by i
Default value: YLDRND:NO
YLDRND:i:NEAR if i is specified
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FxMode
Notes
Topic
Recommendation
CALL and PUT dates
CALL and PUT keywords either specify dates as serial numbers, or use
the DDMMMYY or default format.
yield to maturity and yield to The yield to maturity and yield to maturity spread methods do not
maturity spread
support the CLDR keyword since they are period-based and assume
that all coupon periods have the same length.
LOCK:iWD has a upper limit, which is the number of days between the
settlement date and the next coupon date of the bond. This limit
depends on the properties of the bond. If you specify a LOCK value
greater than this limit, Adfin Analytics interprets it as the upper limit
and does not return an error message.
LOCK:iWD
FxMode
FxMode is used as argument in functions of the Adfin Forex & MM module to customize returned
values.
FxMode is a string consisting of a series of parameters. Each set of parameters consists of a
FxMode is generally optional.
Structure
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Keyword
Explanation
BACTRL
Bid > Ask control {ASK, BID, ERR, INV, MID, NO}
BACTRL:ASK to set the Bid rate to the Ask value
BACTRL:BID to set the Ask rate to the Bid value
BACTRL:ERR to generate an error message
BACTRL:INV to set the Bid rate to the Ask value and the Ask rate to the Bid value
BACTRL:MID to set the Bid and Ask rates to the Mid value
BACTRL:NO to keep the original Bid and Ask rates
Default value: BACTRL:MID
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FxMode
330
Keyword
Explanation
DEC
Decimal precision parameter for cross rates and swap points {no value, i with i as
integer}
DEC to use the values defined in the cross currency database (or the default values for
unlisted cross currencies)
DEC:i with i from 0 to 9 to force the precision to a given number of decimals
Default value: No precision is defined (the raw value is used)
FROM
Date calculation origin {MMSPOT, MMTRADE, FXSPOT, FXTRADE}
FROM:MMSPOT to use the spot date as origin and the Money market spot offset
FROM:MMTRADE to use the trading date as origin and the Money market spot offset
FROM:FXSPOT to use the spot date as origin and the Forex market spot offset
FROM:FXTRADE to use the trading date as origin and the Forex market spot offset
Default value: FROM:FXTRADE
IGNR
Ignore ratios flag {NO, YES}
IGNR:NO to apply quotation units and swap point ratios in calculations
IGNR:YES to ignore quotation units and swap point ratios and thus use directly raw
values
Default value: IGNR:NO
LAY
QM1
Quotation mode of the first currency versus the base currency when different from
QM2
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HistoryMode
Keyword
Explanation
RES
Expected result {SWP12, SWPCUR, DEP1, DEP2, DEPCUR, DEPUSD}
RES:SWP12 to calculate the cross swap point
RES:SWPCUR to calculate the currency swap point against USD
RES:DEP1 to calculate the first currency deposit rate
RES:DEP2 to calculate the second currency deposit rate
RES:DEPCUR to calculate the currency deposit rate
RES:DEPUSD to calculate the USD deposit rate
RET
Return value parameter to shorten the data returned by array functions {Ai, i with i as
integer}
RET:Ai with i from 1 to ArraySize to get the i first elements
HistoryMode
The HistoryMode argument is used in the “RtHistory” and “RtHistoryInfo” functions to customize
the return array.
HistoryMode is a string made up of a series of parameters, each one consisting of a keyword
possibly followed by a colon (":") and the value of the parameter. Spaces should be used to separate
the parameters in the string.
Structure
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Keyword
Explanation
HEADER
Array header parameter for “RtHistory” {no value, NO, YES}
HEADER or HEADER:YES includes the field labels and the instrument name in the array
HEADER:NO specifies that field labels and the instrument name are not included in the
array
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HistoryMode
Keyword
Explanation
LAY
Layout or orientation parameter for the array returned by “RtHistory” and
“RtHistoryInfo” {HOR, VER}
LAY:HOR specifies that instrument codes are returned on a row.
LAY:VER specifies that instrument codes are returned in a column.
NULL
Specifies the processing of null values for history dates in “RtHistory” {NA, REPEAT,
SKIP}
NULL:NA to display “N/A ND” for null fields
NULL:REPEAT to repeat the first preceding data with no null field (if existing)
NULL:SKIP to skip the dates with any null field]
Default value: NULL:NA
Notes
RES
Result type for “RtHistoryInfo” {ARRAY, STRING}
RES:ARRAY for an array with one field name in each cell
RES:STRING for a single string listing all comma-separated fields’ names
Default value: RES:STRING
RET
Return array size for “RtHistory” {Ai with i as integer}
RET:Ai to get an array of i data points
Default value: No array size is defined (#N/A may appear in unused cells of
selected range)
SORT
List sorting order of the time series for “RtHistory” {ASC, DESC}
SORT:ASC for ascending, i.e. oldest first
SORT:DESC for descending, i.e. most recent first
Default value: SORT:DESC
ZERO
Dates with zero data processing in “RtHistory”{NA, REPEAT, SKIP}
ZERO:NA to display “0” for zero fields
ZERO:REPEAT to repeat the first preceding data with no zero field (if existing)
ZERO:SKIP to skip the dates with any zero field
Default value: ZERO:NA
Topic
Recommendation
NULL keyword NULL keyword only defines how dates with null data are handled. Dates before the
time series start date or after the time series end date are always ignored.
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HistoryStructure
Topic
Recommendation
EVENTS
When you define the number of data points to retrieve in the “HistoryStructure”
argument using the EVENTS keyword, dates with null data are counted with NULL:NA
and NULL:REPEAT, and ignored with NULL:SKIP.
keyword
HistoryStructure
The HistoryStructure argument is used in the “RtHistory” function to define the range of dates
between which historical data are retrieved.
HistoryStructure is a string made up of a series of parameters, each one consisting of a keyword
possibly followed by a colon (":") and the value of the parameter. Spaces should be used to separate
the parameters in the string.
The range of dates can be defined in three ways:
•
•
•
the start date and the end date between which data points are retrieved
the end date and the number of data points retrieved from the date backward in time
the start date and the number of data points retrieved from the date forward in time
With all the above methods, the number of dates actually returned depends on the retrieval
frequency. You may choose to retrieve all available dates, i.e. daily data, or select a monthly or
yearly frequency.
Structure
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Keyword
Explanation
END
End date of the time series {DDMMMYY}
END:DDMMMYY to retrieve data up to the date DDMMMYY (see the section
Supported Data Formats below.)
Default value: Current date
EVENTS
Exact number of historical data retrieved {i with i as integer}
EVENTS:i to retrieve i data points
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HistoryStructure
Keyword
Explanation
FRQ
Frequency of the time series {D, W, M, other}
FRQ:D for daily data
FRQ:W for weekly data
FRQ:M for monthly data
FRQ:other where ‘other ’ is a letter standing for any supported frequency
Default value: FRQ enables you to support all data frequencies supported
in the historical datafeed
FRQ:D
Supported Date
Formats
•
•
•
•
NBEVENTS
Number of historical data retrieved {i with i as integer}
NBEVENTS:i to retrieve i data points
Default value: NBEVENTS:25 with a daily frequency (FRQ:D)
NBEVENTS:52 with a weekly frequency (FRQ:W)
NBEVENTS:12 with a monthly frequency (FRQ:M)
NBEVENTS:25 with any other frequency (FRQ:other)
START
Start date of the time series {DDMMMYY}
START:DDMMMYY to retrieve data from the date DDMMMYY
Default value: No start date is defined
A serial number (e.g. 35360).
DDMMMYY (e.g. 22OCT96).
YYYYMMDD (e.g. 19961022).
Either DD/MM/YY (e.g. 22/10/96), or MM/DD/YY (e.g. 10/22/96), or YY/MM/DD (e.g. 96/10/22)
depending on the date format in the platform default settings.
