bond.PricingParameters
Creates a bond.PricingParameters object.
Syntax
bond.PricingParameters(trade_date, ...)
Parameters
The following table shows all the possible pricing parameters to apply to the Bond instrument.
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| trade_date | Trade date of the bond. | str | Yes | - |
| benchmark_yield_selection_mode | The benchmark yield selection mode.(See BenchmarkYieldSelectionMode) | enum | Yes | - |
| credit_spread_type | Credit curve spread type to use during pricing. Applicable for Convertible Bonds. (See CreditSpreadType) | enum | Yes | - |
| dividend_type | Underlying stock dividend type used during pricing convertible bond. (See DividendType) | enum | Yes | - |
| fx_price_side | FX price side to consider when retrieving FX rates. (See PriceSide) | enum | Yes | - |
| price_side | The quoted price side of the bond to use for pricing analysis. (See PriceSide) | enum | Yes | - |
| projected_index_calculation_method | A flag used to define how the projected index is computed for a floating coupon. (See ProjectedIndexCalculationMethod) | enum | Yes | - |
| quote_fallback_logic | Enumeration used to define the fallback logic for the quotation of the instrument. (See QuoteFallbackLogic) | enum | Yes | - |
| redemption_date_type | The redemption date type of the bond. It is used to compute the default redemption date. (See RedemptionDateType) | enum | Yes | - |
| rounding_parameters | Definition of the rounding parameters to be applied on accrued, price or yield. See Rounding | dict/object | Yes | - |
| volatility_term_structure_type | Stock volatility term structure type to use during pricing. (See VolatilityTermStructureType) | enum | Yes | - |
| volatility_type | Volatility type to use during pricing. (See VolatilityType) | enum | Yes | - |
| yield_type | YieldType to use for the rate model. (See YieldType) | enum | Yes | - |
| adjusted_clean_price | The inflation adjusted clean price of the instrument. The value is quoted according to the market convention defined by CashOrPercentConvention. Available only for inflation-linked instruments. | float | Yes | - |
| adjusted_dirty_price | The inflation adjusted dirty price of the instrument. The value is quoted according to the market convention defined by CashOrPercentConvention. Available only for inflation-linked instruments. | float | Yes | - |
| adjusted_yield_percent | The inflation adjusted instrument yield. The value is expressed in percentages. Available only for inflation-linked instruments. | float | Yes | - |
| apply_tax_to_full_pricing | Tax Parameters Flag to set these tax parameters for all pricing/schedule/risk/spread. | bool | Yes | - |
| asset_swap_spread_bp | The asset swap spread (expressed in basis points) to override and be used as a pricing analysis input to compute the bond price. | float | Yes | - |
| benchmark_at_issue_price | The price of the benchmark at issue, equivalent to the benchmarkAtIssueYieldPercent. | float | Yes | - |
| benchmark_at_issue_ric | The RIC of the benchmark at issue date of the instrument to be priced. | str | Yes | - |
| benchmark_at_issue_spread_bp | The spread applied to the yield of the benchmark at issue and used to compute the yield of the instrument to be priced. The value is expressed in basis points. | float | Yes | - |
| benchmark_at_issue_yield_percent | The yield percent of the benchmark at issue, used to compute the benchmarkAtIssueSpreadBp. The yield is computed using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode). | float | Yes | - |
| benchmark_at_redemption_price | The price of the benchmark at redemption date of the instrument to be priced, equivalent to the benchmarkAtRedemptionYieldPercent. | float | Yes | - |
| benchmark_at_redemption_spread_bp | The spread applied to the yield of the benchmark at redemption and used to compute the yield of the instrument to be priced. The value is expressed in basis points. | float | Yes | - |
| benchmark_at_redemption_yield_percent | The yield percent of the benchmark at redemption date of the instrument to be priced, used to compute the benchmarkAtRedemptionSpreadBp. | float | Yes | - |
| bond_recovery_rate_percent | Bond Recovery Rate Percent set for convertible bond. Applicable for Convertible Bonds. | float | Yes | - |
| cash_amount | The cash amount to override and be used as a pricing analysis input. | float | Yes | - |
| cds_recovery_rate_percent | Recovery rate percent used in credit curve related to convertible. Applicable for Convertible Bonds. | float | Yes | - |
| clean_price | The clean price to override and be used as a pricing analysis input. Note that the price is always in the same currency as the deal currency. | float | Yes | - |
| concession_fee | The fee to apply to the bond price. It is expressed in the same unit as the bond price (percent or cash). | float | Yes | - |
