Reuters PowerPlus Pro 4.5.

1 Function Reference Guide

Document Number 450531.3
4 August 2003

Copyright 2003 Reuters. All Rights Reserved.

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Reuters PowerPlus Pro 4.5.1 Function Reference Guide, Document Number 450531.3, 4 August 2003

Reuters PowerPlus Pro 4.5.1 Function Reference Guide

Document History
History

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Document Date
Number

Comments

450531.3

4 August 2003

Published as an Adobe PDF file on the Reuters intranet.

450531.2

3 June 2003

Published as an Adobe PDF file on the Reuters intranet.

450531.1

23 May 2003

First draft for internal review. Published as an Adobe PDF file.

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TA B L E O F C O N T E N TS

Part I:
Introduction
Chapter 1

Introducing the Reuters PowerPlus Pro Function Reference Guide ....................................... 17

Using This Guide ........................................................................................................................................ 18
Conventions Used in This Guide ................................................................................................................ 19
Reuters PowerPlus Pro Guides and Online Help ....................................................................................... 20

Part II:
Reuters Adfin Realtime
Chapter 2

Realtime Data Functions ...................................................................................................................... 23

RtChain ....................................................................................................................................................... 24
RtContribute ................................................................................................................................................ 24
RtGet .......................................................................................................................................................... 25
RtNow ......................................................................................................................................................... 25
RtSeries ...................................................................................................................................................... 25
RtToday ....................................................................................................................................................... 26
RtUpdate ..................................................................................................................................................... 26

Chapter 3

Historical Data Functions ..................................................................................................................... 29

RtHistory ..................................................................................................................................................... 30
RtHistoryInfo ............................................................................................................................................... 30

Part III:
Reuters Adfin Bonds
Chapter 4

Fixed Income Securities Functions ................................................................................................... 35

Accrued ....................................................................................................................................................... 36
AdBondDeriv ............................................................................................................................................... 36
AdBondPrice ............................................................................................................................................... 37

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AdBondSpread ............................................................................................................................................ 38
AdBondYield ............................................................................................................................................... 39
BdCalcCpn .................................................................................................................................................. 39
BdCashFlows .............................................................................................................................................. 40
BdConvFactor ............................................................................................................................................. 40
BdCpnCrv ................................................................................................................................................... 41
BdCpnValue ................................................................................................................................................ 41
BdIrsStructure ............................................................................................................................................. 42
BdPvbpCrv .................................................................................................................................................. 42
BdRepo ....................................................................................................................................................... 43
BdSettle ...................................................................................................................................................... 44
BdSettleLock ............................................................................................................................................... 45
CpnNext ...................................................................................................................................................... 45
CpnNumber ................................................................................................................................................ 46
CpnPrev ...................................................................................................................................................... 46

Chapter 5

Cash Flows Functions .......................................................................................................................... 47

CfAvgLife .................................................................................................................................................... 48
CfConv ........................................................................................................................................................ 48
CfDur .......................................................................................................................................................... 48
CfPvbp ........................................................................................................................................................ 49
CfPx ............................................................................................................................................................ 49
CfPxCrv ...................................................................................................................................................... 50
CfRepo ........................................................................................................................................................ 50
CfVol ........................................................................................................................................................... 52
CfYld ........................................................................................................................................................... 53

Chapter 6

Convertible Bond Functions ............................................................................................................... 55

AdConvBdDeriv .......................................................................................................................................... 56
AdConvCalcCpn ......................................................................................................................................... 56
AdConvCashFlows ..................................................................................................................................... 57
AdConvImpliedVol ...................................................................................................................................... 57
AdConvOpDeriv .......................................................................................................................................... 58
AdConvPrice ............................................................................................................................................... 59
AdConvRatios ............................................................................................................................................. 60
AdConvYield ............................................................................................................................................... 60

Chapter 7

Floating Rate Notes Functions ........................................................................................................... 63

FrnCalcCpn ................................................................................................................................................. 64
FrnCashFlows ............................................................................................................................................. 64
FrnMargin ................................................................................................................................................... 65
FrnPx .......................................................................................................................................................... 65

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Chapter 8

Table of Contents

Index Linked Bonds Functions........................................................................................................... 67

IlbCalcCpn .................................................................................................................................................. 68
IlbCashFlows .............................................................................................................................................. 68
IlbPx ............................................................................................................................................................ 69
IlbYld ........................................................................................................................................................... 69

Part IV:
Reuters Adfin Credit
Chapter 9

Credit Functions ..................................................................................................................................... 73

Credit Default Swaps Calculations .............................................................................................................. 74
AdCdsNpv ................................................................................................................................................... 74
AdCdsSpread .............................................................................................................................................. 74
AdFxCdsNpv ............................................................................................................................................... 75
AdFxCdsSpread .......................................................................................................................................... 76
Functions to Build Credit Models ................................................................................................................ 78
AdCreditStructure ....................................................................................................................................... 78
AdJLTCreditStructure .................................................................................................................................. 78
Functions to Use Credit Models .................................................................................................................. 80
AdCreditZcCurve ........................................................................................................................................ 80
AdDefaultProba .......................................................................................................................................... 80

Part V:
Reuters Adfin Foreign Exchange and Money Markets
Chapter 10

Forex & MM Functions .......................................................................................................................... 85

AdDepToFra ................................................................................................................................................ 86
AdDepToFraBA ........................................................................................................................................... 86
AdZcToFraBA ............................................................................................................................................. 87
FxCalcPeriod .............................................................................................................................................. 87
FxCross ...................................................................................................................................................... 87
FxCrossA .................................................................................................................................................... 88
FxCrossD .................................................................................................................................................... 88
FxDepToSwpD ............................................................................................................................................ 89
FxDepToSwpP ............................................................................................................................................ 90
FxGenCalc .................................................................................................................................................. 91
FxGenParse ................................................................................................................................................ 92
FxSwpToDepD ............................................................................................................................................ 92
FxSwpToDepP ............................................................................................................................................ 93
FxSwpToOut ............................................................................................................................................... 94
FxSwpToSwp .............................................................................................................................................. 94

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FxSwpToSwpD ........................................................................................................................................... 95
FxSwpToSwpP ............................................................................................................................................ 96

Part VI:
Reuters Adfin Options
Chapter 11

Options and Warrants Functions ....................................................................................................... 99

NormalC .................................................................................................................................................... 100
NormalS .................................................................................................................................................... 100
OpCalcDeriv ............................................................................................................................................. 100
OpHistVol .................................................................................................................................................. 101
OpImpliedVol ............................................................................................................................................ 101
OpPremium ............................................................................................................................................... 102

Chapter 12

Bond Options Functions .................................................................................................................... 103

Bond Options ............................................................................................................................................ 104
AdBondOptionDeriv .................................................................................................................................. 104
AdBondOptionPremium ............................................................................................................................ 105

Chapter 13

Vanilla Caps, Floor, and Collars Functions ................................................................................... 107

AdCapFloorCaplets .................................................................................................................................. 108
AdCapFloorDeriv ...................................................................................................................................... 108
AdCapFloorImpliedVol .............................................................................................................................. 109
AdCapFloorPremium ................................................................................................................................ 110

Chapter 14

Barrier Caps and Floors Functions ................................................................................................. 111

AdBarrierCapFloorCaplets ........................................................................................................................ 112
AdBarrierCapFloorDeriv ........................................................................................................................... 112
AdBarrierCapFloorImpliedVol ................................................................................................................... 113
AdBarrierCapFloorPremium ..................................................................................................................... 114

Chapter 15

Digital Caps, Floors, and Collars Functions ................................................................................. 117

AdDigitalCapFloorCaplets ......................................................................................................................... 118
AdDigitalCapFloorDeriv ............................................................................................................................ 118
AdDigitalCapFloorImpliedVol .................................................................................................................... 119
AdDigitalCapFloorPremium ...................................................................................................................... 120

Chapter 16

Swaptions Functions........................................................................................................................... 121

AdSwaptionPremium ................................................................................................................................ 122
AdSwaptionDeriv ...................................................................................................................................... 122

Part VII:
Reuters Adfin Exotic Options
8

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Table of Contents

Chapter 17

Asian Options Functions ................................................................................................................... 127

Adfin Exotics ............................................................................................................................................. 128
OpAsianDeriv ............................................................................................................................................ 128
OpAsianImpliedVol ................................................................................................................................... 129
OpAsianPremium ...................................................................................................................................... 130

Chapter 18

Barrier Options Functions ................................................................................................................. 133

OpBarrierDeriv .......................................................................................................................................... 134
OpBarrierImpliedVol .................................................................................................................................. 134
OpBarrierPremium .................................................................................................................................... 135

Chapter 19

Basket Options Functions ................................................................................................................. 137

OpBasketDeriv .......................................................................................................................................... 138
OpBasketPremium .................................................................................................................................... 139

Chapter 20

Binary Options Functions .................................................................................................................. 141

OpBinaryDeriv .......................................................................................................................................... 142
OpBinaryImpliedVol .................................................................................................................................. 142
OpBinaryPremium .................................................................................................................................... 143

Chapter 21

Chooser Options Functions .............................................................................................................. 145

OpChooserDeriv ....................................................................................................................................... 146
OpChooserImpliedVol ............................................................................................................................... 146
OpChooserPremium ................................................................................................................................. 147

Chapter 22

Cliquet Options Functions ................................................................................................................. 149

OpCliquetDeriv ......................................................................................................................................... 150
OpCliquetImpliedVol ................................................................................................................................. 150
OpCliquetPremium ................................................................................................................................... 151

Chapter 23

Compound Options Functions ......................................................................................................... 153

OpCompoundDeriv ................................................................................................................................... 154
OpCompoundImpliedVol ........................................................................................................................... 154
OpCompoundPremium ............................................................................................................................. 155

Chapter 24

Double Barrier Options Functions................................................................................................... 157

OpDoubleBarrierDeriv .............................................................................................................................. 158
OpDoubleBarrierImpliedVol ...................................................................................................................... 158
OpDoubleBarrierPremium ........................................................................................................................ 159

Chapter 25

ExLookBack Options Functions ...................................................................................................... 161

OpExLookbackDeriv ................................................................................................................................. 162
OpExLookbackImpliedVol ......................................................................................................................... 163
OpExLookbackPremium ........................................................................................................................... 163

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Chapter 26

FxLinked Options Functions ............................................................................................................. 165

OpFxLinkedDeriv ...................................................................................................................................... 166
OpFxLinkedImpliedVol .............................................................................................................................. 167
OpFxLinkedPremium ................................................................................................................................ 168

Chapter 27

Power Options Functions .................................................................................................................. 169

OpPowerDeriv .......................................................................................................................................... 170
OpPowerImpliedVol .................................................................................................................................. 170
OpPowerPremium .................................................................................................................................... 171

Chapter 28

Rainbow Options Functions .............................................................................................................. 173

OpRainbowDeriv ....................................................................................................................................... 174
OpRainbowPremium ................................................................................................................................. 175