Dates specified with any other format are misinterpreted, which can lead to an error in the function.
Notes
Topic
Recommendation
START
If you do not specify the START keyword or the END keyword, data is
retrieved backwards from the current date.
Start and end dates
334
If the data available for the time series does not cover the start date, the
earliest data point is used as the start of the retrieved series. Similarly, if the
available data do not extend up to the end date, the most recent data point
is used as the end.
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IlbMode
Topic
Recommendation
FRQ
FRQ enables you to support all data frequencies supported in the historical
datafeed.
Use EVENTS:i
NULL:SKIP instead of
NBEVENTS:i
NULL:SKIP
You must use EVENTS:i NULL:SKIP instead of NBEVENTS:i NULL:SKIP if
certain dates have no processed data. RtHistory does not return the
expected number of data points specified by EVENTS, but the number of
data points specified by NBEVENTS minus the number of skipped data points
which is the exact number of historical data retrieved.
IlbMode
IlbMode is used as argument in functions of the Adfin Bonds module to define the calculation mode.
IlbMode is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
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Keyword
Explanation
CF
Cash flow mode {CLDR, NULL, WE}
CF:CLDR for the calendar defined by the keyword CLDR (if no calendar is defined,
CLDR:WEEKEND is used)
CF:NULL for the calendar NULL
CF:WE for the calendar WEEKEND
Default value: CF:NULL
CMP
Compounding frequency {EY, YEARLY}
CMP:EY for using the frequency defined by the EY keyword
CMP:YEARLY for a yearly frequency
Default value: CMP:EY
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IlbMode
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Keyword
Explanation
EY
Equivalent yield parameter {1, 12, 2, 4, Q, M, S, Y}
Default value: EY:1
IAY
Inflation-adjusted yield flag {NO, YES}
IAY:NO not to adjust the yield to maturity with inflation
IAY:YES to adjust the yield to maturity with inflation
Default value: IAY:NO
ICF
Inflation adjustment method {ALL, IO, NONE, PO}
ICF:ALL to adjust with inflation both interest and redemption cash flows
ICF:IO to adjust with inflation only interest cash flows
ICF:NONE to adjust with inflation none of the cash flows
ICF:PO to adjust with inflation only the redemption cash flow
Default value: ICF:ALL
LAY
PX
Default value: PX:G
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IlbStructure
Keyword
Explanation
YCM
Yield calculation method {00, A0, A0D, A25D, A5, A5D, AA, E0}
YCM:00 for 30/360
YCM:A0 for Actual/360
YCM:A0D for Actual/360 (day-based)
YCM:A25D for Actual/365.25 (day-based)
YCM:A5 for Actual/365
YCM:A5D for Actual/365 (day-based)
YCM:AA for Actual/Actual
YCM:E0 for 30E/360 ISMA
Default value: YCM:AA
RET
IlbStructure
IlbStructure is used as argument in functions of the Adfin Bonds module to define the structure of
an index-linked bond.
IlbStructure is a string consisting of a series of parameters. Each set of parameters consists of a
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IlbStructure
Structure
338
Keyword
Explanation
ACC
Accrued interest calculation method {{00, A0, A5, AA, E0, IT, IT2, JAP, MMA0, MMA5,
MMNL5, NL0, NL5, W252} with {:SSD} optional for each value }
ACC:00 for 30/360
ACC:E0 for 30E/360
ACC:i:SSD for German Schuldscheindarlehen bonds where i is {00, A0, A5, AA, E0, IT,
IT2, JAP, MMA0, MMA5, MMNL5, NL0, NL5, W252}
ARND
NEAR}}
BRI
Base reference index {i (where i is numeric)}
BRI:i for a base reference index equal to i
Default value: BRI:100
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IlbStructure
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Keyword
Explanation
CCM
CFADJ
CLDR
Calendar parameter for coupon date adjustments {calendar style}
CLDR:calendars to assign one or more calendars to a bond for cash flows date
adjustment
CRND
Coupon rounding tick size {NO} or {i (where i is numeric) : {UP, DOWN, NEAR}}
CRND:NO if no rounding is requested.
CRND:i:{UP,DOWN,NEAR} for rounding to the precision defined by i
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IlbStructure
340
Keyword
Explanation
DATED
Dated date {DDMMMYY} (see the Notes section below)
Default value: The dated date is the issue date of the bond
EMC
End-of-month convention {LAST, SAME, L28}
EMC:LAST for last
EMC:SAME for same
cash flow payment. This affects semi-annual bonds maturing on the 31st of August.
Coupons are paid every 31st of August and every 28th of February. In case of a leap
year the cash flow is still paid the 28th and not the 29th
Default value: EMC:LAST
FRCD
First Regular Coupon Date for odd first coupon {DDMMMYY} (see the Notes section
below)
Default value: No first regular coupon date is defined
FRQ
Frequency of the coupon payments {i {28D, 91D, 182D,364D, 1, 2, 4, 12}} (see the
4 August 2003
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IlbStructure
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Keyword
Explanation
IC
Irregular first coupon {L1, L1R, S1, S1P, S1R, NBC} (see the Notes section below)
IC:L1 for long first coupon (first coupon date equal to the second anniversary date)
IC:L1R for long first coupon with regular nominal value and starting accrued date
equal to the first anniversary date (SPGB)
IC:S1 for short first coupon (first coupon date equal to the first anniversary date)
ICF
Inflation adjustment method {ALL, IO, NONE, PO}
ICF:ALL to adjust both interest and redemption cash flows with inflation
ICF:IO to adjust interest cash flows only with inflation
ICF:NONE to adjust neither of the cash flows with inflation
ICF:PO to adjust the redemption cash flow only with inflation
Default value: ICF:ALL
ICM
Daily inflation reference and coupon calculation method {AUS , INTERP, PREVIOUS}
ICM:AUS for Australian index-linked bonds
ICM:INTERP for Canadian, French, Swedish and US index-linked bonds
ICM:PREVIOUS for UK index-linked bonds
Default value: ICM:INTERP
IDX
IDX:index to assign the index history style to the bond
Default value: No index history style is defined
INTCAP
Capitalization rate of an index-linked bond {DDMMYYYY:DDMMYYYY:i where i is
numeric}
INTCAP:DDMMYYYY:DDMMYYYY to set the start and end dates between which all
coupons are paid and the index-linked bond is fully capitalized. The capitalization rate
is not defined
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IlbStructure
342
Keyword
Explanation
IRND
Index rounding tick size {i (where i is numeric)}
IRND:i for rounding to the precision defined by i
Default value: No rounding
ISSUE
Issue date {DDMMMYY} (see the Notes section below)
Default value: All coupons are regular so the issue date is aligned with the maturity
date on the coupon frequency
LBM
Number of lookback months {i with i as integer}
LBM:i for i lookback months
Default value: LBM:3
LRCD
LRCD:JGB to automatically handle odd last coupons for JGBs
NC
YES to use the remaining capital
NO to use the initial capital
MDADJ
MDADJ:N for None
NOTIONAL
Notional principal {i (where i is numeric)}
Default value: NOTIONAL:1 (all results are returned as a percentage, that is for a
principal equal to one unit of currency)
PRG
Par redemption guarantee {NO, YES}
PRG:NO to specify a redemption less than par in case of deflation
PRG:YES to specify a redemption equal to par in case of deflation
Default value: PRG:NO
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IlbStructure
Reuters
PowerPlus Pro
4.0
Keyword
Explanation
PXRND
Rounding mode of the output price {NO} or {i (where i is numeric) : {UP, DOWN, NEAR}}
PXRND:i:{UP,DOWN,NEAR} for rounding to the precision defined by i
REFDATE
REFDATE:ISSUE to use the issue date as reference date.
RP
vfor a ratio equal to i
XD
Default value: XD:0
To match results in Reuters PowerPlus Pro 4.0, you must use the following default configurations
Is NOTIONAL used?
