固定收益证券

Accrued Interest(应计利息)

1. 固定收益证券，应计利息(Accrued interest of security with periodic interest payments)

acrubond(issue_date,settle,first_coupon_date,face,coupon_rate <,period,basis>);

2. 预贴现证券，在到期日的应计利息(Accrued interest of discount security paying at maturity)

acrudisc(settle,maturity,face,discount <,period,basis>)

Prices(价格)

1. 固定收益证券，由到期收益率计算净价(Price fixed income security from yield to maturity)

[price,accr_int]:bndprice(yield,coupon_rate,settle,maturity <,period,basis,end_month_rule
	,issue_date,first_coupon_date,last_coupon_date>);

2. 预贴现证券的价格(Price of discounted security)

prdisc(settle,maturity,face,discount <,basis>)

3. 到期日含利息的证券价格(Price with interest at maturity)

[price,accru_interest]:prmat(settle,maturity,issue,face,coupon_rate,yield <,basis>)

4. 国库券的价格(Price of Treasury bill)

prtbill(settle,maturity,face,discount)

Yields(收益率)

1. 固定收益证券，由净价计算到期收益率(Yield to maturity for fixed income security)

bndyield(price,coupon_rate,settle,maturity <,period,basis,end_month_rule,issue_date
	,first_coupon_date,last_coupon_date>);

2. 货币市场证券的银行贴现率(Bank discount rate of money market security)

discrate(settle,maturity,face,price <,basis>)

3. 到期日含利息证券的收益率(Yield with interest at maturity)

yldmat(settle,maturity,issue,face,price,coupon_rate <,basis>)

4. 国库券的收益率(Yield of Treasury bill)

yldtbill(settle,maturity,face,price)

5. 预贴现证券的收益率(Yield of discounted security)

ylddisc(settle,maturity,face,price <,basis>)

6. 国库券的债券等价收益率(Bond equivalent yield for Treasury bill)

beytbill(settle,maturity,discount)

Term Structure of Interest Rates(利率期限结构)

1. 将国库券的参数转换成国债参数(Treasury bond parameters given Treasury bill parameters)

[tbond,settle]:tbl2bond(tbill);

2. 将国库债券的参数转换期限结构参数(Term-structure parameters given Treasury bond parameters)

[bonds,prices,yields]:tr2bonds(tbonds <,settle>);

3. 根据给定债券价格,采用票息剥离法计算零息利率曲线(Zero curve bootstrapping from coupon bond data given price)

[zero_rates,curve_dates]:zbtprice(bonds,prices,settle <,output_compounding>);

4. 根据给定债券收益率,采用票息剥离法计算零息利率曲线(Zero curve bootstrapping from coupon bond data given yield)

[zero_rates,curve_dates]:zbtyield(bonds,yields,settle <,output_compounding>);

5. 利用零息利率曲线对债权定价(Price bonds in portfolio by set of zero curves)

prbyzero(bonds,settle,zero_rates,zero_dates)

6. 将零息利率曲线转化为贴现因子曲线(Discount curve given zero curve)

[disc_rates,curve_dates]:zero2disc(zero_rates,curve_dates,settle <,compounding,basis>)

7. 将贴现因子曲线转化为零息利率曲线(Zero curve given discount curve)

[zero_rates,curve_dates]:disc2zero(disc_rates,curve_dates,settle <,compounding,basis>)

8. 将零息利率曲线转化为远期利率曲线(Forward curve given zero curve)

[forward_rates,curve_dates]:zero2fwd(zero_rates,curve_dates,settle <,compounding,basis>)

9. 将远期利率曲线转化为零息利率曲线(Zero curve given forward curve)

[zero_rates,curve_dates]:fwd2zero(forward_rates,curve_dates,settle <,compounding,basis>)

10. 将零息利率曲线转化为平价收益率曲线(Par yield curve given zero curve)

[par_rates,curve_dates]:zero2pyld(zero_rates,curve_dates,settle <,compounding,basis,input_compounding>)

11. 将平价收益率曲线转化为零息利率曲线(Zero curve given par yield curve)

[zero_rates,curve_dates]:pyld2zero(par_rates,curve_dates,settle <,compounding,basis,input_compounding>)

Interest Rate Sensitivities(利率敏感性)

1. 固定收益证券，给定收益率的债券久期(Bond duration given yield)

bnddury(yield,coupon_rate,settle,maturity<,period,basis,end_month_rule>);

2. 固定收益证券，给定价格的债券久期(Bond duration given price)

bnddurp(price,coupon_rate,settle,maturity<,period,basis,end_month_rule>);

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