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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 - generate a 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
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 - generate the 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 - return the 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.
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 - 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 - annuity-like payment schedule where the first period is a different length than all subsequent
ODDPV - present value of an annuity with an odd first period.
PMT - periodic payment for an annuity.
PMTGA - initial payment for a growing annuity, given the future value.
PMTSCHED - 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.
Spread Pricing
BondPriceFromZeroes - Use the .NET scalar function BondPriceFromZeroes to 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 convexity 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 - show the 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
Internal Rates of Return
AMORTIZECASHFLOWS - 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 - 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 - internal rate of return for a series of cash flows on different dates.
XIRR30360 - internal rate of return for a series of irregular cash flows using a 30/360 day-count convention.
XIRRT - internal rate of return for a series of cash flows with irregular time periods—cash flows of varying amount occurring at various points in time.
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—cash flows of varying amounts occurring on various dates.
XFV - future value of a cash flow between two dates.
XNFV - net future value of a series of irregular cash flows—cash flows of varying amounts occurring on various dates.
XNPV - net present value of a series of irregular cash flows—cash flows of varying amounts occurring on various dates.
XNPV30360 - net present value for a series of cash flows with irregular time periods—cash flows of varying amount occurring at various points in time—using a 30/360 day-count convention..
XNPVT - net present value for a series of cash flows with irregular time periods—cash flows of varying amount occurring at various points in time.
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.
LMDIETZ - linked Modified Dietz.
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.
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 - 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 - 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..
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 - e discount factors, zero-coupon rates, and continuously compounded zero-coupon rates from a series of cash rates, futures prices, or swaps rates.
ZEROCOUPON - 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 - datetime value for a specified Year, Month, and Day.
DATEFLOAT - float value for a specified Year, Month, and Day..
DATEINT - 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.
NUMMONTHS - number of months between 2 dates.
YEARFRAC - fraction of the year represented by the number of whole days between two dates.
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
XLDLL-financial Demo App (zip) ...
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.
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 - 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 - generate a 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 - Use the .NET scalar function BondPriceFromZeroes to 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 - datetime value for a specified Year, Month, and Day.
CDRCashflow - 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 - 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 - float value for a specified Year, Month, and Day..
DATEINT - 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.
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.
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.
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 - 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.
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.
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.
MOIC - multiple of invested capital.
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.
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 convexity 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 - 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 - annuity-like payment schedule where the first period is a different length than all subsequent
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.
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 - 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 - generate the 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 - show the 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.
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.
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.
SLN - straight-line depreciation of an asset for one period.
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 - return the 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 - e 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.
XDCF - discounted cash flows value of a series of irregular cash flows—cash flows of varying amounts occurring on various dates.
XFV - future value of a cash flow between two dates.
XIRR - internal rate of return for a series of cash flows on different dates.
XIRR30360 - internal rate of return for a series of irregular cash flows using a 30/360 day-count convention.
XIRRT - internal rate of return for a series of cash flows with irregular time periods—cash flows of varying amount occurring at various points in time.
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—cash flows of varying amounts occurring on various dates.
XNPV - net present value of a series of irregular cash flows—cash flows of varying amounts occurring on various dates.
XNPV30360 - net present value for a series of cash flows with irregular time periods—cash flows of varying amount occurring at various points in time—using a 30/360 day-count convention..
XNPVT - net present value for a series of cash flows with irregular time periods—cash flows of varying amount occurring at various points in time.
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 - interpolated zero-coupon rate from a series of cash rates, futures prices, or swaps rates.
ZSPREAD - zero-volatility or static spread on a bond
.NET NPV for MBS-type loans
CDRCashflowDCF
Updated: 31-Mar-2016
Use the .NET function
CDRCashflowDCF
to calculate the discounted cash flow value for a loan with a fixed periodic payment with Conditional Prepayment Rates (CPR) and Constant Default Rates (CDR) applied.
View .Net CDRCashflowDCF function full documentation...
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