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Financial Functions Index ...
Bond Figuration
Date Calculations
COUPDAYBS - number of days from the beginning of the coupon period to the settlement date
COUPDAYS - number of days in the coupon period that contains the settlement date
COUPDAYSNC - number of days from the settlement date to the next coupon date
COUPNCD - next coupon date after the settlement date
COUPNUM - number of coupons payable between the settlement date and maturity date rounded up to the nearest whole coupon
COUPPCD - immediately previous coupon date before the settlement date
Accrued Interest
ACCINTACT - accrued interest on a bond where the coupon amounts are calculated as the actual number of days in the coupon period divided by the number of days in the year
ACCRINT - accrued interest for a security that pays interest at maturity
ACCRINTM - accrued interest for a security that pays interest at maturity
AIFACTOR - Accrued Interest Factor
AIFACTOR_IAM - Accrued Interest Factor for an Interest-at-Maturity security
AIFACTOR_OFC - Accrued Interest Factor for a bond during its odd first coupon period
AIFACTOR_OLC - Accrued Interest Factor for a bond during its odd last coupon period
AIFACTOR_RPI - Accrued Interest Factor for a Regular Periodic Interest period
AMORTRATE - constant daily effective rate to be used in the amortization/accretion of bond (or loan) premium or discount
BONDAMORT - bond amortization schedule from the settlement date to the maturity date of the bond
BONDINT - accrued interest on a bond that pays regular, periodic interest
COMPINT - accrued interest for a security where interest is compounded periodically and paid at maturity
ODDCOMPINT - accrued interest for a security with an odd first or an odd last coupon period (or both) where interest is compounded periodically and paid at maturity
ODDFINT - accrued interest in the first coupon period for a bond with an odd first coupon and a par value of 100
ODDLINT - accrued for a bond with an odd last coupon and a par value of 100
STEPACCINT - accrued interest for a stepped-coupon bond with a par value of 100
Duration and Convexity
CFCONVEXITY - convexity of a series of cash flows
CFDURATION - duration of a series of cash flows
CFMDURATION - modified duration of a series of cash flows
CONVEXITY - convexity of an option free bond
DURATION - Macaulay duration (in years) of a security with regular, periodic interest payments
MDURATION - modified duration for a security with an assumed par value of 100
OFCCONVEXITY - convexity for a bond that has an odd first coupon
OFCDURATION - duration for a bond that has an odd first coupon
OFCMDURATION - modified duration for a bond that has an odd first coupon
OFLCONVEXITY - convexity for a bond that has an odd first and an odd last coupon
OFLDURATION - duration for a bond that has an odd first and an odd last coupon
OFLMDURATION - modified duration for a bond that has an odd first and an odd last coupon
OLCCONVEXITY - convexity for a bond that has an odd last coupon
OLCDURATION - duration for a bond that has an odd last coupon
OLCMDURATION - modified duration for a bond that has an odd last coupon
RPICONVEXITY - convexity for a bond that pays regular periodic interest
RPIDURATION - duration for a bond that pays regular periodic interest
RPIMDURATION - effective duration for a bond that pays regular periodic interest
STEPCONVEXITY - convexity for a stepped-coupon bond
STEPDURATION - duration for a stepped-coupon bond
STEPMDURATION - modified duration for a stepped-coupon bond
Price and Yield
ADJCURRYIELD - adjusted current yield
BONDCF - cash flows of a bond with regular periodic coupon payments
DIRTYPRICE - dirty price of bond
DIRTYYIELD - yield of a bond from its dirty price
DIS - price or discount rate for a discount security
DISC - discount rate for a discount security
DISFACTORS - components used in the calculation of price, discount rate, and yield for a discount security
IAM - price or yield for a bond that pays interest at maturity and has a par value of 100
IAMFACTORS - components used in the calculation of price and yield for a security that pays interest at maturity
INTRATE - interest rate for a fully invested security
ODDFPRICE - price per 100 face value of a security with an odd first period
ODDFYIELD - yield of a security with an odd first period
ODDLPRICE - price per 100 face value of a bond with an odd last coupon period
ODDLYIELD - yield of a security with an odd last coupon period
OFC - price or yield of a bond with an odd first period and a par value of 100
OFCFACTORS - components used in the calculation of price and yield for a bond with an odd first coupon
OFL - price or yield of a bond with an odd first period, an odd last period, and a par value of 100
OFLFACTORS - components used in the calculation of price and yield for a bond with an odd last coupon
OFLPRICE - price from yield per 100 face value of a bond with an odd first period and an odd last period
OFLYIELD - yield from price per 100 face value of a bond with an odd first period and an odd last period
OLC - price or yield of a bond with an odd last period and a par value of 100
OLCFACTORS - components used in the calculation of price and yield for a bond with an odd last coupon