Part VIII:
Reuters Adfin Swaps
Chapter 29

Interest Rate Swaps Functions ......................................................................................................... 179

SwIrsCashFlows ....................................................................................................................................... 180
SwIrsCpnDates ......................................................................................................................................... 180
SwIrsPvbpCrv ........................................................................................................................................... 181
SwIrsPx ..................................................................................................................................................... 181
SwIrsSolve ................................................................................................................................................ 182
SwZcToIrs ................................................................................................................................................. 183

Chapter 30

Currency Swaps Functions ............................................................................................................... 185

SwCsCashFlows ....................................................................................................................................... 186
SwCsPx .................................................................................................................................................... 186
SwCsSolve ............................................................................................................................................... 187
SwSwpExtend ........................................................................................................................................... 189

Part IX:
Reuters Adfin Term Structure
Chapter 31

Rates Calculations Functions ........................................................................................................... 193

AdRate ...................................................................................................................................................... 194
AdRateConv ............................................................................................................................................. 194

Chapter 32

10

Term Structure Functions .................................................................................................................. 197

AdCalibrate ............................................................................................................................................... 198
AdFutCodes .............................................................................................................................................. 198
AdFutDates ............................................................................................................................................... 198
AdTermStructure ....................................................................................................................................... 199

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Table of Contents

Part X:
Reuters Adfin Common
Chapter 33

Interpolation Functions ...................................................................................................................... 203

AdInterp .................................................................................................................................................... 204

Chapter 34

Formatting and Parsing Functions .................................................................................................. 205

AdFormat .................................................................................................................................................. 206
AdParse .................................................................................................................................................... 206
AdRound ................................................................................................................................................... 206
DfFormatDate ........................................................................................................................................... 207
DfIDNDate ................................................................................................................................................ 207

Chapter 35

Settings Management Functions ..................................................................................................... 209

AdDefAttribute .......................................................................................................................................... 210
AdDefSet .................................................................................................................................................. 210
AdDefStructure ......................................................................................................................................... 210
AdReadParam .......................................................................................................................................... 211
AdWriteParam ........................................................................................................................................... 211

Chapter 36

Styles Management Functions ......................................................................................................... 213

AdHistoryUpdate ....................................................................................................................................... 214
AdHistoryValue ......................................................................................................................................... 214
AdStyleAttribute ........................................................................................................................................ 214
AdStyleDelete ........................................................................................................................................... 215
AdStyleName ............................................................................................................................................ 215
AdStyleSet ................................................................................................................................................ 215
AdStyleStructure ....................................................................................................................................... 216

Chapter 37

Dates Functions .................................................................................................................................... 217

DfAddMonths ............................................................................................................................................ 218
DfAddPeriod ............................................................................................................................................. 218
DfAddWD .................................................................................................................................................. 218
DfAddYears ............................................................................................................................................... 219
DfCountDays ............................................................................................................................................ 219
DfCountNonWD ........................................................................................................................................ 220
DfCountWD ............................................................................................................................................... 220
DfCountYears ............................................................................................................................................ 220
DfAdjustToWD .......................................................................................................................................... 221
DfFindDateD ............................................................................................................................................. 221
DfFindDateM ............................................................................................................................................. 222
DfIsWD ..................................................................................................................................................... 222

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DfLastWD ................................................................................................................................................. 222

DfListHolidays ........................................................................................................................................... 223

Part XI:
Reuters 3000 Data Engine
Chapter 38

Data Engine Functions ........................................................................................................................ 227

DeHistory .................................................................................................................................................. 228
DeList ........................................................................................................................................................ 228
DeLookup ................................................................................................................................................. 229
DeQuery ................................................................................................................................................... 230
DeUpdate .................................................................................................................................................. 230

Part XII:
Reuters Adfin Extended Arguments
Appendix A

12

Extended Arguments .......................................................................................................................... 235

Adfin Structures ........................................................................................................................................ 237
AdMode .................................................................................................................................................... 237
BdMode .................................................................................................................................................... 243
BondFutStructure ...................................................................................................................................... 243
BondStructure ........................................................................................................................................... 247
CalcMethod ............................................................................................................................................... 257
CalcStructure ............................................................................................................................................ 262
CapFloorStructure ..................................................................................................................................... 264
CdsStructure ............................................................................................................................................. 268
ConvMode ................................................................................................................................................ 274
ConvStructure ........................................................................................................................................... 274
CreditStructure .......................................................................................................................................... 276
CrossStructure .......................................................................................................................................... 278
CsStructure ............................................................................................................................................... 280
CurStructure .............................................................................................................................................. 284
DefStructure .............................................................................................................................................. 285
DeMode Argument for DeHistory .............................................................................................................. 295
DeMode Argument for DeList ................................................................................................................... 299
DeMode Argument for DeLookup ............................................................................................................. 301
DeMode Argument for DeQuery ............................................................................................................... 303
DeMode Argument for DeUpdate ............................................................................................................. 305
DfMode ..................................................................................................................................................... 308
ExoticStructure .......................................................................................................................................... 309
FormatMode ............................................................................................................................................. 315

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Table of Contents

FrnMode ................................................................................................................................................... 317

FrnStructure .............................................................................................................................................. 320
FxMode ..................................................................................................................................................... 329
HistoryMode .............................................................................................................................................. 331
HistoryStructure ........................................................................................................................................ 333
IlbMode ..................................................................................................................................................... 335
IlbStructure ................................................................................................................................................ 337
IndexHistoryStructure ............................................................................................................................... 344
InterpMode ................................................................................................................................................ 345
IrsStructure ............................................................................................................................................... 346
OpMode .................................................................................................................................................... 351
OptionStructure ......................................................................................................................................... 354
ParseMode ............................................................................................................................................... 358
RateMode ................................................................................................................................................. 359
RateStructure ............................................................................................................................................ 365
RepoMode ................................................................................................................................................ 371
RoundMode .............................................................................................................................................. 374
RtMode ..................................................................................................................................................... 374
StirFutStructure ......................................................................................................................................... 378
StyleMode ................................................................................................................................................. 380
SwapStructure .......................................................................................................................................... 380
SwMode .................................................................................................................................................... 386
YcMode ..................................................................................................................................................... 389

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Table of Contents

14

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PART I:
INTRODUCTION

Introduction

16

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INTRODUCING THE REUTERS POWERPLUS

PRO FUNCTION REFERENCE GUIDE

CHAPTER 1

Contents

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Using This Guide

Conventions Used in This Guide
Reuters PowerPlus Pro Guides and Online Help

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17

Chapter 1 Introducing the Reuters PowerPlus Pro Function Reference Guide

Reuters PowerPlus Pro 4.5.1 Function Reference Guide

Using This Guide

Using This Guide

What this guide
explains
Intended
audience
Assumed
knowledge

How this guide is

organized
How to use this
guide

18

The Reuters PowerPlus Pro 4.5.1 Function Reference Guide is a complete reference guide to
Reuters PowerPlus Pro functions.
The Reuters PowerPlus Pro 4.5.1 Function Reference Guide is intended for all users of PowerPlus
Pro that choose to build models to perform customized analyses.
The Reuters PowerPlus Pro 4.5.1 Function Reference Guide assumes that you are familiar with:

Windows operating systems

Microsoft Excel
markets and finance

The Reuters PowerPlus Pro 4.5.1 Function Reference Guide is organized in chapters representing
the different categories of Adfin functions
First read Conventions Used in This Guide on page 19 to familiarize yourself with the manner in
which information is presented and the terminology used in this guide.

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Chapter 1 Introducing the Reuters PowerPlus Pro Function Reference Guide

Conventions Used in This Guide

Conventions Used in This Guide

Text

Convention

Explanation

italics

Menu names and items, command buttons, and titles of guides

Text in quotation marks References to chapters or sections

Messages displayed

Terminology

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bold words or phrases

Emphasizes an explanation

1. Numbered bold text

A series of actions that you perform in the defined order

Bold text

A one-step procedure to perform

courier font

User input, directories, file names, and contents

<courier_italics>

Site-specific variables or parameters

Sequence of menu items to choose

root#
any_other_user$

The user that you must be to enter a command

Term

What You Do

Activate

Place the cursor over the item and click

Choose

Make a choice from two or more available menu items

Click

Quickly press and release the mouse button while the cursor is over the item

Double-click

Quickly press and release the mouse button twice in succession while the cursor
is over the item

Drag and drop

Press and hold the mouse button while the cursor is over the item, then move the
cursor to the required position, and then release the mouse button

Enter

Type in data

Highlight

Place the cursor over a row in a table (or a cell in a matrix) and quickly press and
release the mouse button while the pointer is over the item

Press

Press a key on your keyboard

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Chapter 1 Introducing the Reuters PowerPlus Pro Function Reference Guide

Reuters PowerPlus Pro 4.5.1 Function Reference Guide

Reuters PowerPlus Pro Guides and Online Help

Reuters PowerPlus Pro Guides and Online Help

PDF files

Reuters
PowerPlus Pro
and Reuters
3000 Data
Engine guides

On-line help

20

The Reuters PowerPlus Pro guides are delivered in the \commmon\doc\pdf\Reuters PowerPlus Pro
directory as Adobe PDF files that you can display on-screen and print using Adobe Acrobat Reader
(also delivered with Reuters PowerPlus Pro).
Title

Document Number

Reuters PowerPlus Pro 4.5 SR1 Migration Guide

4510505

Reuters PowerPlus Pro 4.5 SR1 Workbook

4510504

Reuters PowerPlus Pro 4.5 SR1 Functions Quick Reference Guide

4510531

Reuters 3000 Data Engine ActiveX Component Library Guide

4510506

Reuters PowerPlus Pro is delivered with context-sensitive and indexed online help. Choose
Reuters Help Online Help.

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PART II:
REUTERS ADFIN
REALTIME

Reuters Adfin Realtime

22

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R E A L T I M E D A TA F U N C T I O N S

CHAPTER 2

Contents

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RtChain
RtContribute
RtGet
RtNow
RtSeries
RtToday
RtUpdate

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Chapter 2 Realtime Data Functions

Reuters PowerPlus Pro 4.5.1 Function Reference Guide

RtChain

RtChain
Purpose

RtChain fills a Microsoft Excel range with the underlying records of a chain or tile.

Syntax
Note
Arguments

=RtChain(SourceAlias, InstrumentCode, DestinationCell, MacroName, RtMode)

The previous =RtChain(SourceAlias, InstrumentCode, DestinationCell, RtMode) function is still

available in Reuters PowerPlus Pro 4.5.
SourceAlias
InstrumentCode
DestinationCell
MacroName
RtMode

Source alias
Instrument code
Cell reference of the upper left corner of the destination array
Name of the macro to run
Extended argument defining the operation (see RtMode on page
374)

RtContribute
Purpose

RtContribute contributes a record:

Syntax

locally within Microsoft Excel, to share the data among all open spreadsheets
at the network level, to share the data among all users connected to the source
=RtContribute(SourceAlias, InstrumentCode, FieldNameArray, FieldValueArray,
RtMode)

Important! The function may not be available on certain installation types.