Are AMORT and PPMT
used?
RT has the value
NC has the value
YES
NO
B
NO
YES - Unique value
YES
B
NO
NO
YES
B
YES for sinking funds
NO for LATAM bonds
NO
NO
C or S
YES
All other configurations are impossible.
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IndexHistoryStructure is used as argument in the AdStyleSet function of the Adfin Common
module. It defines the underlying structure of index history styles.
IndexHistoryStructure is a string consisting of a series of parameters. Each set of parameters
consists of a keyword, a colon (:), and the value of the keyword. The parameter sets are separated
by a blank space. However, certain keywords are used on their own and do not require a value. A
keyword can also have several values, all separated by colons.
Structure
Default Value
344
Keyword
Explanation
AVG
Index compounding method {ARI, CMP, MCA, NONE}
AVG:ARI for arithmetic average
AVG:CMP for daily compounded average
AVG:MCA for monthly compounded average
AVG:NONE for no compounding method
PERIOD
Index calculation period {ON, TN}
PERIOD:ON for overnight calculation
PERIOD:TN for Tom/Next calculation
RND
Rounding decimals for the compounded settlement rate calculation {0, 1, 2, 3, 4, 5, 6}
RIC
Reuters Instrument Code (RIC) for the index {RIC name}
RIC:RIC name for the instrument
YB
No default values are available.
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InterpMode
InterpMode
InterpMode is used as argument in functions of the Adfin Common module to define the
interpolation mode.
InterpMode is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
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Keyword
Explanation
IM
Default value: IM:LIN
LAY
Layout parameter for the array orientation {HOR, VER}
LAY:HOR for horizontal orientation
LAY:VER for vertical orientation
ND
Default value: ND:NO
OBC
array boundaries)
Default value: OBC:NO
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IrsStructure
IrsStructure
IrsStructure is used as argument in functions of the Adfin Swaps module to define the structure of
an interest rate swap.
IrsStructure is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
346
Keyword
Explanation
ACC
JAP, MMA0, MMA5, MMNL5, NL0, NL5, W252} with {:SSD} optional for each value}
ACC:00 for 30/360
ACC:BB00 for Brazilian 30/360
ACC:BBA5 for Brazilian Actual/365
ACC:BBW252 for Brazilian Actual Working days/252
ACC:E0 for 30E/360
ACC:i:SSD for German Schuldscheindarlehen asset swaps where i is {00, A0, A5, AA,
BB00, BBA5, BBW252, E0, IT, IT2, JAP, MMA0, MMA5, MMNL5, NL0, NL5, W252}
AMORT
Amortization pattern for sinking funds {DDMMMYY:i with i<=1}
AMORT:DDMMMYY:i to indicate that i is redeemed at the date DDMMMYY
Default value: No amortization pattern defined
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IrsStructure
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Keyword
Explanation
ARND
NEAR}}
CCM
Default value: CCM:BBE0 for the fixed leg, or CCM:MMA0 for the floating leg
CFADJ
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IrsStructure
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Keyword
Explanation
CLDR
Calendar parameter for coupon date adjustments {calendars}
CRND
DATED
Dated date for asset swaps combined with bonds with an irregular first coupon
{DDMMMYY}
DATED:DDMMMYY where DDMMMYY is the accrual start date for irregular coupons)
Default value: The dated date for the fixed leg is the start date of the swap
DMC
DMC:M or DMC:MOD for moving the date to the following working day unless it causes
the date to be pushed into the next month (in this latter case, the last working day of
the month is used)
EMC
End-of-month convention used when a calculation date falls on the last day of a
EMC:S or EMC:SAME for setting the calculated date to the same day (in this latter case,
the date may be moved according to the date moving convention if it is a non-working
day)
FAD
FCV
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IrsStructure
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Keyword
Explanation
FRCD
FRQ
Frequency of the coupon payments {i {28D, 91D, 182D,364D, 1, 2, 4, 12}}
FRQ:DDMMMYY:i to define a frequency.of i from date DDMMMYY
IC
equal to first anniversary date (SPGB)
IDX
Underlying index style for an OIS {index history style}
IDX:index to assign the index history styleto the swap
LBOTH
LFIXED
Fixed leg attribute flag {no value}
LFIXED to specify that the following keywords apply to the fixed leg only
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IrsStructure
350
Keyword
Explanation
LFLOAT
Floating leg attribute flag {no value}
LFLOAT to specify that the following keywords apply to the floating leg only
LRCD
MDADJ
MDADJ:N for None
NOTIONAL
Notional principal for amortizing swaps {i, DDMMMYY:i (where i is numeric)}
NOTIONAL:i for a principal equal to i units of currency
NOTIONAL:DDMMMYY:i to indicate that the principal is equal to i at the date DDMMMYY
Default value: NOTIONAL:1 (all results are returned in percentage i.e. for a principal
equal to one unit of currency, with a principal constant throughout the life of the swap)
PAID
Type of the paid leg {FIXED, FLOAT}
PAID:FIXED to define that the fixed rate is paid (and the floating rate received)
PAID:FLOAT to define that the floating rate is paid (and the fixed rate received)
Default value:
PDELAY
date
PPMT
Partial payment for asset swaps {DDMMMYY:i with i<=1}
Default value: The asset swap is completely paid at the issue date
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OpMode
Keyword
Explanation
REFDATE
RP
Default value: RP:0 (the redemption cash flow is ignored for standard swaps)
RT
Reimbursement type {B, C{:i}, Sj{:i} where i is numeric (1=100%) and j from 1 to 8,
P}
RT:C:i for constant payments equal to i except for the last cash flow which is
adjusted
RT:Sj for j series
which is adjusted
Default value: RT:B
SPREAD
Spread {DDMMMYY:i}
SPREAD:DDMMMYY:i for a spread of i applicable to the floating rate as of DDMMMYY
Default value: SPREAD:0
XD
Default value: XD:0
OpMode
OpMode is used as argument in functions of the Adfin Options module to customize returned values.
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OpMode
OpMode is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
352
Keyword
Explanation
FRQ
Observation frequency {D, DAILY, M, MONTHLY, W, WEEKLY, Y, YEARLY}
FRQ:D or FRQ:DAILY for daily observation
FRQ:M or FRQ:MONTHLY for monthly observation
FRQ:W or FRQ:WEEKLY for weekly observation
FRQ:Y or FRQ:YEARLY for yearly observation
Default value: FRQ:D
HVM
Historical volatility method {C, HL}
HVM:C or HVM:CLOSE for the close prices method
HVM:HL for the high and low prices method (this method requires FRQ:D)
Default value: HVM:C
LAY
Layout parameter for the input array(s) orientation {H, HOR, V, VER}
Default value: LAY:V
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OpMode
Examples
Keyword
Explanation
RES
Expected result {D, DELTA, FDELTA, FRHO, FTHETA, FVEGA, G, GAMMA, R, RHO, T, THETA, V,
VEGA}
RES:D or RES:DELTA to calculate the delta ratio (sensitivity of the premium to the
RES:G or RES:GAMMA to calculate the gamma ratio (sensitivity of the delta ratio to the
RES:FDELTA to calculate the delta ratio in the foreign currency (for currency options)
RES:FRHO to calculate the rho ratio in the foreign currency (for currency options)
RES:FTHETA to calculate the theta ratio in the foreign currency (for currency options)
RES:FVEGA to calculate the vega ratio in the foreign currency (for currency options)
RES:R or RES:RHO to calculate the rho ratio (sensitivity of the premium to the market
interest rates)
RES:T or RES:THETA to calculate the theta ratio (sensitivity of the premium to the
RES:V or RES:VEGA to calculate the vega ratio (sensitivity of the premium to the
RET
YB
Number of days in a year or year basis { i with i as integer}
"FRQ:W HVM:HL" Calculates the historical volatility from weekly high and low prices.