PRICE - price for a bond that pays periodic interest and has a par value of 100
PRICEACT - price from yield of a bond where the coupon amounts are calculated as the actual number of days in the coupon period divided by the number of days in the year
PRICEACTTV - cash flows of a bond where the coupon payments are calculated using the actual number of days in the coupon period divide by the days in the year
PRICEDISC - price per 100 face value for a discounted security
PRICEFR - price from yield of a bond with a forced redemption schedule where the coupon payment dates occur at regular periods and the redemptions can occur on any coupon date
PRICEMAT - price (expressed per 100 par value) of a security that pays interest at maturity
PRICESTEP - price from yield per 100 face value of a security with multiple interest coupon rates, also known as step-up rates
RECEIVED - amount received at maturity for a fully invested security
RPI - price or yield for a bond that pays periodic interest and has a par value of 100
RPIFACTORS - components used in the calculation of price and yield for a bond with regular periodic coupons
STEPCF - cash flows of a stepped-rate bond
TBILLEQ - bond-equivalent yield for a Treasury bill
TBILLPRICE - price per 100 face value for a Treasury bill
TBILLYIELD - yield for a Treasury bill
YIELD - yield, given the price, for a security that pays periodic interest and has a par value of 100
YIELDACT - yield on a bond where the coupon amounts are calculated as the actual number of days in the coupon period divided by the number of days in the year
YIELDDISC - annual yield for a discounted security; for example, a treasury bill
YIELDFR - yield given price of a bond with a forced redemption schedule where the coupon payment dates occur at regular periods and the redemptions can occur on any coupon date
YIELDMAT - annual yield of a security that pays interest at maturity
YIELDSTEP - yield from price per 100 face value of a security with multiple interest coupon rates, also known as step-up rates
Spread Pricing
BondPriceFromZeroes - price of a bond given it's z-spread and the zero coupon curve
CMTCurve - spot and continuously compounded zero coupon rate from the Constant Maturity Treasury par curve
LogNormalIRLattice - zero-coupon curve, calibrated forward rates, discount factors, and cash flows used in the calculation of a bond's price using its option-adjusted spread
OAC - option-adjusted convexity on a bond
OAD - option-adjusted duration on a bond
OAS - option-adjusted spread on a bond
PriceFromIRLattice - price of a bond given its option-adjusted spread and a zero coupon curve
PriceFromZeroesTVF - interpolated zero-coupon curve, discount factors, forward rates, and cash flows used in the calculation of a bond's price using its Z-spread
ZSPREAD - zero-volatility or static spread on a bond
Annuity Calculations
CUMIPMT - cumulative interest paid on a loan between any two periods
CUMODDFIPMT - cumulative interest on the periodic payments for an annuity where the first period is either longer or shorter than the other periods
CUMODDFPPMT - cumulative principal on the periodic payments for an annuity where the first period is either longer or shorter than the other periods
CUMPRINC - cumulative principal paid on a loan between any two periods
FV - future value of an annuity based on periodic, constant payments and a constant interest rate
FVGA - future value of a growing annuity
IPMT - interest payment for a given period for an annuity based on periodic, constant payments and a constant interest rate
NPER - number of periods for an annuity
NPERGA - number of whole periods for a growing annuity to reach a future value
ODDFIPMT - interest portion of a periodic payment for an annuity where the first period is either longer or shorter than the other periods
ODDFPMT - periodic payment for an annuity where the first period is either longer or shorter than the other periods
ODDFPMTSCHED - an amortization schedule for an annuity where the first period is either longer or shorter than all the other periods
ODDFPPMT - principal portion of a periodic payment for an annuity where the first period is either longer or shorter than the other periods
ODDFPV - present value of an annuity where the first period is either longer or shorter than the other periods
ODDFRATE - periodic interest rate for an annuity where the first period is either longer or shorter than the other periods
ODDFSCHED - an annuity-like payment schedule where the first period is a different length of the time than all subsequent periods and those subsequent periods are assumed to be of equal length
ODDPV - present value of an annuity with an odd first period
PDURATION - number of periods required by an investment to reach a specified value
PMT - periodic payment for an annuity
PMTGA - initial payment for a growing annuity, given the future value
PMTSCHED - an amortization schedule for a loan with no odd periods
PPMT - principal payments for an annuity for a given period
PV - present value of an annuity
PVGA - present value of a growing annuity
RATE - interest rate per period of an annuity
RRI - an equivalent interest rate for the growth of an investment.