Arguments

SourceAlias
InstrumentCode
FieldNameArray
FieldValueArray
RtMode

24

Source alias
Instrument code
One-dimensional array of field names or numbers
Array of field values
Extended argument defining the operation (see RtMode on page
374)

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Chapter 2 Realtime Data Functions

RtGet

RtGet
Purpose
Syntax
Note
Arguments

Retrieves real time data from a data source.

=RtGet(SourceAlias, InstrumentCode, FieldNames, RtMode)

Use the non-volatile RtGet function if you have installed Microsoft Excel 2002.
SourceAlias
InstrumentCode
FieldName
RtMode

Source alias
Instrument code
One-dimensional field names or numbers
Extended argument defining the operation (see RtMode on page
374)

RtNow
Purpose

Syntax
Note
Argument

Retrieves the current system date and time. RtNow is a non-volatile and asynchronous function that
replaces the volatile Now() function of Microsoft Excel 2002. Adfin Real Time enables you to
manage RtNow updates separately from the global recalculation of your spreadsheet, thus
improving its real time performance. RtNow can only run with Microsoft Excel 2002.
=RtNow(RtMode)

You can only use RtNow in RTD mode.

RtMode

Extended argument defining the operation (see RtMode on page

374)

RtSeries
Purpose

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Retrieves historical snap quotes for a real time instrument. RtSeries displays real time data in an
array at time interval. Retrieved data is automatically duplicated, allowing you to build a real time
data series for the requested instrument.

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Chapter 2 Realtime Data Functions

Reuters PowerPlus Pro 4.5.1 Function Reference Guide

RtToday

Syntax

Arguments

=RtSeries(SourceAlias, InstrumentCode, FieldNameArray, DestinationCell,

MacroName, RtMode)

SourceAlias
InstrumentCode
FieldNameArray
DestinationCell
MacroName
RtMode

Source alias
Instrument code
One-dimensional array of field names or numbers
Cell reference of the upper left corner of the destination array
Name of the macro to run
Extended argument defining the operation (see RtMode on page
374)

RtToday
Purpose

Syntax
Note
Arguments

Retrieves the current system date. RtToday is a non-volatile and asynchronous function that
replaces the volatile Today() function of Microsoft Excel 2002. Adfin Real Time enables you to
manage RtToday updates separately from the global recalculation of your spreadsheet, thus
improving its real time performance. RtToday only runs with Microsoft Excel 2002.
=RtToday()

You can only use RtNow in RTD mode.

This function does not require arguments.

RtUpdate
Purpose
Syntax

Arguments

26

Performs an asynchronous action such as updating real time data or running an Excel macro upon
reception of real time updates. Also performs snapshot updates, using a snap mechanism.
=RtUpdate(SourceAlias, InstrumentArray, FieldNameArray, DestinationCell,
MacroName, RtMode)

SourceAlias

Source alias

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Chapter 2 Realtime Data Functions

RtUpdate

InstrumentArray
FieldNameArray
DestinationCell
MacroName
RtMode

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One-dimensional array of instrument codes

One-dimensional array of field names or numbers
Cell reference of the upper left corner of the destination array
Name of the macro to run
Extended argument defining the operation (see RtMode on page
374)

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RtUpdate

28

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H I S T O R I C A L D A TA F U N C T I O N S

CHAPTER 3

Contents

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RtHistory
RtHistoryInfo

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RtHistory

RtHistory
Purpose
Syntax

Arguments

Retrieves a list of historical (TS1) data for an instrument.

=RtHistory(SourceAlias, InstrumentCode, FieldNames, HistoryStructure,
HistoryMode)

SourceAlias
InstrumentCode
FieldNames
DestinationCell
HistoryStructure
HistoryMode

Source alias
Instrument codes
String of field names separated by a comma or 1-dimensional array of field
names or numbers
Cell reference of the upper left corner of the destination array
Extended argument defining the range of dates, between which data is
retrieved (see HistoryStructure on page 333)
Extended argument customizing the format of the retrieved data (see
HistoryMode on page 331)

RtHistoryInfo
Purpose
Syntax
Arguments

Returns a string or an array listing all fields available in TS1 for an instrument. To get the result as an
array, use RES:ARRAY keyword in HistoryMode.
=RtHistoryInfo(SourceAlias, InstrumentCode, HistoryMode)

SourceAlias
InstrumentCode
HistoryMode

30

Source alias
Instrument codes
Extended argument customizing the return array (seeHistoryMode
on page 331)

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Chapter 3 Historical Data Functions

RtHistoryInfo

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RtHistoryInfo

32

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PART III:
REUTERS ADFIN
BONDS

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34

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FIXED INCOME SECURITIES FUNCTIONS

CHAPTER 4

Contents

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Accrued
AdBondDeriv
AdBondPrice
AdBondSpread
AdBondYield
BdCalcCpn
BdCashFlows
BdConvFactor
BdCpnCrv
BdCpnValue
BdIrsStructure
BdPvbpCrv
BdRepo
BdSettle
BdSettleLock
CpnNext
CpnNumber
CpnPrev

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Accrued

Accrued
Purpose
Syntax
Arguments

Calculates the accrued interest using a bond structure.

=Accrued (CalcDate, Maturity, Coupon, BondStructure)

CalcDate
Maturity
Coupon
BondStructure

Calculation date
Maturity date of the bond
Nominal coupon rate, expressed as a percentage
Extended argument defining the bond structure (see BondStructure
on page 247)

AdBondDeriv
Purpose
Syntax

Arguments

Calculates the derivatives of a bond using a bond structure.

=AdBondDeriv(BondStructure, RateArray, Maturity, Coupon, Spread, BondStructure,
RateStructure, CalcStructure, AdMode)

SettlementDate
RateArray

Maturity

36

Settlement date
Term structure array
Depending on the model, this array has several forms:
- a single value if the Yield To Maturity is used
- a 1 dimensional array containing the Vasicek-Fong coefficients if VF
is specified
- a 2-dimensional array containing the dates (rows or columns
depending on the orientation of the array specified by the LAY
keyword), and the values for the rates if a ZCCurve is used
- a 2-dimensional array containing the dates (rows or columns
depending on the orientation of the array specified by the LAY
keyword), the values for the rates, and the volatilities if BDT is used
The model used is specified by the keyword RM (Rate Model) in the
RateStructure argument.
Maturity date of the bond

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Chapter 4 Fixed Income Securities Functions

AdBondPrice

Coupon
Spread

BondStructure
RateStructure
CalcStructure
AdMode

Nominal coupon rate, expressed as a percentage

Spread value expressed in basis points
Depending on the rate model, the spread will be added either to a yield
(RM:YTM), to a yield curve (RM:YC, RM:VF), or will be an option adjusted
spread (RM:BDT).
Extended argument defining the bond structure (see BondStructure on
page 247)
Extended argument defining the rate model (see RateStructure on page
365)
Extended argument defining the calculation method (see CalcStructure
on page 262)
Extended argument customizing the return value (see AdMode on page
237)

AdBondPrice
Purpose
Syntax

Arguments

Calculates the price of a bond using a bond structure.

=AdBondPrice(SettlementDate, RateArray, Maturity, Coupon, Spread, BondStructure,
RateStructure, CalcStructure, AdMode)

SettlementDate
RateArray

Maturity

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Settlement date
Term structure array
Depending on the model, this array has several forms:
- a single value if the Yield To Maturity is used
- a 1 dimensional array containing the Vasicek-Fong coefficients if VF
is specified
- a 2-dimensional array containing the dates (rows or columns
depending on the orientation of the array specified by the LAY
keyword), and the values for the rates if a ZCCurve is used
- a 2-dimensional array containing the dates (rows or columns
depending on the orientation of the array specified by the LAY
keyword), the values for the rates, and the volatilities if BDT is used
- The model used is specified by the keyword RM (Rate Model) in the
RateStructure argument.
Maturity date of the bond

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AdBondSpread

Coupon
Spread

BondStructure
RateStructure
CalcStructure
AdMode

Nominal coupon rate, expressed as a percentage

Spread value expressed in basis points
Depending on the rate model, the spread will be added either to a yield
(RM:YTM), to a yield curve (RM:YC, RM:VF), or will be an option adjusted
spread (RM:BDT).
Extended argument defining the bond structure (see BondStructure on
page 247)
Extended argument defining the rate model (see RateStructure on page
365)
Extended argument defining the calculation method (see CalcStructure
on page 262)
Extended argument customizing the return value (see AdMode on page
237)

AdBondSpread
Purpose
Syntax

Arguments

Calculates the spread of a bond using a bond structure.

=AdBondSpread(SettlementDate, RateArray, HorizonDate, Maturity, Coupon,
BondStructure, RateStructure, CalcStructure, AdMode)

SettlementDate
RateArray

Price

38

Settlement date
Term structure array
Depending on the model, this array has several forms:
- a single value if the Yield To Maturity is used
- a 1 dimensional array containing the Vasicek-Fong coefficients if VF
is specified
- a 2-dimensional array containing the dates (rows or columns
depending on the orientation of the array specified by the LAY
keyword) and the values for the rates if a zero-coupon curve is used
- a 2-dimensional array containing the dates (rows or columns
depending on the orientation of the array specified by the LAY
keyword), the values for the rates, and the volatilities if BDT is used
The model used is specified by the keyword RM (Rate Model) in the
RateStructure argument.
Clean or gross price expressed as a percentage of the nominal

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Chapter 4 Fixed Income Securities Functions

AdBondYield

Maturity
Coupon
BondStructure
RateStructure
CalcStructure
AdMode

Maturity date of the bond

Nominal coupon rate, expressed as a percentage
Extended argument defining the bond structure (see BondStructure on
page 247)
Extended argument defining the rate model (see RateStructure on page
365)
Extended argument defining the calculation method (see CalcStructure
on page 262)
Extended argument customizing the return value (see AdMode on page
237)

AdBondYield
Purpose
Syntax

Arguments

Calculates the Yield To Maturity of non optionable bonds. Calculates the yields at call/put dates of
optionable bonds.
=AdBondYield(SettlementDate, HorizonDate, Maturity, Coupon, BondStructure,
RateStructure, AdMode)

SettlementDate
Price
Maturity
Coupon
Bondstructure
RateStructure
AdMode

Settlement date
(Market) Price of the bond
Maturity date of the bond
Nominal coupon rate, expressed as a percentage
Extended argument defining the bond structure (see BondStructure
on page 247)
Extended argument defining the rate model (see RateStructure on
page 365)
Extended argument customizing the return value (see AdMode on
page 237)

BdCalcCpn
Purpose

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Returns all coupon features of a fixed-rate bond in an array.