"LAY:H" Allows the use of a horizontal array for an array input parameter.
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OptionStructure
OptionStructure
OptionStructure is used as argument in functions of the Adfin Options module to define the
structure of a standard option.
OptionStructure is a string consisting of a series of parameters. Each set of parameters consists
Structure
Keyword
Explanation
CALL
Call option type flag {no value}
CALL to specify a call option
Default value: No standard option type (neither parameter CALL nor PUT) is defined
CAP
Strike value of a capped option {i, where i is numeric}
CAP:i to specify the cap strike value
CLDR
Calendar parameter for expiry date and dividend date adjustments {calendars}
CLDR:calendars to assign one or more calendars used for moving dividend dates if
they fall on non-working days (see DMC and example below)
Default value: No dividend adjustment is made (calendar NULL)
CONVRATIO Conversion ratio {i}
CONVRATIO:i to indicate that the conversion ratio is equal to i
Default value: 1
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OptionStructure
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Keyword
Explanation
DCB
Day count basis {00, A0, A0D, A25D, A5, A5D, AA, E0, JAP, NL0, NL5, W252} (see the Notes
section below)
DCB:E0 for 30E/360 (period-based calculation)
Default value: No
DELIV
Delivery date {DDMMMYY} (see the Notes section below)
DELIV:DDMMMYY where DDMMMYY is the delivery date if different from the expiry date
(such as for currency options)
Default value: The delivery date is equal to the expiry date
DILUTION
Dilution flag {YES, NO, i}
DILUTION: YES to take the dilution into account
DILUTION: NO to ignore it
DILUTION: i where i is the dilution factor as a percentage
Default value: NO
DIV
Dividend payment {DDMMMYY:i (where i is numeric)}
DIV:DDMMMYY:i to indicate that the underlying pays at the date DDMMMYY a dividend
payment equal to i
Default value: The underlying pays no discrete dividend
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OptionStructure
Keyword
Explanation
DIVTYPE
Dividend type {CONT, DISC, FIXED, PROP} (see the Notes section below)
DIVTYPE:FIXED for fixed dividends
DIVTYPE:PROP for proportional dividends
DMC
Date moving convention used when an expiry date or a dividend date falls on a
non-working day {F, FOL, M, MOD, N, NONE, P, PRE}
DMC:F or DMC:FOL to move the date to the following working day
DMC:M or DMC:MOD to move the date to the following working day unless it causes the
month is used)
Default value: DMC:NO
EXM
Exercise mode {A, AMER, AMERICAN, :DDMMMYY{:DDMMMYY{:i}} E, EUR, EURO} (see the
EXM:A, EXM:AMER, or EXM:AMERICAN to specify a Vanilla option with an American mode
EXM:DDMMMYY or EXM:DDMMMYY:DDMMMYY to specify a Vanilla option with a Bermudan
mode
EXM:DDMMMYY:DDMMMYY:i to specify a Vanilla option or warrant with variable strike
price i
EXM:E, EXM:EUR, or EXM:EURO to specify a European option
Default value: EXM:EURO
NBSTOCK
Number of shares outstanding {i}
Default value: NBSTOCK:0
NBWARRANT Number of warrants {i}
Default value: NBWARRANT:0
PUT
356
Put option type flag {no value}
PUT to specify a put option
Default value: No standard option type (neither parameter CALL nor PUT) is defined
4 August 2003
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OptionStructure
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Keyword
Explanation
RATEFRQ
S, Y, ZERO} (see the Notes section below)
RATEFRQ:182D for compounding every 182 days
Default value: RATEFRQ:YEARLY or RATEFRQ:1
RATETYPE
Yield type {CONT, DISC, MM, MMB, MMM, MMP, TRE, SIMPLEJAP, CMPJAP} (see the Notes
section below)
Default value: RATETYPE:CONT
SPOT
Spot date {DDMMMYY} (see the Notes section below)
SPOT:DDMMMYY where DDMMMYY is the spot date if different from the trade date (such as
for currency options)
Default value: The spot date is equal to the calculation date
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ParseMode
Keyword
Explanation
UI
Underlying asset type {COM, CUR, FUT, SEC} (see the Notes section below)
UI:COM for an option on commodities
UI:CUR for an option on currencies
UI:FUT for an option on futures
UI:SEC for an option on securities (indexes, stocks, bonds)
Default value: UI:SEC
ParseMode
ParseMode is used as argument in functions of the Adfin Common module to define the parsing
mode.
ParseMode is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
358
Keyword
Explanation
FD
Fraction denominator {i with i as integer}
FD:i to convert a fraction expressed with a denominator equal to i to a decimal
number
Default value: FD:64 when a fraction is detected using PDT:BOND
FD:1 otherwise
LAY
LEN
Number of characters of the substring to parse {i with i as integer}
LEN:i to use i characters of the data string for the parsing
Default value: Length of the data string
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RateMode
Example
Keyword
Explanation
PDF
Parsing data format when using PDT:FXSWP {AB, AUTO, BA, ONE}
PDF:AB to control that the data is displayed using the Ask/Bid format
PDF:AUTO to adapt the Bid/Ask formatted data to have Bid<Ask
PDF:BA to control that the data is displayed using the Bid/Ask format
PDF:ONE to control that there is a unique data
Default value: PDF:AUTO
PDT
Parsing data type {BOND, GEN, FXSWP}
PDT:BOND to parse a bond yield or price
PDT:GEN to parse a general money market rate
PDT:FXSWP to parse a currency swap point
Default value: PDT:BOND if FD is included
PDT:GEN otherwise
POS
Position of the first character of the substring to parse {i with i as integer}
POS:i to start parsing the data string from character #i
Default value: POS:1
“PDF:AB PDT:FXSWP” defines the data to parse as a currency swap point displayed in the Ask/Bid
format.
RateMode
RateMode is used as argument in functions of the Adfin TermStructure module to customize returned
values.