Internal Rates of Return
AMORTIZECASHFLOWS - a schedule showing the discounted cash flow value of a series of cash flows at each cash flow date
CDRCashflowIRR - internal rate of return on cash flows produced using the CDRCASHFLOW inputs
IRR - an internal rate of return for a series of cash flows
MIRR - modified internal rate of return, where positive and negative cash flows are financed at different rates
XIRR - an internal rate of return for a series of cash flows on different dates
XIRR30360 - an internal rate of return for a series of irregular cash flows using a 30/360 day-count convention
XIRRT - an internal rate of return for a series of cash flows with irregular time periods
XMIRR - modified internal rate of return, where positive and negative cash flows are financed at different rates and where the cash flows occur irregularly and are specified by date
Net Present Value
CDRCashflowDCF - discounted cash flow value for a loan with a fixed periodic payment with Conditional Prepayment Rates (CPR) and Constant Default Rates (CDR) applied
EFV - future value of a cash flow between two periods
ENPV - net present value of an investment based on a series of periodic cash flows and a discount rate
EPV - discounted value of a cash flow between two periods
NFV - net future value of an investment based on a series of periodic cash flows and a rate
NPV - net present value of an investment based on a series of periodic cash flows and a discount rate
XDCF - discounted cash flows value of a series of irregular cash flows
XFV - future value of a cash flow between two dates
XNFV - net future value of a series of irregular cash flows
XNPV - net present value of a series of irregular cash flows
XNPV30360 - net present value for a series of cash flows with irregular time periods using a 30/360 day-count convention
XNPVT - net present value for a series of cash flows with irregular time periods
XPV - discounted value of a cash flow between two dates
Time Weighted Rate of Return
EMDIETZ - performance of an investment portfolio based on time-weighted cash flows
GTWRR - time-weighted rates of return. GTWRR supports three different methods for calculating time-weighted rates of return
LMDIETZ - linked Modified Dietz
MDIETZ - performance of an investment portfolio based on time-weighted cash flows
TWROR - time-weighted rates of return, allowing you to specify which cash flows are used in the numerator of the calculation and which cash flows are used in the denominator
TWRR - time-weighted rate of return
Capital Asset Pricing Model
BetaCoKurt - beta-cokurtosis of an asset return and a benchmark return
BetaCoSkew - beta-coskewness of an asset return and a benchmark return
BetaCoVar - beta-covariance of an asset return and a benchmark return
DownsideDeviation - downside deviation of asset returns
DownsideFrequency - downside frequency of asset returns
DownsidePotential - downside potential of asset returns
EQALPHA - intercept of the security characteristic line (SCL), between an asset and a specified benchmark
EQBETA - correlated volatility (beta) between an asset and a specified benchmark
EQVOLATILITY - historical volatility based upon price or valuation data
FinCoKurt - cokurtosis of an asset return and a benchmark return
FinCoSkew - coskewness of an asset return and a benchmark return
INFORATIO - Information ratio based upon return data
INFORATIO2 - Information ratio based upon price or valuation data
MAXDD - maximum drawdown based on net asset or portfolio values
MAXDD2 - maximum drawdown based on net asset or portfolio returns
MOIC - multiple of invested capital
Omega - Omega of asset returns
OmegaExcessReturn - Omega Excess Return
OmegaSharpeRatio - Omega-Sharpe ratio of asset returns
SemiDeviation - semi-deviation of asset returns
SemiVariance - semi-variance of asset returns
SHARPE - Sharpe ratio based upon return data
SHARPE2 - Sharpe ratio based upon price or valuation data
SORTINO - Sortino ratio based upon return data
SORTINO2 - Sortino ratio based upon price data
SpecificRisk - Specific Risk, the standard deviation of the error term in the regression equation
SystematicRisk - Systematic Risk
TotalRisk - Total Risk
TREYNOR - Treynor ratio based upon return data
TREYNOR2 - Treynor ratio based upon price or valuation data
UpsideFrequency - upside frequency of asset returns
UpsidePotentialRatio - Upside Potential Ratio
UpsideRisk - Upside Risk, Upside Variance or Upside Deviation
Loans
Payment Calculations
CUMLIPMT - cumulative interest payments for a specified range of periods for a loan or lease
CUMLPPMT - cumulative principal payments for a loan or lease
EFFECT - effective annual interest rate
FVSCHEDULE - future value of an initial investment using a series of compound rates
LIPMT - periodic payment for a loan or lease
LPMT - periodic payment for a loan or lease
LPMTSCHED - generate a loan amortization schedule
LPPMT - principal payment for a specified payment for a loan or lease
LRATE - annual interest rate for an annuity with an odd first period
NOMINAL - annual nominal interest rate
NUMPMTS - number of payments from the first interest payment date to the last payment date; in other words, the total number of payments over the life of the loan
SimpleAccrual - daily interest accruals over a range of dates for cash flows.