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BdCashFlows

Syntax
Arguments

=BdCalcCpn (CalcDate, Maturity, Coupon, BondStructure, BdMode)

CalcDate
Maturity
Coupon
Bondstructure
BdMode

Calculation date
Maturity date of the bond
Nominal coupon rate, expressed as a percentage
Extended argument defining the bond structure (see BondStructure
on page 247)
Extended argument customizing the return value (see BdMode on
page 243)

BdCashFlows
Purpose
Syntax
Arguments

Generates an array with the remaining cash flows of a fixed-rate bond.

=BdCashFlows (CalcDate, Maturity, Coupon, BondStructure, BdMode)

CalcDate
Maturity
Coupon
Bondstructure
BdMode

Calculation date
Maturity date of the bond
Nominal coupon rate, expressed as a percentage
Extended argument defining the bond structure (see BondStructure
on page 247)
Extended argument customizing the return value (see BdMode on
page 243)

BdConvFactor
Purpose
Syntax

Arguments

40

Calculates the conversion factor of a bond.

=BdConvFactor (BondFutStructure, Maturity Code, Maturity, Coupon, ConvMode,
BdMode)

BondFutStructure

Extended argument defining the bond futures structure

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Chapter 4 Fixed Income Securities Functions

BdCpnCrv

MaturityCode
Maturity
Coupon
ConvMode
BdMode

Code defining the futures contract maturity

Maturity date of the bond
Nominal coupon rate, expressed as a percentage
Extended argument defining deliverable bond oddities (see ConvMode
on page 274)
Extended argument customizing the return value (see BdMode on page
243)

BdCpnCrv
Purpose
Syntax

Arguments

Calculates the nominal coupon rate from the bond price and a zero-coupon yield curve.
=BdCpnCrv(CalcDate, HorizonDate, DateArray, RateArray, Maturity, BondStructure,
CalcMethod)

CalcDate
Price
DateArray
RateArray
Maturity
Bondstructure
Calcmethod

Calculation date
Clean or gross price expressed as a percentage of the nominal
Array of zero-coupon dates
Array of zero-coupon rates or discount factors
Maturity date of the bond
Extended argument defining the bond structure (see BondStructure
on page 247)
Extended argument defining the calculation method (see
CalcMethod on page 257)

BdCpnValue
Purpose
Syntax
Arguments

Calculates the value of the next coupon using a bond structure.

=BdCpnValue (CalcDate, Maturity, Coupon, BondStructure)

CalcDate
Maturity

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Calculation date
Maturity date of the bond

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BdIrsStructure

Coupon
Bondstructure

Nominal coupon rate, expressed as a percentage

Extended argument defining the bond structure (see BondStructure
on page 247)

BdIrsStructure
Purpose
Syntax
Arguments

Returns the interest rate swap structure corresponding to a swap in which fixed cash flows match
the bond ones.
=BdIrsStructure (BondStructure)

BondStructure

Extended argument defining the bond structure (see BondStructure

on page 247)

BdPvbpCrv
Purpose
Syntax

Arguments

Calculates the price variation per basis point for each point of a zero-coupon yield curve.
=BdPvbpCrv(CalcDate, HorizonDate, DateArray, RateArray, Maturity, Coupon,
BondStructure, CalcMethod, BdMode)

CalcDate
Price
DateArray
RateArray
Maturity
Coupon
Bondstructure
Calcmethod
Bdmode

42

Calculation date
Clean or gross price expressed as a percentage of the nominal
Array of zero-coupon dates
Array of zero-coupon rates or discount factors
Maturity date of the bond
Nominal coupon rate, expressed as a percentage
Extended argument defining the bond structure (see BondStructure
on page 247)
Extended argument defining the calculation method (see
CalcMethod on page 257)
Extended argument customizing the return value (see BdMode on
page 243)

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Chapter 4 Fixed Income Securities Functions

BdRepo

BdRepo
Purpose

Calculates the implied repo rate, the future value, or the present value of a repo using a bond
structure.
The expected result must be specified in RepoMode using the RES keyword.

To define how the present value and/or the future value of the bond are expressed (clean price,
gross price, or yield), use the NPV and FV keywords in RepoMode.
To define the repo rate type (usually MMBA0 or MMBA5), use the RR keyword.

Syntax

Arguments for
implied repo rate
calculation

=BdRepo(CalcDate, HorizonDate, NPV, FV, RepoRate, Maturity, Coupon,

BondStructure, RepoMode)

CalcDate
HorizonDate
Npv

Fv

RepoRate
Maturity
Coupon
BondStructure
RepoMode

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Calculation date
Horizon date of the repo
Clean price (as a percentage of the nominal), or gross price (as a
percentage of the nominal), or yield to maturity of the bond at
CalcDate (present value)
Clean price (as a percentage of the nominal), or gross price (as a
percentage of the nominal), or yield to maturity of the bond at
HorizonDate (future value)
# not used - enter 0 #
Maturity date of the bond
Nominal coupon rate of the bond, expressed as a percentage
Extended argument defining the bond structure (see BondStructure
on page 247)
Extended argument defining the calculation (see RepoMode on page
371)
If calculating the implied repo rate, RepoMode should include the
argument "RES:IMPRATE".

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BdSettle

Arguments for
future value
calculation

CalcDate
HorizonDate
Npv

Fv
RepoRate
Maturity
Coupon
BondStructure
RepoMode

Arguments for
present value
calculation

CalcDate
HorizonDate
Npv
Fv

RepoRate
Maturity
Coupon
Bondstructure
RepoMode

Calculation date
Horizon date of the repo
Clean price (as a percentage of the nominal), or gross price (as a
percentage of the nominal), or yield to maturity of the bond at
CalcDate (present value)
# not used - enter 0 #
Repo rate
Maturity date of the bond
Nominal coupon rate of the bond, expressed as a percentage
Extended argument defining the bond structure (see BondStructure
on page 247)
Extended argument defining the calculation (see BondStructure on
page 247)
If calculating the future value, RepoMode should include the argument
"RES:FV".
Calculation date
Horizon date of the repo
# not used - enter 0 #
Clean price (as a percentage of the nominal), or gross price (as a
percentage of the nominal), or yield to maturity of the bond at
HorizonDate (future value)
Repo rate
Maturity date of the bond
Nominal coupon rate, expressed as a percentage
Extended argument defining the bond structure (see BondStructure
on page 247)
Extended argument defining the calculation (see RepoMode on page
371)
If calculating the present value, RepoMode should include the
argument "RES:NPV".

BdSettle
Purpose

44

Calculates the settlement date using a bond structure.

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Chapter 4 Fixed Income Securities Functions

BdSettleLock

Syntax
Arguments

Return Value

=BdSettle(CalcDate, BondStructure)

Bondstructure

Extended argument defining the bond structure (see BondStructure

on page 247)

The bond settlement date.

BdSettleLock
Purpose
Syntax
Arguments

Calculates the settlement date for bonds with lockout periods using a bond structure.
=BdSettleLock (CalcDate, Maturity, BondStructure)

CalcDate
Maturity
BondStructure

Calculation date
Maturity date of the bond
Extended argument defining the bond structure (see BondStructure
on page 247)

CpnNext
Purpose
Syntax
Arguments

Calculates the date of the next coupon using a bond structure.

=CpnNext(CalcDate, Maturity, BondStructure)

CalcDate
Maturity
BondStructure

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Calculation date
Maturity date of the bond
Extended argument defining the bond structure (see BondStructure
on page 247)

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CpnNumber

CpnNumber
Purpose
Syntax
Arguments

Calculates the number of coupons until maturity using a bond structure.

=CpnNumber(CalcDate, Maturity, BondStructure)

CalcDate
Maturity
BondStructure

Calculation date
Maturity date of the bond
Extended argument defining the bond structure (see BondStructure
on page 247)

CpnPrev
Purpose
Syntax
Arguments

Calculates the date of the previous coupon using a bond structure.

=CpnPrev(CalcDate, Maturity, BondStructure)

CalcDate
Maturity
BondStructure

46

Calculation date
Maturity date of the bond
Extended argument defining the bond structure (see BondStructure
on page 247)

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CASH FLOWS FUNCTIONS

CHAPTER 5

Contents

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CfAvgLife
CfConv
CfDur
CfPvbp
CfPx
CfPxCrv
CfRepo
CfVol
CfYld

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CfAvgLife

CfAvgLife
Purpose
Syntax
Arguments

Calculates the average life of a bond using cash flows.

=CfAvgLife(CalcDate, CfDates, Cf, CalcMethod)

CalcDate
CfDates
Cf
CalcMethod

Calculation date
Array of cash flow dates corresponding to the bond principal reimbursement
Array of cash flow values corresponding to the bond principal reimbursement
Extended argument defining the calculation method (see CalcMethod on page
257)

CfConv
Purpose
Syntax
Arguments

Calculates the convexity of a bond using cash flows.

=CfConv(CalcDate, Yield, CfDates, Cf, CalcMethod)

CalcDate
Yield
CfDates
Cf
CalcMethod

Calculation date
Yield to maturity
Array of cash flow dates corresponding to the bond reimbursement
Array of cash flow values corresponding to the bond reimbursement
Extended argument defining the calculation method (see CalcMethod on
page 257)

CfDur
Purpose
Syntax

48

Calculates the duration of the bond using cash flows.

=CfDur(CalcDate, Yield, CfDates, Cf, CalcMethod)

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Chapter 5 Cash Flows Functions

CfPvbp

Arguments

CalcDate
Yield
CfDates
Cf
CalcMethod

Calculation date
Yield to maturity
Array of cash flow dates corresponding to the bond reimbursement
Array of cash flow values corresponding to the bond reimbursement
Extended argument defining the calculation method (see CalcMethod on
page 257)

CfPvbp
Purpose
Syntax
Arguments

Calculates the price variation per basis point (PVBP) using cash flows.
=CfPvbp(CalcDate, Yield, CfDates, Cf, CalcMethod)

CalcDate
Yield
CfDates
Cf
CalcMethod

Calculation date
Yield to maturity
Array of cash flow dates corresponding to the bond reimbursement
Array of cash flow values corresponding to the bond reimbursement
Extended argument defining the calculation method (see CalcMethod on
page 257)

CfPx
Purpose
Syntax
Arguments

Calculates the price from yield using cash flows.

=CfPx(CalcDate, Yield, CfDates, Cf, CalcMethod)

CalcDate
Yield
CfDates
Cf
CalcMethod

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Calculation date
Yield to maturity
Array of cash flow dates corresponding to the bond reimbursement
Array of cash flow values corresponding to the bond reimbursement
Extended argument defining the calculation method (see CalcMethod on
page 257)

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CfPxCrv

CfPxCrv
Purpose
Syntax
Arguments

Calculates the price from a zero-coupon yield curve using cash flows.
=CfPxCrv(CalcDate, DateArray, RateArray, CfDates, Cf, CalcMethod)

CalcDate
DateArray
RateArray
CfDates
Cf
CalcMethod

Calculation date
Array of zero-coupon dates
Array of zero-coupon rates or discount factors
Array of cash flow dates corresponding to the bond reimbursement
Array of cash flow values corresponding to the bond reimbursement
Extended argument defining the calculation method (see CalcMethod on
page 257)

CfRepo
Purpose

Calculates the implied repo rate, the future value, or the present value of a repo using cash flows.
The expected result must be specified in RepoMode using the RES keyword.
To define how the present value and/or the future value of the bond are expressed (clean price,
gross price, or yield), use the NPV and FV keywords in RepoMode. To define the repo rate type
(usually MMBA0 or MMBA5), use the RR keyword.

