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Bond.PricingParameters

The following table shows all the possible pricing parameters to apply to the Bond instrument.

Value Description Data type Optional Default value
adjustedCleanPrice The clean price of the instrument adjusted by InflationIndexRatio. number Yes -
adjustedDirtyPrice The dirty price of the instrument adjusted by InflationIndexRatio. number Yes -
adjustedYieldPercent The instrument yield computed with [inflationMode = Adjusted]. number Yes -
applyTaxToFullPricing The indicator weather to apply tax rates for computations of pricing analysis, risk measure and spread measure fields. boolean Yes -
assetSwapSpreadBp The spread over or under the reference rate (e.g., 'LIBOR') for a bond whose cash flows have been converted from fixed to floating via an interest rate swap. number Yes -
benchmarkAtIssuePrice The price of the benchmark at issue, equivalent to the benchmarkAtIssueYieldPercent. number Yes -
benchmarkAtIssueRic The RIC of the benchmark at issue date of the instrument to be priced. string Yes -
benchmarkAtIssueSpreadBp The spread applied to the yield of the benchmark at issue and used to compute the yield of the instrument to be priced. number Yes -
benchmarkAtIssueYieldPercent The yield percent of the benchmark at issue, used to compute the benchmarkAtIssueSpreadBp. number Yes -
benchmarkAtRedemptionPrice The price of the benchmark at redemption date of the instrument to be priced, equivalent to the benchmarkAtRedemptionYieldPercent. number Yes -
benchmarkAtRedemptionSpreadBp The spread applied to the yield of the benchmark at redemption and used to compute the yield of the instrument to be priced. number Yes -
benchmarkAtRedemptionYieldPercent The yield percent of the benchmark at redemption date of the instrument to be priced, used to compute the benchmarkAtRedemptionSpreadBp. number Yes -
benchmarkYieldSelectionMode The mode of benchmark yield selection for the instrument (see Bond.BenchmarkYieldSelectionMode). string Yes -
bondRecoveryRatePercent The rate which defines the cash amount that a convertible bond holder receives in case of the convertible bond’s default. number Yes -
cashAmount The cash amount of the instrument, computed as [DirtyPricePercent / 100 * NormalizationFactor * DenominationMinimum]. number Yes -
cdsRecoveryRatePercent The rate which defines the cash amount that a convertible bond holder receives in case of the convertible bond’s default. number Yes -
cleanPrice The instrument's price excluding accrued interest. number Yes -
computeAllAnalyticsWithReportCcy The indicator used to compute all analytics in the report currency. boolean Yes -
computeCashFlowFromIssueDate The indicator defines the date, from which the cash flows will be computed. boolean Yes -
concessionFee The fee used to calculate the netPrice of the bond as [netPrice = price + concessionFee]. number Yes -
creditSpreadType The credit curve spread type used for the convertible bond pricing (see Bond.CreditSpreadType). string Yes -
currentYieldPercent The current yield of the instrument, computed as [CouponRatePercent x PriceFactor / DirtyPrice]. number Yes -
defaultQuote (see Bond.DefaultBondQuote below). Yes -
dirtyPrice The instrument's price, which includes accrued interest. number Yes -
discountMarginBp The margin that is earned in addition to the floating index rate value of the instrument. number Yes -
discountPercent A difference between the instrument's price paid for and its par value. number Yes -
dividendType The type of dividend of the underlying asset (see FinancialContracts.DividendType). string Yes -
dividendYieldPercent The ratio of annualized dividends to the underlying asset's price. number Yes -
edsfBenchmarkCurveYieldPercent The yield percent of the Euro-Dollar future benchmark curve, used to compute the edsfSpreadBp. number Yes -
edsfSpreadBp The spread applied to the yield of the Euro-Dollar future benchmark curve and used to compute the yield of the instrument to be priced. number Yes -
efpBenchmarkPrice The price of the EFP benchmark in case of an Australian fixed rate bond. number Yes -
efpBenchmarkRic The RIC of the EFP benchmark, if the instrument to be priced is an Australian fixed rate bond. string Yes -
efpBenchmarkYieldPercent The yield percent of the EFP benchmark in case of an Australian fixed rate bond. number Yes -
efpSpreadBp The spread applied to the yield of the Exchange of futures for physical (EFP) benchmark and used to compute the yield of the instrument to be priced in case of an Australian fixed rate bond. number Yes -
flatCreditSpreadBp The flat credit spread used for pricing of the convertible bond. number Yes -
