[François Villeneuve]

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?

Thanks

[Rich]

Yes.

[François Villeneuve]

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:

=FRNVal(38891,38891,38898,100,0.05,5,0,0,0,"*SA0FNB")

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?

[Rich]

Yes, we can reproduce it. We'll let you know as soon as we've discovered the source of the problem.

[Rich]

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.

[Rich]

The new version has now been uploaded.