Syntax
Arguments for
implied repo rate
calculation

=CfRepo(CalcDate, HorizonDate, NPV, FV, RepoRate, CfDates, Cf, RepoMode)

CalcDate
HorizonDate
Npv

Fv

RepoRate

50

Calculation date
Horizon date of the repo
Clean price (as a percentage of the nominal), or gross price (as a
percentage of the nominal), or yield to maturity of the bond at CalcDate
(present value)
Clean price (as a percentage of the nominal), or gross price (as a
percentage of the nominal), or yield to maturity of the bond at HorizonDate
(future value)
# not used - enter 0 #

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Chapter 5 Cash Flows Functions

CfRepo

CfDates
Cf
RepoMode

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Array of cash flow dates corresponding to the bond reimbursement

Array of cash flow values corresponding to the bond reimbursement
Extended argument defining the calculation (see RepoMode on page 371)
If calculating the implied repo rate, RepoMode should include the argument
"RES:IMPRATE".

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CfVol

Arguments for
future value
calculation

CalcDate
HorizonDate
Npv

Fv
RepoRate
CfDates
Cf
RepoMode

Arguments for
present value
calculation

CalcDate
HorizonDate
Npv
Fv

RepoRate
CfDates
Cf
RepoMode

Calculation date
Horizon date of the repo
Clean price (as a percentage of the nominal), or gross price (as a
percentage of the nominal), or yield to maturity of the bond at CalcDate
(present value)
# not used - enter 0 #
Repo rate
Array of cash flow dates corresponding to the bond reimbursement
Array of cash flow values corresponding to the bond reimbursement
Extended argument defining the calculation (see RepoMode on page 371)
If calculating the future value, RepoMode should include the argument
"RES:FV".
Calculation date
Horizon date of the repo
# not used - enter 0 #
Clean price (as a percentage of the nominal), or gross price (as a
percentage of the nominal), or yield to maturity of the bond at HorizonDate
(future value)
Repo rate
Array of cash flow dates corresponding to the bond reimbursement
Array of cash flow values corresponding to the bond reimbursement
Extended argument defining the calculation (see RepoMode on page 371)
If calculating the present value, RepoMode should include the argument
"RES:NPV".

CfVol
Purpose
Syntax
Arguments

Calculates the volatility of the bond or the modified duration using cash flows.
=CfVol(CalcDate, Yield, CfDates, Cf, CalcMethod)

CalcDate
Yield

52

Calculation date
Yield to maturity

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Chapter 5 Cash Flows Functions

CfYld

CfDates
Cf
CalcMethod

Array of cash flow dates corresponding to the bond reimbursement

Array of cash flow values corresponding to the bond reimbursement
Extended argument defining the calculation method (see CalcMethod on
page 257)

CfYld
Purpose
Syntax
Arguments

Calculates the yield from price using cash flows.

=CfYld(CalcDate, GrossPrice, CfDates, Cf, CalcMethod)

CalcDate
GrossPrice
CfDates
Cf
CalcMethod

[email protected]

Calculation date
Clean price plus accrued interest expressed in the same unit as cash flows
Array of cash flow dates corresponding to the bond reimbursement
Array of cash flow values corresponding to the bond reimbursement
Extended argument defining the calculation method (see CalcMethod on
page 257)

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CfYld

54

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CONVERTIBLE BOND FUNCTIONS

CHAPTER 6

Contents

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AdConvBdDeriv
AdConvCalcCpn
AdConvCashFlows
AdConvImpliedVol
AdConvOpDeriv
AdConvPrice
AdConvRatios
AdConvYield

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AdConvBdDeriv

AdConvBdDeriv
Purpose
Syntax

Arguments

Returns all derivatives of the underlying bond in an array from the price of the convertible, using a
conversion structure.
=AdConvBdDeriv(SettlementDate, Maturity, Coupon, RateArray, Spread,
ConvStructure, RateStructure, CalcStructure, AdMode)

SettlementDate
Maturity
Coupon
RateArray

Spread
ConvStructure
RateStructure
CalcStructure
AdMode

Settlement date
Maturity date of the convertible bond
Coupon rate, expressed as a percentage
Argument defining the interest rate model in the bond currency:
single-factor models: single interest rate or zero-coupon array
two-factor model: a [dates/rates/rate volatilities/mean reversions] array
Credit spread of the issuer expressed in basis points
Extended argument defining the conversion structure (see ConvMode on
page 274)
Extended argument defining the structure of the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see CalcStructure on
page 262)
Extended argument customizing the return value (see AdMode on page
237)

AdConvCalcCpn
Purpose
Syntax
Arguments

Returns all coupon features of a convertible bond in an array using a conversion structure.
=AdConvCalcCpn (SettlementDate, Maturity, Coupon, ConvStructure, AdMode)

SettlementDate
Maturity
Coupon

56

Settlement date
Maturity date of the convertible bond
Coupon rate, expressed as a percentage

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Chapter 6 Convertible Bond Functions

AdConvCashFlows

ConvStructure
AdMode

Extended argument defining the conversion structure (see ConvStructure

on page 274)
Extended argument customizing the return value (see AdMode on page
237)

AdConvCashFlows
Purpose
Syntax
Arguments

Generates an array with the remaining cash flows of a convertible bond.

=AdConvCashFlows (SettlementDate, Maturity, Coupon, ConvStructure, AdMode)

SettlementDate
Maturity
Coupon
ConvStructure
AdMode

Settlement date
Maturity date of the convertible bond
Coupon rate, expressed as a percentage
Extended argument defining the conversion structure (see ConvStructure
on page 274)
Extended argument customizing the return value (see AdMode on page
237)

AdConvImpliedVol
Purpose
Syntax

Arguments

Calculates the volatility implied by the price of a convertible bond.

=AdConvImpliedVol (SettlementDate, Maturity, Price, Coupon, RateArray,
EquityPrice, EquityDivArray, SpotFX, Spread, ConvStructure, RateStructure,
CalcStructure)

SettlementDate
Maturity
Price
Coupon

[email protected]

Settlement date
Maturity date of the convertible bond
Clean or gross price of the convertible bond expressed in the current
currency.
Coupon rate, expressed as a percentage

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AdConvOpDeriv

RateArray

EquityPrice
EquityDivArray
SpotFX
Spread
ConvStructure
RateStructure
CalcStructure

Argument defining the interest rate model in the bond currency:

single-factor models: single interest rate or zero-coupon array
two-factor model: a [dates/rates/rate volatilities/mean reversions] array
Spot price of the underlying instrument
Annual dividend rate or array of dividend dates and amounts
Spot rate for the cross currency
Credit spread of the issuer expressed in basis points
Extended argument defining the conversion structure (see
ConvStructure on page 274)
Extended argument defining the structure of the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see CalcStructure
on page 262)

AdConvOpDeriv
Purpose
Syntax

Arguments

Returns an array of all derivatives (Delta, Gamma, Rho, Theta, Vega) of the optional part of the
bond.
=AdConvOpDeriv (SettlementDate, Maturity, Coupon, RateArray, EquityPrice,
EquityVolatility, EquityDivArray, SpotFX, Spread, ConvStructure, RateStructure,
CalcStructure, AdMode)

SettlementDate
Maturity
Coupon
RateArray

EquityPrice
EquityVolatility
EquityDivArray
SpotFX

58

Settlement date
Maturity date of the convertible bond
Coupon rate, expressed as a percentage
Argument defining the interest rate model in the bond currency:
single-factor models: single interest rate or zero-coupon array
two-factor model: a [dates/rates/rate volatilities/mean reversions]
array
Spot price of the underlying instrument
Volatility of the underlying instrument
Annual dividend rate or array of dividend dates and amounts
Spot rate for the cross currency

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Chapter 6 Convertible Bond Functions

AdConvPrice

Spread
ConvStructure
RateStructure
CalcStructure
AdMode

Credit spread of the issuer expressed in basis points

Extended argument defining the conversion structure (see
ConvStructure on page 274)
Extended argument defining the structure of the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see CalcStructure
on page 262)
:Extended argument customizing the return value (see AdMode on
page 237)

AdConvPrice
Purpose
Syntax

Arguments

Calculates the main values of a convertible bond using a conversion structure.

=AdConvPrice(SettlementDate, Maturity, Coupon, RateArray, EquityPrice,
EquityVolatility, EquityDivArray, SpotFX, Spread, ConvStructure, RateStructure,
CalcStructure, AdMode)

SettlementDate
Maturity
Coupon
RateArray

EquityPrice
EquityVolatility
EquityDivArray
SpotFX
Spread
ConvStructure
RateStructure:
CalcStructure

[email protected]

Settlement date
Maturity date of the convertible bond
Coupon rate, expressed as a percentage
Argument defining the interest rate model in the bond currency:
single-factor models: single interest rate or zero-coupon array
two-factor model: a [dates/rates/rate volatilities/mean reversions] array
Spot price of the underlying instrument
Volatility of the underlying instrument
Annual dividend rate or array of dividend dates and amounts
Spot rate for the cross currency
Credit spread of the issuer expressed in basis points
Extended argument defining the conversion structure (see ConvStructure
on page 274)
Extended argument defining the structure of the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see CalcStructure
on page 262)

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AdConvRatios

AdMode

Extended argument customizing the return value (see AdMode on page

237)

AdConvRatios
Purpose
Syntax

Arguments

Calculates the main characteristics of a convertible bond using a conversion structure.

=AdConvRatios (SettlementDate, Maturity, Price, EquityPrice, SpotFX,
ConvStructure, AdMode)

SettlementDate
Maturity
Price
EquityPrice
SpotFX
ConvStructure
AdMode

Settlement date
Maturity date of the convertible bond
Clean or gross price of the convertible bond expressed as a percentage of
the nominal
Spot price of the underlying instrument
Spot rate for the cross currency
Extended argument defining the conversion structure (see ConvStructure
on page 274)
Extended argument customizing the return value (see AdMode on page
237)

AdConvYield
Purpose
Syntax

Arguments

Calculates the yield of the underlying bond from the price of the convertible, using a conversion
structure.
=AdConvYield (SettlementDate, Maturity, Price,Coupon, ConvStructure,
RateStructure)

SettlementDate
Price
Maturity
Coupon

60

Settlement date
Clean or gross price of the convertible bond in current currency
Maturity date of the convertible bond
Coupon rate, expressed as a percentage

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Chapter 6 Convertible Bond Functions

AdConvYield

ConvStructure
RateStructure

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Extended argument defining the conversion structure (see

ConvStructure on page 274)
Extended argument defining the structure of the interest rate model
(see RateStructure on page 365)

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AdConvYield

62

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FLOATING RATE NOTES FUNCTIONS

CHAPTER 7

Contents

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FrnCalcCpn
FrnCashFlows
FrnMargin
FrnPx

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FrnCalcCpn

FrnCalcCpn
Purpose
Syntax

Arguments

Returns all coupon features of a FRN in an array.