flatCreditSpreadTenor The code indicating the tenor on the credit curve of the convertible bond's issuer used to retrieve the value of FlatCreditSpreadBp (e.g., '1Y'). string Yes -
fxPriceSide FX price side to consider when retrieving FX rates (Mid, Bid, Ask, Last, Close) (see FinancialContracts.PriceSide). string Yes -
fxStockCorrelation The correlation rate between the underlying stock's price and FX Spot of the currency in which the convertible bond is issued. number Yes -
fxVolatilityPercent The Fx Spot volatility used for pricing of the convertible bond. number Yes -
fxVolatilityTenor The code indicating the Fx Spot volatility tenor used to retrieve the value of UnderlyingFxVolatilityPercent (e.g., '6M', '1Y'). string Yes -
govCountryBenchmarkCurvePrice The price of the government country benchmark curve, equivalent to the govCountryBenchmarkCurveYieldPercent. number Yes -
govCountryBenchmarkCurveYieldPercent The yield percent of the government country benchmark curve, used to compute the govCountrySpreadBp. number Yes -
govCountrySpreadBp The spread applied to the yield of the government country benchmark curve and used to compute the yield of the instrument to be priced. number Yes -
governmentBenchmarkCurvePrice The price of the government benchmark curve, equivalent to the governmentBenchmarkCurveYieldPercent. number Yes -
governmentBenchmarkCurveYieldPercent The yield percent of the government benchmark curve used to compute the governmentSpreadBp. number Yes -
governmentSpreadBp The spread applied to the yield of the government benchmark curve and used to compute the yield of the instrument to be priced. number Yes -
inflationMode The indicator used to define whether instrument parameters should be adjusted from inflation or not (see Bond.InflationMode). string Yes -
isCouponPaymentAdjustedforLeapYear An indicator whether a fixed coupon market convention with 365.25 days in a year is used to calculate yield and margin. boolean Yes -
issuerBenchmarkCurveYieldPercent The yield percent of the issuer benchmark curve, used to compute the issuerSpreadBp. number Yes -
issuerSpreadBp The spread applied to the yield of the issuer benchmark curve and used to compute the yield of the instrument to be priced. number Yes -
marketDataDate The date at which the market data is retrieved. string Yes -
marketValueInDealCcy The market value of the instrument. number Yes -
marketValueInReportCcy The market value ot the instrument computed as [MarketValueInDealCcy x FxSpot]. number Yes -
netPrice The instrument's price before deducting fees. number Yes -
neutralYieldPercent The neutral yield of the instrument, at which its price moving neither up nor down over time. number Yes -
nextCouponRatePercent The annual rate of the next coupon. number Yes -
oisZcBenchmarkCurveYieldPercent The yield percent of the overnight indexed swap (OIS) zero curve used to compute the oisZcSpreadBp. number Yes -
oisZcSpreadBp The spread applied to the yield of the overnight indexed swap (OIS) zero curve and used to compute the yield of the instrument to be priced. number Yes -
optionAdjustedSpreadBp The spread applied to the benchmark yield curve and used to compute the yield of the instrument to be priced, taking into account the embedded options. number Yes -
price The instrument's price quoted according to the market convention defined by CashOrPercentConvention and CleanOrDirtyConvention. number Yes -
priceSide The price side of the instrument which comes from the instrument's quote or from the curve (derived from quotes) used to value the instrument (see FinancialContracts.PriceSide). string Yes -
projectedIndexCalculationMethod The method used to define how the projected floating index rate value is computed for a floating rate instrument (see Bond.ProjectedIndexCalculationMethod). string Yes -
projectedIndexPercent The projected index rate value used for calculation of future cash flows of the floating rate instrument. number Yes -
quoteFallbackLogic The indicator used to define the fallback logic for the quotation of the instrument (see Bond.QuoteFallbackLogic). string Yes -
quotedPrice The instrument's price quoted according to the market convention defined by QuotationMode. number Yes -
ratingBenchmarkCurveYieldPercent The yield percent of the rating benchmark curve used to compute the ratingSpreadBp. number Yes -
ratingSpreadBp The spread applied to the yield of the rating benchmark curve and used to compute the yield of the instrument to be priced. number Yes -
redemptionDate The date when the instrument can be redeemed. string Yes -
redemptionDateType The type defining the redemption date of the instrument (see Bond.RedemptionDateType). string Yes -