TOTALINT - total interest on a loan or lease
Loan Amortization
AMORTSCHED - generate a loan amortization schedule
Balloon - cash flow schedule for a loan with periodic payments of interest (only) and with the principal paid at maturity
Bullet - cash flow schedule for a loan with a single payment of principal and interest at maturity
CDRCASHFLOW - a cash-flow schedule for a loan with a fixed periodic payment with Conditional Prepayment Rates (CPR) and Constant Default Rates (CDR) applied
ConstantCashFlow - cash flow schedule for a loan with a fixed maturity date and annuity-style payments
ConstantCashFlowFR - cash flow schedule for a loan with a fixed maturity date and annuity-style payments using a table of forward rates to each periodic payment
ConstantPaymentAmount - cash flow schedule for a loan with a fixed payment amount but no fixed maturity date
ConstantPrincipal - cash flow schedule for a loan with a fixed maturity date where the principal is reduced on a straight-line basis
ConstantPrincipalAmount - cash flow schedule for a loan with no fixed maturity date where the principal is reduced using a fixed amount
ConstantPrincipalRate - cash flow schedule for a loan with no fixed maturity date where the principal is reduced on using a fixed rate
CONSTPRINAMORT - an amortization schedule for a loan with a fixed principal repayment
NPD - next payment date for loan with regularly scheduled periodic payments
NPNO - next payment number for loan with regularly scheduled periodic payments
PAYMENTPERIODS - return the number of months from a reference date to: an initial grace period; the start of interim grace period; and the end of interim grace period
PERIODRATE - nominal rate for a loan or other financial instrument when the compounding period of the quoted rate and the compounding period for the calculation of the loan are different
PPD - previous payment date for loan with regularly scheduled periodic payments
PPNO - previous payment number for loan with regularly scheduled periodic payments
SMMAMORT - cash-flow schedule for a loan with a fixed periodic payment with Conditional Prepayment Rates (CPR) and Constant Default Rates (CDR) applied
UNEQUALLOANPAYMENTS - payment schedule for a loan where the interest payment frequency and the principal payment frequency are different, or the loan starts with an interest only schedule with principal repayments commencing after the first interest payment date
Rule-of-78
R78IPMT - interest payment for a specified payment for a loan or lease using the Rule of 78
R78PAYOFF - payoff amount for a loan or lease using the Rule of 78
R78PPMT - principal payment for a specified payment for a loan or lease using the Rule of 78
R78REBATE - rebate amount for a loan or lease using the Rule of 78
Depreciation
DB - depreciation of an asset for a specified period using the fixed-declining balance method
DDB - depreciation of an asset for a specified period using the double-declining balance method or some other user-specified method
SLN - straight-line depreciation of an asset for one period
SYD - sum-of-years' digits depreciation of an asset for a specified period
VDB - depreciation of an asset for a specified or partial period by using a declining balance method
Yield Curves
Yield Curve Construction
DFINTERP - interpolated discount factor given a date
ED_FUT_CONV_ADJ_HL - Eurodollars futures price into a forward rate using the Ho Lee convexity adjustment formula
INTERPDFACT - interpolated discount factors for a range of dates
SWAPCURVE - discount factors, zero-coupon rates, and continuously compounded zero-coupon rates from a series of cash rates, futures prices, or swaps rates
ZEROCOUPON - an interpolated zero-coupon rate from a series of cash rates, futures prices, or swaps rates
Nelson Siegel
NELSONSIEGEL - zero coupon rate for a date from the supplied parameters
NSCOEF - Nelson Siegel coefficients for a zero coupon curve
NSCOEF2 - Nelson Siegel coefficients for a zero coupon curve
Date Calculations for Yield Curves
ED_FUTYF - amount of time (in years) from a start date to the delivery date of a futures contract
ED_FUT2DATE - Eurodollar futures delivery code into a delivery date
TENOR2DATE - convert an alphanumeric expression into a swaps or money market maturity date
Business Days Calculations
Business Days Calculations
BUSDAYS - number of business days from a start date (inclusive) to an end date (exclusive)
BUSDAYSWE - number of business days from a start date (inclusive) to an end date (exclusive), where the weekend days are not Saturday and Sunday
BUSINESSDATE - new date taking holidays and weekends into account
BUSINESSDATEWE - new date taking holidays and weekends into account
T360 - number of periods (fractional part included) from a cash flow date to a settlement date
Business Date Functions
CALCDATE - a datetime value for a specified Year, Month, and Day
DATEFLOAT - a float value for a specified Year, Month, and Day
DATEINT - an integer value for a specified Year, Month, and Day
DAYS360 - number of days from a start date (inclusive) to an end date (exclusive) using any of several 30/360 day count conventions
DAYSINMONTH - number of days in the month of the specified date
DAYSINYEAR - number of days in the year of the specified date
DAYSNL - number of days from a start date (inclusive) to an end date (exclusive) excluding all occurrences of Feb-29
EASTER - date of Western Easter for the specified year
EDATE - date that is the indicated number of months before or after a specified date (the start date)
EOMONTH - date for the last day of the month that is the indicated number of months before or after the start date
FIRSTWEEKDAY - first specified day of the week in any calendar month
ISREGULARPAY - if a date is a regular payment date for a loan given the first payment date, the issue date, and the number of payments per year
LASTWEEKDAY - last specified day of the week in any calendar month
NBD - comma separated string of non-business dates in the format YYYYMMDD
NUMMONTHS - number of months between 2 dates
YEARFRAC - fraction of the year represented by the number of whole days between two dates
Inventory
FIFOend - ending FIFO balances in an ordered resultant table
FIFOtvf - running FIFO (First In, First Out) values in an ordered resultant table
LIFOend - ending LIFO balances in an ordered resultant table.
LIFOtvf - running LIFO balances in an ordered resultant table.
WACtvf - running weighted-average cost values in an ordered resultant table.