RateMode is a string consisting of a series of parameters. Each set of parameters consists of a
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RateMode
Structure
360
Keyword
Explanation
BWB
Bid with bid calculation for AdDepToFraBA {NO, YES}
BWB:NO to use an arbitrage method which mixes the bid and ask rates for the FRA
calculation
BWB:YES to work separately on the bid and ask rates for the FRA calculation
Default value: BWB:NO
FROM
Type of the input rate for AdRateConv {00, A0, A0D, A25D, A5, A5D, AA, CONT, DAYA0,
DAYA5, DISCA0, DISCA5, DF, E0, IAM, MMA0, MMA5}
FROM:00 for 30/360
FROM:A0 for Actual/360
FROM:A0D for Actual/360 (daily compounding)
FROM:A25D for Actual/365.25 (daily compounding)
FROM:A5 for Actual/365
FROM:A5D for Actual/365 (daily compounding)
FROM:AA for Actual/Actual
FROM:CONT for continuous
FROM:DAYA0 for daily Actual/360
FROM:DAYA5 for daily Actual/365
FROM:DISCA0 for discount Actual/360
FROM:DISCA5 for discount Actual/365
FROM:DF for discount factor
FROM:E0 for 30E/360 ISMA
FROM:IAM for interest at maturity
FROM:MMA0 for money market Actual/360
FROM:MMA5 for money market Actual/365
Default value: No default value is defined, mandatory keyword
LAY
Default value: The value of the LAY keyword of the "YC" category
OFFSET
Offset to add to FRA prices for AdDepToFraBA {i, with i as integer}
OFFSET:i to add an offset of i basis points (1 basis point = 0.01%) to both bid and ask
rates
Default value: No offset is applied
4 August 2003
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RateMode
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Keyword
Explanation
R1
Type of the first rate for AdDepToFra or AdDepToFraBA {00, A0, A0D, A25D, A5, A5D, AA,
CONT, DAYA0, DAYA5, DISCA0, DISCA5, DF, E0,IAM, MMA0, MMA5}
R1:00 for 30/360
R1:A0 for Actual/360
R1:A0D for Actual/360 (daily compounding)
R1:A25D for Actual/365.25 (daily compounding)
R1:AA for Actual/Actual
R1:CONT for continuous
R1:DAYA0 for daily Actual/360
R1:DISCA0 for discount Actual/360
R1:DF for discount factor
R1:E0 for 30E/360 ISMA
R1:IAM for interest at maturity
R1:MMA0 for money market Actual/360
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RateMode
362
Keyword
Explanation
R2
Type of the calculated rate for AdDepToFra or AdDepToFraBA {00, A0, A0D, A25D, A5,
A5D, AA, CONT, DAYA0, DAYA5, DISCA0, DISCA5, DF, E0, IAM, MMA0, MMA5}
R2:00 for 30/360
4 August 2003
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RateMode
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Keyword
Explanation
R3
Type of the second rate for AdDepToFra or AdDepToFraBA {00, A0, A0D, A25D, A5, A5D,
AA, CONT, DAYA0, DAYA5, DISCA0, DISCA5, DF, E0, IAM, MMA0, MMA5}
R3:00 for 30/360
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RateMode
364
Keyword
Explanation
RATES
Type of all rates for AdDepToFra or AdDepToFraBA {00, A0, A0D, A25D, A5, A5D, AA, CONT,
DAYA0, DAYA5, DISCA0, DISCA5, DF, E0, IAM, MMA0, MMA5}
RATES:00 for 30/360
RATES:A0 for Actual/360
RATES:A0D for Actual/360 (daily compounding)
RATES:A25D for Actual/365.25 (daily compounding)
RATES:A5 for Actual/365
RATES:A5D for Actual/365 (daily compounding)
RATES:AA for Actual/Actual
RATES:CONT for continuous
RATES:DAYA0 for daily Actual/360
RATES:DAYA5 for daily Actual/365
RATES:DISCA0 for discount Actual/360
RATES:DISCA5 for discount Actual/365
RATES:DF for discount factor
RATES:E0 for 30E/360 ISMA
RATES:IAM for interest at maturity
RATES:MMA0 for money market Actual/360
RATES:MMA5 for money market Actual/365
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RateStructure
Keyword
Explanation
TO
Type of the output rate for AdRateConv {00, A0, A0D, A25D, A5, A5D, AA, CONT, DAYA0,
DAYA5, DISCA0, DISCA5, DF, E0, IAM, MMA0, MMA5}
TO:00 for 30/360
TO:A0 for Actual/360
TO:A0D for Actual/360 (daily compounding)
TO:A25D for Actual/365.25 (daily compounding)
TO:A5 for Actual/365
TO:A5D for Actual/365 (daily compounding)
TO:AA for Actual/Actual
TO:CONT for continuous
TO:DAYA0 for daily Actual/360
TO:DAYA5 for daily Actual/365
TO:DISCA0 for discount Actual/360
TO:DISCA5 for discount Actual/365
TO:DF for discount factor
TO:E0 for 30E/360 ISMA
TO:IAM for interest at maturity
TO:MMA0 for money market Actual/360
TO:MMA5 for money market Actual/365
Default value: No default value is defined, mandatory keyword
RateStructure
RateMode is used as argument in Adfin Analytics functions to define the rate model for pricing
instruments.
RateMode is a string consisting of a series of parameters. Each set of parameters consists of a
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365
RateStructure
Structure
Keyword
Explanation
CLDRADJ
Cash flow date adjustment according to a calendar {NO, NULL, WE, CLDR}
CLDRADJ:NO for analytic pricing (i.e. from the bond structure)
CLDRADJ:NULL for cash flow pricing using the calendar NULL
CLDRADJ:WEEKEND for cash flow pricing using the calendar WEEKEND
CLDRADJ:CLDR for cash flow pricing using the calendar defined by the keyword CLDR (if
no calendar is defined, CLDRADJ:WEEKEND is used)
Default value: The value of the CLDRADJ keyword of the "RATEMODEL" category
CURVESHIFT Specifies the shift value {i, where i is a float expressed as real value} (see the Notes
section below)
CURVESHIFT:i means that a shift of i applies to the yield curve
Default value: No shift is defined
DCB
366
Day count basis {00, 05, A0, A0D, A25D, A5, A5D, AA, E0, JAP, NL0, NL5, W252} (see the
DCB:05 for 30/365 (period-base calculation)
DCB:E0 for 30E/360 (period-based calculation)
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RateStructure
[email protected]
Keyword
Explanation
EY
Equivalent yield parameter {1, 12, 180D5, 182D, 2, 28D, 364D, 4, 91D, M, Q, S, Y, FRQ}
EY:180D5 for compounding every 180 days on a 365 year basis
EY:FRQ for compounding defined by the FRQ keyword in the BondStructure
Default value: The value of the EY keyword of the "RATEMODEL" category
IM
IMVOL
Interpolation method on volatility {CUBD, CUBR, LIN, LIX, LOG, VOL}
Default value: IMVOL:LIN
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RateStructure
368
Keyword
Explanation
LLP
Linear last periods parameter {00{:i}, A0{:i}, A5{:i}, AA{:i}, E0{:i}, NO, with i as
integer OR as EY {Y, M, 182D, S, 28D, 364D, Q, 91D}}
LLP:00 for 30/360 for the last period only
LLP:00:i for 30/360 for the i last periods
LLP:00:{Y, M, 182D, S, 28D, 364D, Q, 91D} for 30/360 for a last period of the specified
length
LLP:A0:{Y, M, 182D, S, 28D, 364D, Q, 91D} for Actual/360 for a last period of the
specified length
LLP:A5:{Y, M, 182D, S, 28D, 364D, Q, 91D} for Actual/360 for a last period of the
specified length
LLP:AA for Actual/Actual for the last period only
LLP:AA:i for Actual/Actual for the i last periods
LLP:AA:{Y, M, 182D, S, 28D, 364D, Q, 91D} for Actual/Actual for a last period of the
specified length
LLP:E0 for 30E/360 for the last period only
LLP:E0:i for 30E/360 for the i last periods
LLP:E0:{Y, M, 182D, S, 28D, 364D, Q, 91D} for 30E/360 a last period of the specified
length
LLP:NO for defining no special processing of the last period(s)
Default value: LLP:NO
MDWA
Specifies the type of minimization of residual errors in the Vasicek-Fong model and
basis-spline model, using AdTermStructure {YES, NO}
MDWA:YES to minimize errors between model and market prices weighted by the
inverse of the bond volatility
MDWA:NO to minimize errors between model and market prices
Default value: MDWA:NO
NBKNOT
Number of knots you can choose to build the yield curve when using the basis-spline