=FrnCalcCpn(CalcDate, StartDate, Maturity, CurrentIndex, QuotedMargin,
FrnStructure, FrnMode)

CalcDate
StartDate
Maturity
CurrentIndex
QuotedMargin
FrnStructure
FrnMode

Calculation date
Start date of the FRN (issue date)
Maturity date of the FRN
Index rate for the current coupon
Margin applied to the index
Extended argument defining the FRN structure (see FrnStructure on
page 320)
Extended argument customizing the return value (see FrnMode on
page 317)

FrnCashFlows
Purpose
Syntax

Arguments

Generates an array with the remaining cash flows of a floating rate instrument.
=FrnCashFlows(CalcDate, ZcDates, ZcRates, StartDate, Maturity, QuotedMargin,
FloatingRateArray, FrnStructure, FrnMode)

CalcDate
ZcDates
ZcRates
StartDate
Maturity:
QuotedMargin
FloatingRateArray
FrnStructure

64

Calculation date
Array of zero-coupon dates
Array of zero-coupon rates or discount factors
Start date of the FRN (issue date)
Maturity date of the FRN (expressed as a date or a code such as "1Y")
Margin applied to the index
Array of floating leg rates
Extended argument defining the FRN structure (see FrnStructure on
page 320)

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Chapter 7 Floating Rate Notes Functions

FrnMargin

FrnMode

Extended argument customizing the return value (see FrnMode on

page 317)

FrnMargin
Purpose

Calculates the FRN price, the margin or the yield.

The expected result must be specified in FrnMode using the TO keyword. Similarly, the type of data
used in the Px argument must be specified using the FROM keyword.

Syntax

Arguments

=FrnMargin(CalcDate, StartDate, Maturity, Px, QuotedMargin, FloatingRateArray,

FrnStructure, FrnMode)

CalcDate
StartDate
Maturity
Px
QuotedMargin
FloatingRateArray
FrnStructure
FrnMode

Calculation date
Start date of the FRN (issue date)
Maturity date of the FRN (expressed as a date or a code such as
"1Y")
Margin or yield expressed as a percentage or price expressed as a
percentage of the nominal
Margin applied to the index
Two-cell array defining the value of the current index and the value of
the projected index.
Extended argument defining the FRN structure (see FrnStructure
on page 320)
Extended argument customizing the return value (see FrnMode on
page 317)

FrnPx
Purpose
Syntax

[email protected]

Calculates the price from a yield curve of a floating rate instrument.

=FrnPx(CalcDate, ZcDates, ZcRates, StartDate, Maturity, QuotedMargin,
FloatingRateArray, FrnStructure, FrnMode)

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FrnPx

Arguments

CalcDate
ZcDates
ZcRates
StartDate
Maturity
QuotedMargin
FloatingRateArray
FrnStructure
FrnMode

66

Calculation date
Array of zero-coupon dates
Array of zero-coupon rates or discount factors
Start date of the FRN (issue date)
Maturity date of the FRN (expressed as a date or a code such as "1Y")
Margin applied to the index
Array of floating leg rates
Extended argument defining the FRN structure (see FrnStructure on
page 320)
Extended argument customizing the return value (see FrnMode on page
317)

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INDEX LINKED BONDS FUNCTIONS

CHAPTER 8

Contents

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IlbCalcCpn
IlbCashFlows
IlbPx
IlbYld

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IlbCalcCpn

IlbCalcCpn
Purpose
Syntax

Arguments

Returns all coupon features of an index-linked bond in an array.

=IlbCalcCpn(CalcDate, Maturity, Coupon, InflationRateArray, IlbStructure,
IlbMode)

CalcDate
Maturity
Coupon
InflationRateArray
IlbStructure
IlbMode

Calculation date
Maturity date of the bond
Nominal coupon rate, expressed as a number or a percent
Array of anticipated inflation rates
Extended argument defining the index-linked bond structure (see
IlbStructure on page 337)
Extended argument customizing the return value (see IlbMode on page
335)

IlbCashFlows
Purpose
Syntax

Arguments

Generates an array with the remaining cash flows of an index-linked bond.

=IlbCashFlows(CalcDate, Maturity, Coupon, InflationRateArray, IlbStructure,
IlbMode)

CalcDate
Maturity
Coupon
InflationRateArray
IlbStructure
IlbMode

68

Calculation date
Maturity date of the bond
Nominal coupon rate, expressed as a number or a percentage
Array of anticipated inflation rates
Extended argument defining the index-linked bond structure (see
IlbStructure on page 337)
Extended argument customizing the return value (see IlbMode on
page 335)

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Chapter 8 Index Linked Bonds Functions

IlbPx

IlbPx
Purpose
Syntax

Arguments

Calculates the price of an index-linked bond.

=IlbPx(CalcDate, Maturity, Coupon, Yield, InflationRateArray, IlbStructure,
IlbMode)

CalcDate
Maturity
Coupon
Yield
InflationRateArray
IlbStructure
IlbMode

Calculation date
Maturity date of the bond
Nominal coupon rate, expressed as a number or a percentage
Yield to maturity
Array of anticipated inflation rates
Extended argument defining the index-linked bond structure (see
IlbStructure on page 337)
Extended argument customizing the return value (see IlbMode on
page 335)

IlbYld
Purpose
Syntax

Arguments

Calculates the yield of an index-linked bond.

=IlbYld(CalcDate, Maturity, Coupon, Price, InflationRateArray, IlbStructure,
IlbMode)

CalcDate
Maturity
Coupon
Price
InflationRateArray
IlbStructure
IlbMode

[email protected]

Calculation date
Maturity date of the bond
Nominal coupon rate, expressed as a number or a percentage
Clean or gross price expressed as a percentage of the nominal
Array of anticipated inflation rates
Extended argument defining the index-linked bond structure (see
IlbStructure on page 337)
Extended argument customizing the return value (see IlbMode on page
335)

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IlbYld

70

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PART IV:
REUTERS ADFIN
CREDIT

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CREDIT FUNCTIONS

CHAPTER 9

Contents

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Credit Default Swaps Calculations

Functions to Build Credit Models
Functions to Use Credit Models

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Credit Default Swaps Calculations

Credit Default Swaps Calculations

AdCdsNpv
AdCdsSpread
AdFxCdsNpv
AdFxCdsSpread

AdCdsNpv
Purpose

Depending on the model specified by the RISKMODEL keyword, the function calculates the net
present value of a credit default swap, using:

Syntax

Arguments

the Cox, Ingersoll, and Ross model

a credit event probability curve
=AdCdsNpv(SettlementDate, StartDate, Maturity, Spread, RateArray, CreditArray,
CdsStructure, CreditStructure, RateStructure)

SettlementDate
StartDate
Maturity
Spread
RateArray
CreditArray
CdsStructure
CreditStructure
RateStructure

Settlement date
Start date of the credit default swap
Maturity of the credit default swap, expressed as a date or code
Spread of the credit default swap, expressed as basis points
Interest rate model
Credit model
Extended argument defining the structure of the credit default swap (see
CdsStructure on page 268)
Extended argument defining the credit model (see CreditStructure on
page 276)
Extended argument defining the interest rate model (see RateStructure
on page 365)

AdCdsSpread
Purpose

74

Depending on the model specified by the RISKMODEL keyword, the function calculates the spread of
a credit default swap from the net present value, using:

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Chapter 9 Credit Functions

AdFxCdsNpv

Syntax

Arguments

the Cox, Ingersoll, and Ross model

a credit event probability curve
=AdCdsSpread(SettlementDate, StartDate, Maturity, Npv, RateArray, CreditArray,
CdsStructure, CreditStructure, RateStructure)

Settlement date
Start date of the credit default swap
Maturity
Maturity of the credit default swap, expressed as a date or code
Npv
Net present value of the credit default swap
RateArray
Interest rate model
CreditArray
Credit model
CdsStructure
Extended argument defining the structure of the credit default swap (see
CdsStructure on page 268)
CreditStructure Extended argument defining the credit model (see CreditStructure on page
276)
RateStructure
Extended argument defining the interest rate model (see RateStructure on
page 365)
SettlementDate

StartDate

AdFxCdsNpv
Purpose

Depending on the model specified by the RISKMODEL keyword, the function calculates the net
present value of a Quanto credit default swap, using:

Syntax

Arguments

the Cox, Ingersoll, and Ross model

a credit event probability curve
=AdFxCdsNpv(SettlementDate, StartDate, Maturity, Spread, PaidRate, ReceivedRate,
FxArray, CreditArray, CdsStructure, CreditStructure, RateStructure)

SettlementDate
StartDate
Maturity
Spread
PaidRate

[email protected]

Settlement date
Start date of the credit default swap
Maturity of the credit default swap, expressed as a date or code
Spread of the credit default swap, expressed as basis points
Interest rate model of the paid leg

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AdFxCdsSpread

Interest rate model of the received leg

FxArray
Array of dates and swap points
CreditArray
Credit model
CdsStructure
Extended argument defining the structure of the credit default swap (see
CdsStructure on page 268)
CreditStructure Extended argument defining the credit model (see CreditStructure on page
276)
RateStructure
Extended argument defining the interest rate model (see RateStructure on
page 365)
ReceivedRate

AdFxCdsSpread
Purpose

Depending on the model specified by the RISKMODEL keyword, the function calculates the spread of
a Quanto credit default swap from the net present value, using:

Syntax

Arguments

the Cox, Ingersoll, and Ross model

a credit event probability curve
=AdFxCdsSpread(SettlementDate, StartDate, Maturity, Npv, PaidRate, ReceivedRate,
FxArray, CreditArray, CdsStructure, CreditStructure, RateStructure)

SettlementDate
StartDate
Maturity
Npv
PaidRate
ReceivedRate
FxArray
CreditArray
CdsStructure
CreditStructure
RateStructure

76

Settlement date
Start date of the credit default swap
Maturity of the credit default swap, expressed as a date or code
Net present value of the credit default swap
Interest rate model of the paid leg
Interest rate model of the received leg
Array of dates and swap points
Credit model
Extended argument defining the structure of the credit default swap (see
CdsStructure on page 268)
Extended argument defining the credit model (see CreditStructure on
page 276)
Extended argument defining the interest rate model (see RateStructure on
page 365)

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Chapter 9 Credit Functions

AdFxCdsSpread

Return Value

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The spread of the Quanto credit default swap, expressed as basis points.