Misc Functions
DOLLARDE - dollar price, expressed as a fraction, into a dollar price, expressed as a decimal number
DOLLARFR - dollar price, expressed as a decimal number, into a dollar price, expressed as a fraction
RelativeError
XLDB_FINANCIAL_VERSION
ALL FUNCTIONS (alphabetical)
ACCINTACT - accrued interest on a bond where the coupon amounts are calculated as the actual number of days in the coupon period divided by the number of days in the year
ACCRINT - accrued interest for a security that pays interest at maturity
ACCRINTM - accrued interest for a security that pays interest at maturity
ADJCURRYIELD - adjusted current yield
AIFACTOR - Accrued Interest Factor
AIFACTOR_IAM - Accrued Interest Factor for an Interest-at-Maturity security
AIFACTOR_OFC - Accrued Interest Factor for a bond during its odd first coupon period
AIFACTOR_OLC - Accrued Interest Factor for a bond during its odd last coupon period
AIFACTOR_RPI - Accrued Interest Factor for a Regular Periodic Interest period
AMORTIZECASHFLOWS - a schedule showing the discounted cash flow value of a series of cash flows at each cash flow date
AMORTRATE - constant daily effective rate to be used in the amortization/accretion of bond (or loan) premium or discount
AMORTSCHED - generate a loan amortization schedule
Balloon - cash flow schedule for a loan with periodic payments of interest (only) and with the principal paid at maturity
BetaCoKurt - beta-cokurtosis of an asset return and a benchmark return
BetaCoSkew - beta-coskewness of an asset return and a benchmark return
BetaCoVar - beta-covariance of an asset return and a benchmark return
BONDAMORT - bond amortization schedule from the settlement date to the maturity date of the bond
BONDCF - cash flows of a bond with regular periodic coupon payments
BONDINT - accrued interest on a bond that pays regular, periodic interest
BondPriceFromZeroes - price of a bond given it's z-spread and the zero coupon curve
Bullet - cash flow schedule for a loan with a single payment of principal and interest at maturity
BUSDAYS - number of business days from a start date (inclusive) to an end date (exclusive)
BUSDAYSWE - number of business days from a start date (inclusive) to an end date (exclusive), where the weekend days are not Saturday and Sunday
BUSINESSDATE - new date taking holidays and weekends into account
BUSINESSDATEWE - new date taking holidays and weekends into account
CALCDATE - a datetime value for a specified Year, Month, and Day
CDRCASHFLOW - a cash-flow schedule for a loan with a fixed periodic payment with Conditional Prepayment Rates (CPR) and Constant Default Rates (CDR) applied
CDRCashflowDCF - discounted cash flow value for a loan with a fixed periodic payment with Conditional Prepayment Rates (CPR) and Constant Default Rates (CDR) applied
CDRCashflowIRR - internal rate of return on cash flows produced using the CDRCASHFLOW inputs
CFCONVEXITY - convexity of a series of cash flows
CFDURATION - duration of a series of cash flows
CFMDURATION - modified duration of a series of cash flows
CMTCurve - spot and continuously compounded zero coupon rate from the Constant Maturity Treasury par curve
COMPINT - accrued interest for a security where interest is compounded periodically and paid at maturity
ConstantCashFlow - cash flow schedule for a loan with a fixed maturity date and annuity-style payments
ConstantCashFlowFR - cash flow schedule for a loan with a fixed maturity date and annuity-style payments using a table of forward rates to each periodic payment
ConstantPaymentAmount - cash flow schedule for a loan with a fixed payment amount but no fixed maturity date
ConstantPrincipal - cash flow schedule for a loan with a fixed maturity date where the principal is reduced on a straight-line basis
ConstantPrincipalAmount - cash flow schedule for a loan with no fixed maturity date where the principal is reduced using a fixed amount
ConstantPrincipalRate - cash flow schedule for a loan with no fixed maturity date where the principal is reduced on using a fixed rate
CONSTPRINAMORT - an amortization schedule for a loan with a fixed principal repayment
CONVEXITY - convexity of an option free bond
COUPDAYBS - number of days from the beginning of the coupon period to the settlement date
COUPDAYS - number of days in the coupon period that contains the settlement date
COUPDAYSNC - number of days from the settlement date to the next coupon date
COUPNCD - next coupon date after the settlement date
COUPNUM - number of coupons payable between the settlement date and maturity date rounded up to the nearest whole coupon
COUPPCD - immediately previous coupon date before the settlement date
CUMIPMT - cumulative interest paid on a loan between any two periods
CUMLIPMT - cumulative interest payments for a specified range of periods for a loan or lease
CUMLPPMT - cumulative principal payments for a loan or lease
CUMODDFIPMT - cumulative interest on the periodic payments for an annuity where the first period is either longer or shorter than the other periods
CUMODDFPPMT - cumulative principal on the periodic payments for an annuity where the first period is either longer or shorter than the other periods
CUMPRINC - cumulative principal paid on a loan between any two periods
DATEFLOAT - a float value for a specified Year, Month, and Day
DATEINT - an integer value for a specified Year, Month, and Day
DAYS360 - number of days from a start date (inclusive) to an end date (exclusive) using any of several 30/360 day count conventions
DAYSINMONTH - number of days in the month of the specified date
DAYSINYEAR - number of days in the year of the specified date
DAYSNL - number of days from a start date (inclusive) to an end date (exclusive) excluding all occurrences of Feb-29
DB - depreciation of an asset for a specified period using the fixed-declining balance method
DDB - depreciation of an asset for a specified period using the double-declining balance method or some other user-specified method
DFINTERP - interpolated discount factor given a date
DIRTYPRICE - dirty price of bond