models (i with i as an integer)
NBKNOT:i, where 2<= i <= number of distinct input maturities
Default value: NBKNOT:(N/3)+2, where N is the number of distinct input maturities
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RateStructure
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Keyword
Explanation
ND
OBC
array boundaries)
RATEFRQ
Compounding frequency parameter {1, 12, 28D, 2, 28D, 180D5, 182D, 364D, 4, 91D, M,
Q, S, Y, ZERO, EY, FRQ} (see the Notes section below)
RATEFRQ:180D5 for compounding every 180 days on a 365 year basis
RATEFRQ:EY for compounding defined by the EY keyword
RATEFRQ:FRQ for compounding defined by the FRQ keyword in the BondStructure
Default value: The value of the RATEFRQ keyword of the "RATEMODEL" category
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RateStructure
370
Keyword
Explanation
RATETYPE
Yield type {CMP, CONT, DISC, MM, MMB, MMM, MMP, TRE, SIMPLEJAP, CMPJAP} (see the Notes
section below)
RATETYPE:CMP for Actual
RATETYPE:MMB specified when using the Money Market Bullet pricing method
RATETYPE:MMM specified when using the Money Market Medium pricing method
RATETYPE:MMP specified when using the Money Market Proceeds pricing method
RATETYPE:MMR specified when using the Money Market Direct Discounting pricing
method
RATETYPE:TRE for US Bills Treasury
Default value: RATETYPE:CMP
RM
Rate model {YC, YTA, YTB, YTW, YTM, HW, VF, BDT, BS, BSPLINE} (see the Notes section
below)
RM:YC for Yield Curve
RM:YTA to adapt the calculation of the yield to the bond structure
RM:YTB for Yield To Best
RM:YTW for Yield To Worst
RM:YTM for Yield To Maturity
RM:HW for Hull and White model
RM:VF for Vasicek-Fong model
RM:BDT for Black, Derman, and Toy model
RM:BS for Black and Scholes model
RM:BSPLINE for basis-spline models
Default value: RM:YTA
SMOOTH
Specifies the smoothing basis-spline model {NULL, STEP, CONT}
SMOOTH:NULL for McCulloch linear regression
SMOOTH:STEP for Waggoner smoothing spline model
SMOOTH:CONT for Anderson smoothing spline model
Default value: SMOOTH:NULL
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RepoMode
Keyword
Explanation
VFALPHA
Alpha coefficient you can specify in the Vasicek-Fong model using AdTermStructure
{i (where i is a float)}
VFALPHA:i to specify the coefficient value
VOLTYPE
Volatility type used in the dynamic model {ZC, SR} (see the Notes section below)
VOLTYPE:ZC for Zero Coupon yield volatility
VOLTYPE:SR for short rates volatility
Default value: VOLTYPE:SR
ZCTYPE
RepoMode
RepoMode is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
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Keyword
Explanation
CF
Specifies the repo cash flows adjustment {CLDR, NO, YES, WE}
CF:CLDR to correct cash flow dates using holidays from the calendar defined with
CLDR (if no calendar is defined, CLDR:WEEKEND is used)
CF:NO to perform the calculation using the bond structure only
CF:YES and CF:WE to correct cash flow dates using weekends
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RepoMode
372
Keyword
Explanation
CIR
Intermediary coupons reinvestment rate {i:00, i:A0, i:A0D, i:A25D, i:A5, i:A5D,
i:AA, i:BFM, i:E0, i:MMBA0, i:MMBA5, i:MMMA0, i:MMMA5, i:MMPA0, i:MMPA5, where
i is numeric (1=100%)}
CIR:i:00 for a bond 30/360 rate equal to i
CIR:i:A0 for a bond Actual/360 rate equal to i
CIR:i:A0D for a bond Actual/360 (day-based) rate equal to i
CIR:i:A25D for a bond Actual/365.25 (day-based) rate equal to i
CIR:i:A5 for a bond Actual/365 rate equal to i
CIR:i:A5D for a bond Actual/365 (day-based) rate equal to i
CIR:i:AA for a bond Actual/Actual rate equal to i
CIR:i:BFM for a Braess/Fangmeyer rate equal to i
CIR:i:E0 for a bond 30E/360 ISMA rate equal to i
CIR:i:MMBA0 for a money market bullet Actual/360 rate equal to i
CIR:i:MMBA5 for a money market bullet Actual/365 rate equal to i
CIR:i:MMMA0 for a money market medium term CD Actual/360 rate equal to i
CIR:i:MMMA5 for a money market medium term CD Actual/365 rate equal to i
CIR:i:MMPA0 for a money market proceeds Actual/360 rate equal to i
CIR:i:MMPA5 for a money market proceeds Actual/365 rate equal to i
Default value: Intermediary coupons are reinvested at the repo rate
CLDR
Calendar parameter for all date adjustments {calendars}
CLDR:calendars to assign one or more calendars to a bond for settlement date and
true yield calculation
Default value: The value of CLDR defined in BondStructure Argument
FV
Future value mode {C, CLEAN, G, GROSS, Y, YIELD}
FV:C or FV:CLEAN to express the future value as a clean price
FV:G or FV:GROSS to express the future value as a gross price
FV:Y or FV:YIELD to express the future value as a yield
Default value: FV:C
NPV
Net Present value mode {C, CLEAN, G, GROSS, Y, YIELD}
NPV:C or NPV:CLEAN to express the present value as a clean price
NPV:G or NPV:GROSS to express the present value as a gross price
NPV:Y or NPV:YIELD to express the present value as a yield
Default value: NPV:C
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RepoMode
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Keyword
Explanation
RES
Expected result {FV, IMPRATE, NPV}
RES:FV to calculate the future value
RES:IMPRATE to calculate the implied repo rate
RES:NPV to calculate the present value
RPFV
Future value redemption ratio {i (where i is numeric) (1=100%)}
RPFV:i for a ratio equal to i
Default value: The value of RP defined in BondStructure Argument
RPNPV
Present value redemption ratio {i (where i is numeric) (1=100%)}
RPNPV:i for a ratio equal to i
Default value: The value of RP defined in BondStructure Argument
RR
Repo rate type {00, A0, A0D, A25D, A5, A5D, AA, E0, MMBA0, MMBA5, MMMA0, MMMA5,
MMPA0, MMPA5}
RR:00 for bond 30/360
RR:A0 for bond Actual/360
RR:A0D for bond Actual/360 (day-based)
RR:A25D for bond Actual/365.25 (day-based)
RR:A5 for bond Actual/365
RR:A5D for bond Actual/365 (day-based)
RR:AA for bond Actual/Actual
RR:E0 for bond 30E/360 ISMA
RR:MMBA0 for money market bullet Actual/360
RR:MMBA5 for money market bullet Actual/365
RR:MMMA0 for money market medium term CD Actual/360
RR:MMMA5 for money market medium term CD Actual/365
RR:MMPA0 for money market proceeds Actual/360
RR:MMPA5 for money market proceeds Actual/365
XDFV
Future value ex-dividend calculation {no value, NO, YES}
XDFV or to force ex-dividend calculations (exclude the right to the next coupon)
XDFV:NO to force cum-dividend calculations (grant the right to the next coupon)
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RoundMode
Keyword
Explanation
XDNPV
Present value ex-dividend calculation {no value, NO, YES}
XDNPV or XDNPV:YES to force ex-dividend calculations (exclude the right to the next
coupon)
XDNPV:NO to force cum-dividend calculations (grant the right to the next coupon)
RoundMode
RoundMode is used as argument in functions of the Adfin Common module to define the rounding
mode.
RoundMode is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
Keyword
Explanation
DOWN
Down rounding method {no value}
DOWN to round the number down
NEAR
Nearest rounding method {no value}
NEAR to round the number to the nearest possible number (depends on the tick)
Default value: NEAR
UP
Up rounding method {no value}
UP to round the number up
RtMode
The RtMode argument is used in Adfin Real Time to define how real time data is retrieved or
contributed.
RtMode is a string made up of a series of parameters, each one consisting of a keyword, an optional
colon (":"), and the value of the parameter. Spaces are used to separate the parameters in the string.