| current_yield_percent | The current yield (expressed in percent) to override and be used as a pricing analysis input. | float | Yes | - |
| dirty_price | The dirty price to override and be used as a pricing analysis input. Note that the price is always in the same currency as the deal currency. | float | Yes | - |
| discount_margin_bp | The discount margin basis points to override and be used as a pricing analysis input. Available only for FRNs. | float | Yes | - |
| discount_percent | The discount (expressed in percent) to override and be used as a pricing analysis input. Should be used only for bond quoted in discount. | float | Yes | - |
| dividend_yield_percent | Underlying Stock dividend yield percent. Applicable for Convertible Bonds. | float | Yes | - |
| edsf_benchmark_curve_yield_percent | The yield of the euro-dollar future benchmark curve to override and be used to compute a Euro-Dollar (Edsf) spread. | float | Yes | - |
| edsf_spread_bp | The spread of the euro-dollar future benchmark curve to override and be used as a pricing analysis input to compute the bond price. This spread is computed for the USD bond whose maturity is under 2 years. | float | Yes | - |
| efp_benchmark_price | The price of the EFP benchmark in case of an Australian FRN bond. | float | Yes | - |
| efp_benchmark_ric | The RIC of the EFP benchmark, if the instrument to be priced is an Australian FRN bond. The RIC can only be YTTc1 or YTCc1. | str | Yes | - |
| efp_benchmark_yield_percent | The yield percent of the EFP benchmark in case of an Australian FRN bond. | float | Yes | - |
| efp_spread_bp | 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 FRN bond. The value is expressed in basis points. | float | Yes | - |
| flat_credit_spread_bp | Flat credit spread applied during pricing in basis points. Applicable when SpreadType = FlatSpread. Applicable for Convertible Bonds. | float | Yes | - |
| flat_credit_spread_tenor | Flat credit spread tenor on credit curve used during pricing to source credit spread value. Applicable for Convertible Bonds. | str | Yes | - |
| fx_stock_correlation | Correlation rate between underlying stock price and FX rate. Applicable for cross-currency Convertible Bonds. | float | Yes | - |
| fx_volatility_percent | FX volatility rate percent. Applicable for cross-currency Convertible Bonds. | float | Yes | - |
| fx_volatility_tenor | Tenor on FX volatility to source FX volatility Rate Percent. Applicable for cross-currency Convertible Bonds. | str | Yes | - |
| gov_country_benchmark_curve_price | Price of government country benchmark to override and that will be used to compute user defined spread. | float | Yes | - |
| gov_country_benchmark_curve_yield_percent | The yield of the government country benchmark to override and be used to compute a government country spread. | float | Yes | - |
| gov_country_spread_bp | The spread of the government country benchmark to override and be used as pricing analysis input to compute the bond price. | float | Yes | - |
| government_benchmark_curve_price | The yield percent of the government benchmark curve used to compute the governmentSpreadBp. The government benchmark curve is computed from the currency of the instrument. For example, curve for Italian bond is a European benchmark. The yield is computed at the instrument redemption date using the nearest point or by interpolation of the benchmark curve (defined in pricing parameter benchmarkYieldSelectionMode). | float | Yes | - |
| government_benchmark_curve_yield_percent | The yield of government benchmark to override used to compute a government spread. | float | Yes | - |
| government_spread_bp | The government spread (expressed in basis points) to override and be used as a pricing analysis input to compute the bond price. | float | Yes | - |
| issuer_benchmark_curve_yield_percent | The yield of the issuer benchmark to override and be used to compute an issuer spread. | float | Yes | - |
| issuer_spread_bp | The spread of the issuer benchmark to override and be used as a pricing analysis input to compute the bond price. This spread is computed is for corporate bonds. | float | Yes | - |
| market_data_date | The market data date for pricing. This field should not be in the future. The TradeDate field can be used as an alternative to MarketDataDate to compute a default valuation date in the future. | str | Yes | - |
| market_value_in_deal_ccy | The market value in deal currency. This field can be used to compute the notional amount to be applied to get the market value in deal currency. | float | Yes | - |
| market_value_in_report_ccy | The market value in report currency. This field can be used to compute the notional amount to be applied to get the market value in report currency. | float | Yes | - |