reportCcy The currency code set for the fields ending with 'xxxInReportCcy'. string Yes -
roundingParameters Definition of the rounding parameters to be applied on accrued, price or yield (see Bond.RoundingParameters below). Yes -
sectorRatingBenchmarkCurveYieldPercent The yield percent of the sector rating benchmark curve used to compute the sectorRatingSpreadBp. number Yes -
sectorRatingSpreadBp The spread applied to the yield of the sector rating benchmark curve and used to compute the yield of the instrument to be priced. number Yes -
settlementConvention The settlement tenor of the instrument (e.g., '1WD'), used to calculate SettlementDate. string Yes -
simpleMarginBp The average cash return per year of the instrument compared with its index rate. number Yes -
stockBorrowRatePercent The rate at which the underlying asset can be borrowed. number Yes -
stockFlatVolatilityPercent The underlying asset's volatility used for pricing of the convertible bond. number Yes -
stockFlatVolatilityTenor The code indicating the underlying asset's volatility tenor used to retrieve the value of UnderlyingFlatVolatilityPercent (e.g., '90D', '1Y'). string Yes -
stockPriceOnDefault The underlying asset's price agreed in the event of the convertible bond default. number Yes -
stripYieldPercent The strip yield measures the return on only the debt portion of the instrument (removing the impact of any embedded options, or conversion rights, or accrued interest). number Yes -
swapBenchmarkCurveYieldPercent The yield percent of the swap benchmark curve, which can be used to compute the swapSpreadBp. number Yes -
swapSpreadBp The spread applied to the yield of the swap benchmark curve and used to compute the yield of the instrument to be priced. number Yes -
swapSpreadTenor The code indicating the interest rate curve tenor used for SwapSpreadBp computations. string Yes -
taxOnCapitalGainPercent The tax rate on capital gain. number Yes -
taxOnCouponPercent The tax rate on income. number Yes -
taxOnPricePercent The reference price used for capital taxation. number Yes -
taxOnYieldPercent The tax rate applied to the yield of the bond for pricing. number Yes -
tradeDate The date when the instrument is traded. string Yes -
useSettlementDateFromQuote The indicator used to define whether to use the settlement date of the quote or one computed from marketDataDate. boolean Yes -
userDefinedBenchmarkPrice The price of a user defined benchmark, equivalent to the userDefinedBenchmarkYieldPercent. number Yes -
userDefinedBenchmarkYieldPercent The yield percent of a user-defined benchmark used to compute the userDefinedSpreadBp. number Yes -
userDefinedSpreadBp The spread applied to the yield of user-defined benchmark and used to compute the yield of the instrument to be priced. number Yes -
valuationDate The date at which the instrument is valued. string Yes -
volatilityTermStructureType The type of the underlying asset's volatility term structure used in pricing (see Bond.VolatilityTermStructureType). string Yes -
volatilityType The type of underlying asset's volatility used for the convertible bond pricing (see Bond.VolatilityType). string Yes -
yieldPercent The yield of the instrument expressed in percentages. number Yes -
yieldType The yield type specified in the yield calculation convention and used for the instrument rate model (see Bond.YieldType). string Yes -
zSpreadBp Zero-volatility spread (Z-spread) computed as the constant spread that makes the price of the instrument equal to the present value of its cash flows when added to the yield at each point on Zero-curve where cash flow is received. number Yes -

Bond.RoundingParameters

Value Description Data type Optional Default value
accruedRounding The number of digits to apply for accrued rounding (see Bond.Rounding). enum Yes -
accruedRoundingType The type of rounding for accrued rounding (see Bond.RoundingType). enum Yes -
priceRounding The number of digits to apply for accrued rounding (see Bond.Rounding). enum Yes -
priceRoundingType The type of rounding for accrued rounding (see Bond.RoundingType). enum Yes -
spreadRounding The number of digits to apply for spread rounding (see Bond.Rounding). enum Yes -
spreadRoundingType (see Bond.RoundingType). enum Yes -
yieldRounding The number of digits to apply for accrued rounding (see Bond.Rounding). enum Yes -
yieldRoundingType The type of rounding for accrued rounding (see Bond.RoundingType). enum Yes -

Bond.DefaultBondQuote

Value Description Data type Optional Default value
quotationMode (see Bond.QuotationMode). enum Yes -
quotationValue - number Yes -
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