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Functions to Build Credit Models

Functions to Build Credit Models

AdCreditStructure
AdJLTCreditStructure

AdCreditStructure
Purpose

Syntax

Arguments

Depending on the model specified by the RISKMODEL keyword, the function calibrates the Cox,
Ingersoll, and Ross model or the credit event probability curve, either from an array of credit default
swaps, or from a credit zero-coupon curve.
=AdCreditStructure(RateArray, InstrumentArray, CreditStructure, RateStructure,
AdMode)

RateArray
InstrumentArray
CreditStructure
RateStructure
AdMode

Interest rate model

Array of instruments
Extended argument defining the credit model (see CreditStructure on page
276)
Extended argument defining the interest rate model (see RateStructure on
page 365)
Extended argument customizing the return value (see AdMode on page
237)

AdJLTCreditStructure
Purpose
Syntax

Arguments

Calibrates a credit event probability curve from a rating transition matrix, using the Jarrow, Lando,
and Turnbull model.
=AdJLTCreditStructure(RateArray, RiskyZcArray, TransitionArray, CreditStructure,
RateStructure, AdMode)

RateArray
RiskyZcArray

78

Array of risk-free zero-coupon prices

Array of credit zero-coupon curves

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Chapter 9 Credit Functions

AdJLTCreditStructure

TransitionArray
CreditStructure
RateStructure
AdMode

[email protected]

Ratings transition matrix

Extended argument defining the credit model (see CreditStructure on page
276)
Extended argument defining the interest rate model (see RateStructure on
page 365)
Extended argument customizing the return value (see AdMode on page
237)

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Functions to Use Credit Models

Functions to Use Credit Models

AdCreditZcCurve
AdDefaultProba

AdCreditZcCurve
Purpose

Depending on the model specified by the RISKMODEL keyword, the function builds a credit
zero-coupon curve, using:

Syntax

Arguments

the Cox, Ingersoll, and Ross model

the credit event probability curve
=AdCreditZcCurve(SettlementDate, RateArray, CreditArray, CreditStructure,
RateStructure, AdMode)

SettlementDate
RateArray
CreditArray
CreditStructure
RateStructure
AdMode

Settlement date
Interest rate model
Credit model
Extended argument defining the credit model (see CreditStructure on
page 276)
Extended argument defining the interest rate model (see RateStructure
on page 365)
Extended argument customizing the return value (see AdMode on page
237)

AdDefaultProba
Purpose

Syntax

80

Depending on the model specified by the RISKMODEL keyword, the function calculates the
probabilities of default for an array of dates, using the Cox, Ingersoll, and Ross model or a curve
credit model.
=AdDefaultProba(SettlementDate, DateArray, CreditArray, CreditStructure, AdMode)

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Chapter 9 Credit Functions

AdDefaultProba

Arguments

Settlement date
Array of dates
CreditArray
Credit model
CreditStructure Extended argument defining the credit model (see CreditStructure on page
276)
AdMode
Extended argument customizing the return value (see AdMode on page 237)
SettlementDate
DateArray

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AdDefaultProba

82

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PART V:
REUTERS ADFIN
FOREIGN
EXCHANGE AND
MONEY MARKETS

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CHAPTER 10 FOREX & MM FUNCTIONS

Contents

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AdDepToFra
AdDepToFraBA
AdZcToFraBA
FxCalcPeriod
FxCross
FxCrossA
FxCrossD
FxDepToSwpD
FxDepToSwpP
FxGenCalc
FxGenParse
FxSwpToDepD
FxSwpToDepP
FxSwpToOut
FxSwpToSwp
FxSwpToSwpD
FxSwpToSwpP

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AdDepToFra

AdDepToFra
Purpose

Calculates a forward rate.

The type of rate used for Rate1, Rate3 and the returned rate must be specified in the RateMode
argument with the either the keyword RATES or all three keywords R1, R2 and R3.

Syntax
Arguments

=AdDepToFra(Date1, Date2, Date3, RateMode, Rate1, Rate3)

Date1
Date2
Date3
RateMode
Rate1
Rate3

First date
Second date
Third date
Extended argument defining the type of rates used (see RateMode on
page 359)
Rate applicable for the period from Date1 to Date2
Rate applicable for the period from Date1 to Date3

AdDepToFraBA
Purpose

Calculates forward bid and ask rates.

The type of rate used for Rate1BA, Rate3BA and the returned rates must be specified in the
RateMode argument with the either the keyword RATES or all three keywords R1, R2 and R3.

Syntax
Arguments

=AdDepToFraBA(Date1, Date2, Date3, RateMode, Rate1BA, Rate3BA)

Date1
Date2
Date3
RateMode
Rate1BA
Rate3BA

86

First date
Second date
Third date
Extended argument defining the type of rates used (see RateMode on
page 359)
Rates applicable for the period from Date1 to Date2 (array Bid/Ask)
Rates applicable for the period from Date1 to Date3 (array Bid/Ask)

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Chapter 10 Forex & MM Functions

AdZcToFraBA

AdZcToFraBA
Purpose

Calculates FRA bid and ask rates from a zero-coupon yield curve.
To indicate the zero-coupon yield curve type (rates or discount factors), use the ZCTYPE keyword in
YcMode. To determine the zero-coupon yield curve, the function AdTermStructure can be used.

Syntax
Arguments

=AdZcToFraBA(StirFutStructure, StartDate, Period, ZcArray, YcMode)

StirFutStructure
StartDate
Period
ZcArray
YcMode

Extended argument defining the STIR futures contract

FRA start date
FRA maturity date (expressed as a date or a code such as "1Y")
Array of zero-coupon dates and rates or discount factors
Extended argument customizing the return value (see YcMode on
page 389)

FxCalcPeriod
Purpose

Calculates the start date and the end date of a period.

The CalcDate argument stands by default for the trading date. To calculate the period end date
directly from the spot date (it may be useful to do so for instance when applying an offset to the spot
date), or to choose between the Forex and the Money markets, use the FROM keyword in FxMode.

Syntax
Arguments

=FxCalcPeriod(CalcDate, Cur1Cur2, Period, FxMode)

CalcDate
Cur1Cur2
Period
FxMode

Calculation date (trading date or spot date)

Cross currency code (example: "EURGBP")
Period code (example: "1M")
Extended argument customizing the return value (see FxMode on
page 329)

FxCross
Purpose

[email protected]

Calculates the spot cross rate assuming that the cross value date and the spot dates are equal.

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FxCrossA

The cross spot rate is by default returned in two cells. To get the cross rate in the Bid/Ask or Ask/Bid
format, this function can be combined with the AdFormat function.

Syntax
Arguments

=FxCross(Cur1Cur2, Spot1BA, Spot2BA, FxMode)

Cur1Cur2
Spot1BA
Spot2BA
FxMode

Cross currency code (example: "EURGBP")

Cur1 spot rates (array Bid/Ask)
Cur2 spot rates (array Bid/Ask)
Extended argument customizing the return value (see FxMode on
page 329)

FxCrossA
Purpose

Calculates the spot cross rate correcting the spot rates if the cross spot date and the spot date of
each currency are not equal.
The cross spot rate is by default returned in two cells. To get the cross rate in the Bid/Ask or Ask/Bid
format, this function can be combined with the AdFormat function.

Syntax
Arguments

=FxCrossA(CalcDate, Cur1Cur2, Spot1BA, Spot2BA, Dep1BA, Dep2BA, DepUsdBA, FxMode)

CalcDate
Cur1Cur2
Spot1BA
Spot2BA
Dep1BA
Dep2BA
DepUsdBA
FxMode

Calculation date (contract or trading date)

Cross currency code (example: "EURGBP")
Cur1 spot rates (array Bid/Ask)
Cur2 spot rates (array Bid/Ask)
Cur1 deposit rates (in real value) for the shortest period (array Bid/Ask)
Cur2 deposit rates (in real value) for the shortest period (array Bid/Ask)
USD deposit rates (in real value) for the shortest period (array Bid/Ask)
Extended argument customizing the return value (see FxMode on page 329)

FxCrossD
Purpose

88

Calculates the spot cross rate correcting the spot rates if the cross spot date SpotDate12 and the
currency spot dates SpotDate1 and SpotDate2 are not equal.

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FxDepToSwpD

The cross spot rate is by default returned in two cells. To get the cross rate in the Bid/Ask or Ask/Bid
format, this function can be combined with the AdFormat function.

Syntax

Arguments

=FxCrossD(SpotDate12, SpotDate1, SpotDate2, Cur1Cur2, Spot1BA, Spot2BA, Dep1BA,

Dep2BA, DepUsdBA, FxMode)

SpotDate12
SpotDate1
SpotDate2
Cur1Cur2
Spot1BA
Spot2BA
Dep1BA
Dep2BA
DepUsdBA
FxMode

Spot value date of the cross currency Cur1Cur2

Spot value date of Cur1
Spot value date of Cur2
Cross currency code (example: "EURGBP")
Cur1 spot rates (array Bid/Ask)
Cur2 spot rates (array Bid/Ask)
Cur1 deposit rates (in real value) for the shortest period (array Bid/Ask)
Cur2 deposit rates (in real value) for the shortest period (array Bid/Ask)
USD deposit rates (in real value) for the shortest period (array Bid/Ask)
Extended argument customizing the return value (see FxMode on page
329)

FxDepToSwpD
Purpose

Calculates the synthetic swap point from deposit using a number of days. If any of the two
currencies is the USD, an alternate set of arguments can be used to avoid the burden of determining
which of Cur1 or Cur2 stands for the USD.
To get outrights instead of swap points, this function can be combined with the FxSwpToOut function.
The cross swap point is by default returned in two cells. To get the swap point in the Bid/Ask or
Ask/Bid format, this function can be combined with the AdFormat function.

Syntax
Arguments for
two non-USD
currencies

=FxDepToSwpD(NbDays, Cur1Cur2, Spot12BA, Dep1BA, Dep2BA, FxMode)

I

NbDays
Cur1Cur2
Spot12BA
Dep1BA

[email protected]

Number of days of Cur1Cur2 swap point period

Cross currency code (example : "EURGBP")
Cur1Cur2 spot rates (array Bid/Ask)
Cur1 deposit rates (in real value) for approximately NbDays (array Bid/Ask)

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FxDepToSwpP

Dep2BA
FxMode

Cur2 deposit rates (in real value) for approximately NbDays (array Bid/Ask)
Extended argument customizing the return value (see FxMode on page 329)

In this case, FxMode should include the argument "RES:SWP12".

Arguments for
one currency
against USD

NbDays
Cur1Cur2
Spot12BA
Dep1BA
Dep2BA
FxMode

Number of days of Currency swap point period

Currency ISO code (example : "EUR") referred to as Currency
Currency spot rates (array Bid/Ask)
Currency deposit rates (in real value) for approximately NbDays (array Bid/Ask)
USD deposit rates (in real value) for approximately NbDays (array Bid/Ask)
Extended argument customizing the return value (see FxMode on page 329)

In this case, FxMode should include the argument "RES:SWPCUR".