DIRTYYIELD - yield of a bond from its dirty price
DIS - price or discount rate for a discount security
DISC - discount rate for a discount security
DISFACTORS - components used in the calculation of price, discount rate, and yield for a discount security
DOLLARDE - dollar price, expressed as a fraction, into a dollar price, expressed as a decimal number
DOLLARFR - dollar price, expressed as a decimal number, into a dollar price, expressed as a fraction
DownsideDeviation - downside deviation of asset returns
DownsideFrequency - downside frequency of asset returns
DownsidePotential - downside potential of asset returns
DURATION - Macaulay duration (in years) of a security with regular, periodic interest payments
EASTER - date of Western Easter for the specified year
ED_FUT_CONV_ADJ_HL - Eurodollars futures price into a forward rate using the Ho Lee convexity adjustment formula
ED_FUT2DATE - Eurodollar futures delivery code into a delivery date
ED_FUTYF - amount of time (in years) from a start date to the delivery date of a futures contract
EDATE - date that is the indicated number of months before or after a specified date (the start date)
EFFECT - effective annual interest rate
EFV - future value of a cash flow between two periods
EMDIETZ - performance of an investment portfolio based on time-weighted cash flows
ENPV - net present value of an investment based on a series of periodic cash flows and a discount rate
ENPV_q - net present value of an investment based on a series of periodic cash flows and a discount rate
EOMONTH - date for the last day of the month that is the indicated number of months before or after the start date
EPV - discounted value of a cash flow between two periods
EQALPHA - intercept of the security characteristic line (SCL), between an asset and a specified benchmark
EQBETA - correlated volatility (beta) between an asset and a specified benchmark
EQVOLATILITY - historical volatility based upon price or valuation data
FIFOend - ending FIFO balances in an ordered resultant table
FIFOtvf - running FIFO (First In, First Out) values in an ordered resultant table
FinCoKurt - cokurtosis of an asset return and a benchmark return
FinCoSkew - coskewness of an asset return and a benchmark return
FIRSTWEEKDAY - first specified day of the week in any calendar month
FV - future value of an annuity based on periodic, constant payments and a constant interest rate
FVGA - future value of a growing annuity
FVSCHEDULE - future value of an initial investment using a series of compound rates
GTWRR - time-weighted rates of return. GTWRR supports three different methods for calculating time-weighted rates of return
IAM - price or yield for a bond that pays interest at maturity and has a par value of 100
IAMFACTORS - components used in the calculation of price and yield for a security that pays interest at maturity
INFORATIO - Information ratio based upon return data
INFORATIO2 - Information ratio based upon price or valuation data
INTERPDFACT - interpolated discount factors for a range of dates
INTRATE - interest rate for a fully invested security
IPMT - interest payment for a given period for an annuity based on periodic, constant payments and a constant interest rate
IRR - an internal rate of return for a series of cash flows
IRR_q - an internal rate of return for a series of cash flows
ISREGULARPAY - if a date is a regular payment date for a loan given the first payment date, the issue date, and the number of payments per year
LASTWEEKDAY - last specified day of the week in any calendar month
LIFOend - ending LIFO balances in an ordered resultant table.
LIFOtvf - running LIFO balances in an ordered resultant table.
LIPMT - periodic payment for a loan or lease
LMDIETZ - linked Modified Dietz
LogNormalIRLattice - zero-coupon curve, calibrated forward rates, discount factors, and cash flows used in the calculation of a bond's price using its option-adjusted spread
LPMT - periodic payment for a loan or lease
LPMTSCHED - generate a loan amortization schedule
LPPMT - principal payment for a specified payment for a loan or lease
LRATE - annual interest rate for an annuity with an odd first period
MAXDD - maximum drawdown based on net asset or portfolio values
MAXDD2 - maximum drawdown based on net asset or portfolio returns
MDIETZ - performance of an investment portfolio based on time-weighted cash flows
MDIETZ_q - performance of an investment portfolio based on time-weighted cash flows
MDURATION - modified duration for a security with an assumed par value of 100
MIRR - modified internal rate of return, where positive and negative cash flows are financed at different rates
MIRR_q - modified internal rate of return, where positive and negative cash flows are financed at different rates
MOIC - multiple of invested capital
NBD - comma separated string of non-business dates in the format YYYYMMDD
NELSONSIEGEL - zero coupon rate for a date from the supplied parameters
NFV - net future value of an investment based on a series of periodic cash flows and a rate
NOMINAL - annual nominal interest rate
NPD - next payment date for loan with regularly scheduled periodic payments
NPER - number of periods for an annuity
NPERGA - number of whole periods for a growing annuity to reach a future value
NPNO - next payment number for loan with regularly scheduled periodic payments
NPV - net present value of an investment based on a series of periodic cash flows and a discount rate
NPV_q - net present value of an investment based on a series of periodic cash flows and a discount rate
NSCOEF - Nelson Siegel coefficients for a zero coupon curve
NSCOEF2 - Nelson Siegel coefficients for a zero coupon curve
NUMMONTHS - number of months between 2 dates
NUMPMTS - number of payments from the first interest payment date to the last payment date; in other words, the total number of payments over the life of the loan
OAC - option-adjusted convexity on a bond
OAD - option-adjusted duration on a bond
OAS - option-adjusted spread on a bond
ODDCOMPINT - accrued interest for a security with an odd first or an odd last coupon period (or both) where interest is compounded periodically and paid at maturity