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RtMode
Structure
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Keyword
Explanation
CTU
Specifies the cells to update {ALL, CHANGED}
CTU:ALL to update all cells within the result array
CTU:CHANGED to update only the cells which have changed in the result array
FORMAT
Specifies the format applied to numeric data contributed to a page or a field {i} or
{i:j with i and j as integer}
FORMAT:i for a string of i characters
FORMAT:i:j for a string of i characters and a decimal precision of j digits (1 <= i
<= 325 and 0 <= j <= 15)
Default value: No format is applied
FRQ
Defines the maximum update frequency {iH, iM, iS, with i as integer}
FRQ:iH for i hours
FRQ:iM for i minutes
FRQ:iS for i seconds (minimum is 1S)
Default value: FRQ:30S for “RtUpdate”
No default value for “RtContribute” and “RtSeries”
FTC
Defines the field values to contribute simultaneously {ALL, CHANGED, i-j,k with i,
j and k as integer}
FTC:ALL to contribute all fields each time the function is recalculated
FTC:CHANGED to contribute only the fields that have changed since the last time the
function was recalculated
FTC:i-j,k to contribute fields numbered from i to j and k as well as the field that
changed when the function is recalculated
Default value: FTC:ALL
IGNE
Specifies whether empty records retrieved by “#RtChain” are ignored {NO, YES}
IGNE:NO to display empty records
IGNE:YES to skip empty records
Default value: IGNE:NO
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RtMode
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Keyword
Explanation
LAY
Specifies the orientation of the result array of “#RtChain”, “RtSeries”, and
“RtUpdate” {HOR, VER}
LAY:HOR means that instrument codes and fields are returned in a row
LAY:VER means that instrument codes and fields are returned in a column
Default value: LAY:HOR for “RtUpdate” and “RtSeries” (all fields for one
instrument displayed across one row)
LAY:VER for “RtChain” (constituents are displayed in a column)
LIFETIME
Specifies the contribution lifetime for local contributions {ALWAYS, iH, iM, iS, with i
as integer}
LIFETIME:ALWAYS for no limitation
LIFETIME:iH for i hours
LIFETIME:iM for i minutes
LIFETIME:iS for i seconds
Default value: The value defined as Local Contribution Lifetime in Settings
LIVE
Specifies whether the data is maintained in real time, following initial retrieval with
“RtUpdate” function {NO, YES}
LIVE:NO to get a single “snapshot” of the data
LIVE:YES to maintain subscriptions open and receive further updates
Default value: LIVE:NO
ONTIME
Specifies the date and time of the snap event {HHMM, DDMMMYY:HHMM}
ONTIME:HHMM indicates that the snap occurs on any date at the time HH:MM
ONTIME:DDMMMYY:HHMM indicates that the snap occurs on the date DDMMMYY at the
time HHMM
POS
Specifies the position of the first contributed character for IDN row contribution {i
with i as integer}
POS:i to write the value to the row starting at position i
Default value: POS:1
RET
Specifies the size of the return array of “#RtChain” and “RtSeries” {Ai with i as
integer}
RET:Ai to get an array of i rows
Default value: No array size is defined (the output of “#RtChain” may be
corrupted or may overwrite other data)
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RtMode
Keyword
Explanation
SCOPE
Specifies the contribution scope {L, LOCAL, S, SERVER}
SCOPE:L or SCOPE:LOCAL for local contribution that means the contributed data is
sent to all open spreadsheets
SCOPE:S or SCOPE:SERVER for server contribution that means the contributed data
is sent to the selected source server
Default value: The value defined as Contribution Type in Settings
SKIP
Specifies which records retrieved by “#RtChain” are ignored {i-j,k with i, j and k
as integer}
SKIP:i-j, k to ignore the records numbered from i to j and k, generally used to
avoid displaying the first ones, which do not describe actual instruments
Default value: No record is skipped
SORT
List sorting order of the time series for “RtHistory” and “RtSeries” {ASC, DESC}
SORT:ASC means that the oldest is the first of the list
SORT:DESC means that the most recent is the first of the list
Default value: SORT:DESC
START
Specifies the start date of the snap process {HH:MM, DD/MMM/YY-HH:MM}
START:HH:MM to start the snap process on the current day at HH:MM
START:DD/MMM/YY-HH:MM to start the snap process at the specified date and time
Default value: The current date and time.
TRIM
Specifies the space trimming for string data retrieved by “RtGet” and “RtUpdate”
{BOTH, LEFT, RIGHT}
TRIM:BOTH to remove spaces at the beginning and at the end of the text string
TRIM:LEFT to only remove spaces at the beginning of the text string
TRIM:RIGHT to only remove spaces at the end of the text string
Default value: No trimming is done
TSPOS
Specifies the place of the timestamp field {LEFT, NONE, RIGHT}
TSPOS:LEFT means that the timestamp column is the first column
TSPOS:NONE means that the timestamp field is not returned
TSPOS:RIGHT means that the timestamps column is the last column
Default value: TSPOS:LEFT
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StirFutStructure
Keyword
TYPE
Explanation
Specifies the type of data retrieved with “RtGet” and “RtUpdate” {DATE, LOCAL,
NUM, STRING, TIME}
TYPE:DATE for date
TYPE:LOCAL for data in your local format
TYPE:NUM for numeric
TYPE:STRING for string
TYPE:TIME for time
Default value: The default value depends on the real time platform. In most cases
Adfin Real Time returns the data in the proper type automatically
UPDATE
Defines the condition to trigger the update event {ALWAYS, CHANGED, SNAP,
STOP}
UPDATE:ALWAYS: With “RtUpdate”: to update the data and/or run the macro
regardless of data updates
With “RtContribute”: to contribute the data whenever the function is invoked
UPDATE:CHANGED: With RtUpdate: to update the data and/or run the macro only if
the data changes
With RtContribute: to contribute the data only if the data to contribute has changed
UPDATE:SNAP: With RtUpdate: to update the data on snap
UPDATE:STOP: With RtUpdate and RtContribute: to stop all actions
Default value: UPDATE:CHANGED
UWC
Specifies the update condition with “#RtChain” {NO, YES}
UWC:NO to update the result array for the first time as data arrives
UWC:YES to update the result array upon complete retrieval
Default value: UWC:YES
StirFutStructure
StirFutStructure is used as argument in functions of the Adfin Common module to define the
structure of a STIR interest rate futures contract.
StirFutStructure is a string consisting of a series of parameters. Each set of parameters consists
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StirFutStructure
Structure
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Keyword
Explanation
CLDR
CRD
Contract reference date calculation method {2NDFRI, 3RDWED, NBB}
CRD:2NDFRI to set the second Friday of the delivery month
CRD:3RDWED to set the date to the third Wednesday day of the delivery month
CRD:NBB to set the date to the third Wednesday after the ninth day of the contact
month (specific to the NZ Bank Bill Future Contracts)
Default value: CRD:3RDWED
CUR
Underlying currency {currency}
CUR:currency to define the contract underlying currency
DTM
Default value: DTM:2
NBMC
Number of monthly contracts {i with i as integer}
NBMC:i to specify that i monthly contracts (“odd maturities”) are quoted
Default value: NBMC:0
NBMONTH
Number of months covered by the contract {1, 3, 6, 12}
NBMONTH:1 for 1 month
NBMONTH:3 for 3 months
Default value: NBMONTH:3
NBQC
Number of quarterly contracts {i with i as integer}
NBQC:i to specify that i quarterly contracts (“standard maturities”) are quoted
Default value: NBQC:8
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StyleMode
StyleMode
StyleMode is used as argument in functions of the Adfin Common odule to define how a new style is
created or modified. It is also used to retrieve the latest value of an index history style.
StyleMode is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
Keyword
Explanation
LAY
Layout parameter for the input array orientation {H, HOR, V, VER}
Default value: LAY
RET
functions {Ai, i with i as integer}
RET:Ai with i from 1 to ArraySize to get the array of the i first elements (values
only)
SwapStructure
SwapStructure is used as argument in the AdSwaptionDeriv and AdSwaptionPremium functions to
define the structure of a swap.
