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BondVal and Amortizers

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Hello everyone,


I'm trying to use the function BondVal(...) to recover the PV of a loan with multiple disbursements and repayments. The principal outstanding will be a schedule that looks like the following:


0 20

0.5 40

1 60

1.5 80

2 100

2.5 75

3 50

3.5 25

4 0


Will BondVal(...) also PV the principal cash flows?



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I assume this extends to FRNVal(...) too, right? i.e. By having a par schedule, the FRNVal(...) function will take into account notional cash flows and PV them in order to recover the current price. Could you please confirm?


I assumed yes, and I tried it, but I run into a bug.


I thin there is something wrong with FRNVal(...). When I enter a par schedule, it returns the settlement date. Check out my example below:


First get the answer for:




It's an FRN settling on 30-Jun-2006 with a par of 100.


Now replace 100 by an array like the following: (30-Jun-2006; 100)

You'll see that the answer is 38898, which is 30-Jun-2006, which is the settlement date.


Do you get the same thing?

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The bug has been fixed. For forward starting bonds, it assumed there was no par range entered, just a single value, so it set the value of one of the legs to the first element of the schedule, which was a date, not a notional.


A new version will be posted to the ftp site shortly, with a note in the forum.

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