| net_price | The net price to override and be used as a pricing analysis input. Note that the price is always in the same currency as the deal currency. | float | Yes | - |
| neutral_yield_percent | The neutral yield (expressed in percent) to override and be used as a pricing analysis input. This is available only for FRNs. | float | Yes | - |
| ois_zc_benchmark_curve_yield_percent | Yield of OIS benchmark to override and that will be used to compute OIS spread. | float | Yes | - |
| ois_zc_spread_bp | Yield of OIS benchmark to override and that will be used as pricing analysis input to compute the bond price. | float | Yes | - |
| option_adjusted_spread_bp | The Option Adjusted Spread (OAS) (expressed in basis points) to override and be used as a pricing analysis input to compute the bond price. | float | Yes | - |
| price | The price to override and be used as a pricing analysis input. This price can be the clean price or dirty price depending on price type defined in bond structure. | float | Yes | - |
| quoted_price | The instrument's price quoted according to the market convention defined by PriceQuotationType. | float | Yes | - |
| rating_benchmark_curve_yield_percent | The yield of rating benchmark to override and be used to compute a rating spread. | float | Yes | - |
| rating_spread_bp | The rating spread (expressed in basis points) to override and be used as a pricing analysis input to compute the bond price. | float | Yes | - |
| redemption_date | The redemption date that defines the end date for yield and price computation when redemption date type is set to RedemptionAtCustomDate. | str | Yes | - |
| sector_rating_benchmark_curve_yield_percent | The yield of sector rating benchmark to override and be used to compute a sector rating spread. | float | Yes | - |
| sector_rating_spread_bp | The sector rating spread (expressed in basis points) to override and be used as a pricing analysis input to compute the bond price. | float | Yes | - |
| settlement_convention | The settlement tenor for the bond. By default, the rule is valuationDate = marketDataDate + settlementConvention. | str | Yes | - |
| simple_margin_bp | The simple margin basis points to override and be used as a pricing analysis input. Available only for FRNs. | float | Yes | - |
| stock_borrow_rate_percent | Underlying stock borrow rate percent. Applicable for Convertible Bonds. | float | Yes | - |
| stock_flat_volatility_percent | Underlying stock volatility percent used for convertible pricing. Applicable when VolatilityType = Flat. Applicable for Convertible Bonds. | float | Yes | - |
| stock_flat_volatility_tenor | Underlying Stock volatility tenor used during pricing to source volatility percent value. Applicable when VolatilityType = Flat. Applicable for Convertible Bonds. | str | Yes | - |
| stock_price_on_default | Assumed stock price agreed in event of default. Applicable for Convertible Bonds. | float | Yes | - |
| strip_yield_percent | The strip yield (expressed in percent) to override and be used as a pricing analysis input. | float | Yes | - |
| swap_benchmark_curve_yield_percent | The yield percent of the swap benchmark curve, which can be used to compute the swapSpreadBp. | float | Yes | - |
| swap_spread_bp | The swap spread (expressed in basis points) to override and be used as a pricing analysis input to compute the bond price. | float | Yes | - |
| tax_on_capital_gain_percent | The tax on capital gain expressed in percent. | float | Yes | - |
| tax_on_coupon_percent | The tax on received coupon (interests) income from the instrument expressed in percent. | float | Yes | - |
| tax_on_price_percent | The tax on price expressed in percent. | float | Yes | - |
| tax_on_yield_percent | The tax on yield expressed in percent. | float | Yes | - |
| use_settlement_date_from_quote | Specify whether to use the settlement date of the quote or the one computed from the MarketData date. |
bool | Yes | - |
| user_defined_benchmark_price | The price of a user defined benchmark, equivalent to the UserDefinedBenchmarkYieldPercent. | float | Yes | - |
| user_defined_benchmark_yield_percent | The yield percent of a user defined benchmark used to compute the UserDefinedSpreadBp. | float | Yes | - |
| user_defined_spread_bp | The difference between the yield of the instrument and the yield of the user defined benchmark. The value is expressed in basis points. | float | Yes | - |
| valuation_date | The valuation date for pricing. This is the date where the bond cash flows are discounted. | str | Yes | - |
| yield_percent | The yield (expressed in percent) to override and be used as a pricing analysis input. | float | Yes | - |
| z_spread_bp | The Zero-volatility spread (ZSpread) (expressed in basis points) to override and be used as a pricing analysis input to compute the bond price. | float | Yes | - |
Returned value
bond.PricingParameters instance