ODDFINT - accrued interest in the first coupon period for a bond with an odd first coupon and a par value of 100
ODDFIPMT - interest portion of a periodic payment for an annuity where the first period is either longer or shorter than the other periods
ODDFPMT - periodic payment for an annuity where the first period is either longer or shorter than the other periods
ODDFPMTSCHED - an amortization schedule for an annuity where the first period is either longer or shorter than all the other periods
ODDFPPMT - principal portion of a periodic payment for an annuity where the first period is either longer or shorter than the other periods
ODDFPRICE - price per 100 face value of a security with an odd first period
ODDFPV - present value of an annuity where the first period is either longer or shorter than the other periods
ODDFRATE - periodic interest rate for an annuity where the first period is either longer or shorter than the other periods
ODDFSCHED - an annuity-like payment schedule where the first period is a different length of the time than all subsequent periods and those subsequent periods are assumed to be of equal length
ODDFYIELD - yield of a security with an odd first period
ODDLINT - accrued for a bond with an odd last coupon and a par value of 100
ODDLPRICE - price per 100 face value of a bond with an odd last coupon period
ODDLYIELD - yield of a security with an odd last coupon period
ODDPV - present value of an annuity with an odd first period
OFC - price or yield of a bond with an odd first period and a par value of 100
OFCCONVEXITY - convexity for a bond that has an odd first coupon
OFCDURATION - duration for a bond that has an odd first coupon
OFCFACTORS - components used in the calculation of price and yield for a bond with an odd first coupon
OFCMDURATION - modified duration for a bond that has an odd first coupon
OFL - price or yield of a bond with an odd first period, an odd last period, and a par value of 100
OFLCONVEXITY - convexity for a bond that has an odd first and an odd last coupon
OFLDURATION - duration for a bond that has an odd first and an odd last coupon
OFLFACTORS - components used in the calculation of price and yield for a bond with an odd last coupon
OFLMDURATION - modified duration for a bond that has an odd first and an odd last coupon
OFLPRICE - price from yield per 100 face value of a bond with an odd first period and an odd last period
OFLYIELD - yield from price per 100 face value of a bond with an odd first period and an odd last period
OLC - price or yield of a bond with an odd last period and a par value of 100
OLCCONVEXITY - convexity for a bond that has an odd last coupon
OLCDURATION - duration for a bond that has an odd last coupon
OLCFACTORS - components used in the calculation of price and yield for a bond with an odd last coupon
OLCMDURATION - modified duration for a bond that has an odd last coupon
Omega - Omega of asset returns
OmegaExcessReturn - Omega Excess Return
OmegaSharpeRatio - Omega-Sharpe ratio of asset returns
PAYMENTPERIODS - return the number of months from a reference date to: an initial grace period; the start of interim grace period; and the end of interim grace period
PDURATION - number of periods required by an investment to reach a specified value
PERIODRATE - nominal rate for a loan or other financial instrument when the compounding period of the quoted rate and the compounding period for the calculation of the loan are different
PMT - periodic payment for an annuity
PMTGA - initial payment for a growing annuity, given the future value
PMTSCHED - an amortization schedule for a loan with no odd periods
PPD - previous payment date for loan with regularly scheduled periodic payments
PPMT - principal payments for an annuity for a given period
PPNO - previous payment number for loan with regularly scheduled periodic payments
PRICE - price for a bond that pays periodic interest and has a par value of 100
PRICEACT - price from yield of a bond where the coupon amounts are calculated as the actual number of days in the coupon period divided by the number of days in the year
PRICEACTTV - cash flows of a bond where the coupon payments are calculated using the actual number of days in the coupon period divide by the days in the year
PRICEDISC - price per 100 face value for a discounted security
PRICEFR - price from yield of a bond with a forced redemption schedule where the coupon payment dates occur at regular periods and the redemptions can occur on any coupon date
PriceFromIRLattice - price of a bond given its option-adjusted spread and a zero coupon curve
PriceFromZeroesTVF - interpolated zero-coupon curve, discount factors, forward rates, and cash flows used in the calculation of a bond's price using its Z-spread
PRICEMAT - price (expressed per 100 par value) of a security that pays interest at maturity
PRICESTEP - price from yield per 100 face value of a security with multiple interest coupon rates, also known as step-up rates
PV - present value of an annuity
PVGA - present value of a growing annuity
R78IPMT - interest payment for a specified payment for a loan or lease using the Rule of 78
R78PAYOFF - payoff amount for a loan or lease using the Rule of 78
R78PPMT - principal payment for a specified payment for a loan or lease using the Rule of 78
R78REBATE - rebate amount for a loan or lease using the Rule of 78
RATE - interest rate per period of an annuity
RECEIVED - amount received at maturity for a fully invested security
RelativeError - relative error between two values
RPI - price or yield for a bond that pays periodic interest and has a par value of 100
RPICONVEXITY - convexity for a bond that pays regular periodic interest
RPIDURATION - duration for a bond that pays regular periodic interest
RPIFACTORS - components used in the calculation of price and yield for a bond with regular periodic coupons
RPIMDURATION - effective duration for a bond that pays regular periodic interest
RRI - an equivalent interest rate for the growth of an investment.