SwapStructure is a string consisting of a series of parameters. Each set of parameters consists of a
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SwapStructure
Structure
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Keyword
Explanation
ACC
JAP, MMA0, MMA5, MMNL5, NL0, NL5, W252}
ACC:00 for 30/360
ACC:BB00 for Brazilian 30/360
ACC:BBA5 for Brazilian Actual/365
ACC:BBW252 for Brazilian Actual Working days/252
ACC:E0 for 30E/360
AMORT
numeric)}
ARND
NEAR}}
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SwapStructure
382
Keyword
Explanation
CCM
MME0, MMNL0, MMNL5, 00D, A0D, A5D, E0D, 00, A0, A5, AA, E0} (see the Notes section
below)
CFADJ
CLDR
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SwapStructure
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Keyword
Explanation
CRND
DATED
DMC
DMC:M or DMC:MOD for moving the date to the following working day unless it causes
the date to be pushed into the next month (in this latter case, the last working day of
the month is used)
DMC:N or DMC:NONE for no moving date
EMC
EMC:L or EMC:LAST for last
EMC:S or EMC:SAME for same
EMC:L28 to match Hong Kong bond requirements: They ignore the 29th of February
for cash flow payment. This affects semi-annual bonds maturing on the 31st of
August. Coupons are paid every 31st of August and every 28th of February. In case of
a leap year the cash flow is still paid the 28th and not the 29th
FAD
FCV
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SwapStructure
384
Keyword
Explanation
FRCD
FRQ
Frequency of the coupon payments {i {28D, 91D, 182D,364D, 1, 2, 4, 12}} (see the
IC
equal to first anniversary date (SPGB)
IC:NBC for NBC fist coupon
IDX
IDX:index to assign an index history style to the bond
LBOTH
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SwapStructure
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Keyword
Explanation
LPAID
LRCD
LRCD:JGB to handle odd last coupons for JGBs automatically
LRECEIVED
Received leg attribute flag {no value}
LTYPE
MDADJ
MDADJ:N for No maturity date adjustment
NOTIONAL
PDELAY
date
PPMT
Partial payment for swaps {DDMMMYY:i with i<=1}
Default value: The swap is completely paid at the issue date
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SwMode
Keyword
Explanation
REFDATE
REFDATE:ISSUE to use the issue date as reference date
RND
Coupon rounding for accrued calculation {2, 3, 4, 5, 6, NO}
For backward compatibility reasons, this keyword is still supported
RND:NO for no rounding
Default value: RND:NO
RP
RT
RT:C:i for constant payments equal to i except for the last cash flow which is
adjusted
RT:Sj for j series
which is adjusted
Default value: RT:B
SPREAD
Credit spread flag {no value, NO, YES}
SPREAD or SPREAD:YES to enable the credit spread in the calculation
SPREAD:NO to disable the credit spread in the calculation
Default value: SPREAD:0
SwMode
SwMode is used as argument in functions of the Adfin Swaps module to define:
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SwMode
•
the attributes of the zero-coupon yield curves used or calculated in Adfin Swaps (keywords
CURVESHIFT, DCB, IM, LAY, ND, OBC, SHIFT, and ZCTYPE)
the types of some input arguments and to select or customize returned values (keywords
MATRANGE, PXT, RES and RET)
how the prices are specified in input and output for currency swaps (keyword DC)
•
•
SwMode is a string consisting of a series of parameters. Each set of parameters consists of a
Structure
Keyword
Explanation
CURVESHIFT Specifies the shift value {i, where i is a float expressed as real value} (see the Notes
section below)
CURVESHIFT:i means that a parallel shift of i applies to the yield curve
Default value: No shift is defined
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DC
Discount currency parameter for currency swaps {currencies}
DC:currency to define the currency used for discounting both legs
Default value: The currency of the paid leg
DCB
Day count basisused for zero-coupon calculations {00, A0, A0D, A25D, A5, A5D, AA, E0}
IM
Interpolation method {CUBD, CUBR, LIN}
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SwMode
388
Keyword
Explanation
LAY
Default value: The value of the LAY keyword of the "XLMODE" category
MATRANGE
Range parameter describing the maturities included in an input swap rate curve
{iY,jY, iY-jY with i and j as integer}
MATRANGE:iY,jY to specify a curve with maturities of i years and j years
MATRANGE:iY-jY to specify a curve with maturities ranging from i years to j years
Default value: MATRANGE: 1,2,3,6,9, or undefined
ND
OBC
array boundaries)
PXT
Input price type {BOTH, FIXED, FLOAT, PAID, RECEIVED}
PXT:BOTH for the price of both legs
PXT:FIXED for the price of the fixed leg
PXT:FLOAT for the price of the floating leg
PXT:PAID for the price of the paid leg
PXT:RECEIVED for the price of the received leg
Default value: PXT:BOTH
RES
Expected result {FIXED, FLOAT, PAID, RECEIVED}
RES:FIXED for fixed leg pricing
RES:FLOAT for floating leg spread pricing
RES:PAID for the fixed rate or floating rate spread of the paid leg
RES:RECEIVED for the fixed rate or floating rate spread of the received leg
Default value: No
4 August 2003
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YcMode
Keyword
Explanation
RET
functions {Ai{:ABCDE}, i with i as integer}
RET:Ai with i from 1 to ArraySize to get the i first rows of the default array
RET:Ai:ABCDE with i from 1 to ArraySize to get the i first rows of an array containing
the selected columns (see supported configurations)
Default value: No
SHIFT
Net present value change value {i (where i is numeric)}
SHIFT:i for a NPV change equal to i
Default value: SHIFT:0.0001
ZCTYPE
Input zero-coupon yield curve type {DF, RATE}
ZCTYPE:DF for a discount factor yield curve
ZCTYPE:RATE for a zero-coupon rate yield curve
YcMode
YcMode is used as argument functions of the Adfin TermStructure module to customize
returned values.
YcMode is a string consisting of a series of parameters. Each set of parameters consists of
a keyword, a colon (:), and the value of the keyword. The parameter sets are separated by
a blank space. However, certain keywords are used on their own and do not require a
value. A keyword can also have several values, all separated by colons.
Structure
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Keyword
Explanation
BWB
Bid with bid calculation {NO, YES}
BWB:NO to use an arbitrage method which mixes the bid and ask curves for the FRA
calculation
BWB:YES to work separately on the bid and ask curves for the FRA calculation
Default value: BWB:NO
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YcMode
Keyword
Explanation
DCB
Day count basis {00, A0, A0D, A25D, A5, A5D, AA, E0}
DCP
Current payment parameter for Adfin Swaps {NO, YES}
DCP:NO to keep the current caplet/floorlet
DCP:YES to skip the current caplet/floorlet
Default value: DCP:NO
IM
Default value: IM:LIN
390
LAY
ND
Default value: ND:NO
NFVP
Next fixing validity period {i, with i as integer}
NFVP:i to use the next fixing for a period of i days before the fixing date
Default value: NFVP:0
4 August 2003
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YcMode
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Keyword
Explanation
OBC
array boundaries)
Default value: OBC:NO
ODD
Odd contracts parameter {NO, YES}
ODD:NO to skip odd contract codes
ODD:YES to list odd contract codes
Default value: ODD:YES
OFFSET
Offset to add to FRA prices {i, with i as integer}
OFFSET:i to add an offset of i basis points (1 basis point = 0.01%) to both bid and ask
rates
Default value: No offset is applied
PFVP
Previous fixing validity period {i, with i as integer}
PFVP:i to use the previous fixing for a period of i days after the fixing date
Default value: PFVP:0
RET
Return value parameter to shorten the data returned by array functions {Ai, i with i
as integer}
RET:Ai with i from 1 to ArraySize to get the i first elements
Default value: BWB
ROLL
Rollover parameter {NO, YES}
ROLL:NO to list next contract code
ROLL:YES to skip next contract code
Default value: ROLL:NO
SPREAD
Spread to apply to FRA prices {i, with i as integer}
SPREAD:i to force a spread of i basis points (1 basis point = 0.01%) between bid and
ask rates
Default value: The spread is not forced
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YcMode
392
Keyword
Explanation
ZCTYPE
Default value: ZCTYPE:RATE
4 August 2003
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Reuters PowerPlus Pro 4.5.1 Function Reference Guide (Doc. No

Transcription

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