SemiDeviation - semi-deviation of asset returns
SemiVariance - semi-variance of asset returns
SHARPE - Sharpe ratio based upon return data
SHARPE2 - Sharpe ratio based upon price or valuation data
SimpleAccrual - daily interest accruals over a range of dates for cash flows.
SLN - straight-line depreciation of an asset for one period
SMMAMORT - cash-flow schedule for a loan with a fixed periodic payment with Conditional Prepayment Rates (CPR) and Constant Default Rates (CDR) applied
SORTINO - Sortino ratio based upon return data
SORTINO2 - Sortino ratio based upon price data
SpecificRisk - Specific Risk, the standard deviation of the error term in the regression equation
STEPACCINT - accrued interest for a stepped-coupon bond with a par value of 100
STEPCF - cash flows of a stepped-rate bond
STEPCONVEXITY - convexity for a stepped-coupon bond
STEPDURATION - duration for a stepped-coupon bond
STEPMDURATION - modified duration for a stepped-coupon bond
SWAPCURVE - discount factors, zero-coupon rates, and continuously compounded zero-coupon rates from a series of cash rates, futures prices, or swaps rates
SYD - sum-of-years' digits depreciation of an asset for a specified period
SystematicRisk - Systematic Risk
T360 - number of periods (fractional part included) from a cash flow date to a settlement date
TBILLEQ - bond-equivalent yield for a Treasury bill
TBILLPRICE - price per 100 face value for a Treasury bill
TBILLYIELD - yield for a Treasury bill
TENOR2DATE - convert an alphanumeric expression into a swaps or money market maturity date
TOTALINT - total interest on a loan or lease
TotalRisk - Total Risk
TREYNOR - Treynor ratio based upon return data
TREYNOR2 - Treynor ratio based upon price or valuation data
TWROR - time-weighted rates of return, allowing you to specify which cash flows are used in the numerator of the calculation and which cash flows are used in the denominator
TWRR - time-weighted rate of return
UNEQUALLOANPAYMENTS - payment schedule for a loan where the interest payment frequency and the principal payment frequency are different, or the loan starts with an interest only schedule with principal repayments commencing after the first interest payment date
UpsideFrequency - upside frequency of asset returns
UpsidePotentialRatio - Upside Potential Ratio
UpsideRisk - Upside Risk, Upside Variance or Upside Deviation
VDB - depreciation of an asset for a specified or partial period by using a declining balance method
WACtvf - running weighted-average cost values in an ordered resultant table.
XDCF - discounted cash flows value of a series of irregular cash flows
XFV - future value of a cash flow between two dates
XIRR - an internal rate of return for a series of cash flows on different dates
XIRR_q - an internal rate of return for a series of cash flows on different dates
XIRR30360 - an internal rate of return for a series of irregular cash flows using a 30/360 day-count convention
XIRRT - an internal rate of return for a series of cash flows with irregular time periods
XLDB_FINANCIAL_VERSION - version information for the XLeratorDB/financial module
XMIRR - modified internal rate of return, where positive and negative cash flows are financed at different rates and where the cash flows occur irregularly and are specified by date
XNFV - net future value of a series of irregular cash flows
XNPV - net present value of a series of irregular cash flows
XNPV_q - net present value of a series of irregular cash flows
XNPV30360 - net present value for a series of cash flows with irregular time periods using a 30/360 day-count convention
XNPVT - net present value for a series of cash flows with irregular time periods
XPV - discounted value of a cash flow between two dates
YEARFRAC - fraction of the year represented by the number of whole days between two dates
YIELD - yield, given the price, for a security that pays periodic interest and has a par value of 100
YIELDACT - yield on a bond where the coupon amounts are calculated as the actual number of days in the coupon period divided by the number of days in the year
YIELDDISC - annual yield for a discounted security; for example, a treasury bill
YIELDFR - yield given price of a bond with a forced redemption schedule where the coupon payment dates occur at regular periods and the redemptions can occur on any coupon date
YIELDMAT - annual yield of a security that pays interest at maturity
YIELDSTEP - yield from price per 100 face value of a security with multiple interest coupon rates, also known as step-up rates
ZEROCOUPON - an interpolated zero-coupon rate from a series of cash rates, futures prices, or swaps rates
ZSPREAD - zero-volatility or static spread on a bond
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