FxDepToSwpP
Purpose

Calculates the synthetic swap point from deposit using a period. If any of the two currencies is the
USD, an alternate set of arguments can be used to avoid the burden of determining which of Cur1 or
Cur2 stands for the USD. To distinguish from both cases, the expected result must be specified in
FxMode using the RES keyword.
To get outrights instead of swap points, this function can be combined with the FxSwpToOut function.
The cross swap point is by default returned in two cells. To get the swap point in the Bid/Ask or
Ask/Bid format, this function can be combined with the AdFormat function.

Syntax
Arguments for
two non-USD
currencies

=FxDepToSwpP(CalcDate, Period, Cur1Cur2, Spot12BA, Dep1BA, Dep2BA, FxMode)

CalcDate
Period
Cur1Cur2
Spot12BA
Dep1BA
Dep2BA
FxMode

90

Calculation date (contract or trading date)

Period code (example : "1W")
Cross currency code (example: "EURGBP")
Cur1Cur2 spot rates (array Bid/Ask)
Cur1 deposit rates (in real value) for the period (array Bid/Ask)
Cur2 deposit rates (in real value) for the period (array Bid/Ask)
Extended argument customizing the return value (see FxMode on page
329). In this case, FxMode should include the argument "RES:SWP12".

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Chapter 10 Forex & MM Functions

FxGenCalc

Arguments for
one currency
against USD

CalcDate
Period
Cur1Cur2
Spot12BA
Dep1BA
Dep2BA
FxMode

Calculation date (contract or trading date)

Period code (example: "1W")
Currency ISO code (example: "EUR") referred to as Currency
Currency spot rates (array Bid/Ask)
Currency deposit rates (in real value) for the period (array Bid/Ask)
USD deposit rates (in real value) for the period (array Bid/Ask)
Extended argument customizing the return value (see FxMode on page
329). In this case, FxMode should include the argument "RES:SWPCUR".

FxGenCalc
Purpose
Syntax

Arguments

Performs any kind of Forex or Money market calculation from an instrument code. The integration of
the FxGenCalc function within models can be made easier with the FxGenParse function.
=FxGenCalc(InstrumentCode, CurrencyList, CalcDate, Spot1BA, Spot2BA, Spot12BA,
Swp1Array, Swp2Array, Dep1Array, Dep2Array, DepUsdArray, FxMode)

InstrumentCode
CurrencyList
CalcDate
Spot1BA
Spot2BA
Spot12BA
Swp1Array
Swp2Array
Dep1Array
Dep2Array
DepUsdArray
FxMode

[email protected]

Instrument code corresponding to the calculation

List of the available currencies (string with the comma "," as separator)
Calculation date (contract or trading date)
Cur1 spot rates (array Bid/Ask)
Cur2 spot rates (array Bid/Ask)
Cur1Cur2 spot rates (array Bid/Ask)
Cur1 array of dates and swap points
Cur2 array of dates and swap points
Cur1 array of dates and deposit rates
Cur2 array of dates and deposit rates
USD array of dates and deposit rates
Extended argument customizing the return value (see FxMode on
page 329)

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FxGenParse

FxGenParse
Purpose
Syntax
Arguments

Returns information concerning the calculation that corresponds to an instrument code. This
information can be used to select the proper arguments in the FxGenCalc function.
=FxGenParse(InstrumentCode, CurrencyList, FxMode)

InstrumentCode
CurrencyList
FxMode

Instrument code corresponding to the calculation

List of the available currencies (string with the comma "," as separator)
Extended argument customizing the return value (see FxMode on page
329)

FxSwpToDepD
Purpose

Calculates the synthetic deposit from swap point using a number of days. If either of the two
currencies is the USD, an alternate set of arguments can be used to avoid the burden of determining
which of Cur1 or Cur2 stands for the USD. To distinguish from both cases, the expected result must
be specified in FxMode using the RES keyword.
The deposit rate is by default returned in two cells. To get the rate in the Bid/Ask or Ask/Bid format,
this function can be combined with the AdFormat function.

Syntax
Arguments for
two non-USD
currencies

=FxSwpToDepD(NbDays, Cur1Cur2, Spot12BA, Dep1BA, Swp12BA, FxMode)

NbDays
Cur1Cur2
Spot12BA
DepBA
Swp12BA
FxMode

Number of days of Currency swap point period

Cross currency code (example: "EURGBP")
Cur1Cur2 spot rates (array Bid/Ask)
Cur1 or Cur2 deposit rates (in real value) for approximately NbDays (array Bid/Ask)
Cur1Cur2 swap points (array Bid/Ask)
Extended argument customizing the return value (see FxMode on page 329)

In this case, FxMode should include the argument "RES:DEP1" if the deposit rate of Cur1 is
calculated from that of Cur2, or "RES:DEP2" if the deposit rate of Cur2 is calculated from that of
Cur1.

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Chapter 10 Forex & MM Functions

FxSwpToDepP

Arguments for
one currency
against USD

NbDays
Cur1Cur2
Spot12BA
DepBA
Swp12BA
FxMode

Number of days of Currency swap point period

Currency ISO code (example: "EUR") referred to as Currency
Currency spot rates (array Bid/Ask)
Currency or USD deposit rates (in real value) for approx. NbDays (array Bid/Ask)
Currency swap points (array Bid/Ask)
Extended argument customizing the return value (see FxMode on page 329)

In this case, FxMode should include the argument "RES:DEPCUR" if the deposit rate of Currency is
calculated from that of USD, or "RES:DEPUSD" if the deposit rate of USD is calculated from that of
Currency.

FxSwpToDepP
Purpose

Calculates the synthetic deposit from swap point using a period. If any of the two currencies is the
USD, an alternate set of arguments can be used to avoid the burden of determining which of Cur1 or
Cur2 stands for the USD. To distinguish from both cases, the expected result must be specified in
FxMode using the RES keyword.
The deposit rate is by default returned in two cells. To get the rate in the Bid/Ask or Ask/Bid format,
this function can be combined with the AdFormat function.

Syntax
Arguments for
two non-USD
currencies

=FxSwpToDepP(CalcDate, Period, Cur1Cur2, Spot12BA, DepBA, Swp12BA, FxMode)

CalcDate
Period
Cur1Cur2
Spot12BA
DepBA
Swp12BA
FxMode

Calculation date (contract or trading date)

Period code (example: "1W")
Cross currency code (example : "EURGBP")
Cur1Cur2 spot rates (array Bid/Ask)
Cur1 or Cur2 deposit rates (in real value) for the period (array Bid/Ask)
Cur1Cur2 swap points (array Bid/Ask)
Extended argument customizing the return value (see FxMode on
page 329)

In this case, FxMode should include the argument "RES:DEP1" if the deposit rate of Cur1 is
calculated from that of Cur2, or "RES:DEP2" if the deposit rate of Cur2 is calculated from that of
Cur1.

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FxSwpToOut

Arguments for
one currency
against USD

CalcDate
Period
Cur1Cur2
Spot12BA
DepBA
Swp12BA
FxMode

Calculation date (contract or trading date)

Period code (example: "1W")
Currency ISO code (example: "EUR") referred to as Currency
Currency spot rates (array Bid/Ask)
Currency or USD deposit rates (in real value) for the period (array
Bid/Ask)
Currency swap points (array Bid/Ask)
Extended argument customizing the return value (see FxMode on
page 329)

In this case, FxMode should include the argument "RES:DEPCUR" if the deposit rate of Currency is
calculated from that of USD, or "RES:DEPUSD" if the deposit rate of USD is calculated from that of
Currency.

FxSwpToOut
Purpose

Calculates outright rates from swap points.

This function is likely to be used to display a forward quotation of a cross currency as both swap
points (argument of the function) and outrights (result of the fonction).
The outright rate is by default returned in two cells. To get the rate in the Bid/Ask or Ask/Bid format,
this function can be combined with the AdFormat function.

Syntax
Arguments

=FxSwpToOut(Cur1Cur2, Spot12BA, Swp12BA, FxMode)

Cur1Cur2

Cross currency code (example: "EURGBP")

Spot12BA

Cur1Cur2 spot rates (array Bid/Ask)

Swp12BA

Cur1Cur2 swap points (array Bid/Ask)

FxMode

Extended argument customizing the return value (see FxMode on

page 329)

FxSwpToSwp
Purpose

94

Calculates the cross swap point from swap points assuming that the cross value date and the spot
dates are equal.

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FxSwpToSwpD

To get outrights instead of swap points, this function can be combined with the FxSwpToOut function.
The cross swap point is by default returned in two cells. To get the swap point in the Bid/Ask or
Ask/Bid format, this function can be combined with the AdFormat function.

Syntax
Arguments

=FxSwpToSwp(Cur1Cur2, Spot1BA, Spot2BA, Swp1BA, Swp2BA, FxMode)

Cur1Cur2
Spot1BA
Spot2BA
Swp1BA
Swp2BA
FxMode

Cross currency code (example: "EURGBP")

Cur1 spot rates (array Bid/Ask)
Cur2 spot rates (array Bid/Ask)
Cur1 swap points (array Bid/Ask)
Cur2 swap points (array Bid/Ask)
Extended argument customizing the return value (see FxMode on
page 329)

FxSwpToSwpD
Purpose

Calculates the cross swap point from swap points, using either the numbers of days or an array of
Start Dates and End Dates, to correct the calculation when the cross value date is different from the
spot date.
To get outrights instead of swap points, this function can be combined with the FxSwpToOut function.
The cross swap point is by default returned in two cells. To get the swap point in the Bid/Ask or
Ask/Bid format, this function can be combined with the AdFormat function.

Syntax

Arguments

=FxSwpToSwpD(NbDays12, NbDays1, NbDays2, Cur1Cur2, Spot1BA, Spot2BA, Swp1BA,

Swp2BA, FxMode)

NbDays12
NbDays1
NbDays2
Cur1Cur2
Spot1BA

[email protected]

Number of days of Cur1Cur2 swap point period or an array of Start

Dates and End Dates
Number of days of Cur1USD swap point period or an array of Start
Dates and End Dates
Number of days of Cur2USD swap point period or an array of Start
Dates and End Dates
Cross currency code (example: "EURGBP")
Cur1 spot rates (array Bid/Ask)

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FxSwpToSwpP

Spot2BA
Swp1BA
Swp2BA
FxMode

Cur2 spot rates (array Bid/Ask)

Cur1 swap points (array Bid/Ask)
Cur2 swap points (array Bid/Ask)
Extended argument customizing the return value (see FxMode on
page 329)

FxSwpToSwpP
Purpose

Calculates the cross swap point from swap points using a period to correct the calculation when the
cross value date is different from the spot dates.
To get outrights instead of swap points, this function can be combined with the FxSwpToOut function.
The cross swap point is by default returned in two cells. To get the swap point in the Bid/Ask or
Ask/Bid format, this function can be combined with the AdFormat function.

Syntax

Arguments

=FxSwpToSwpP(CalcDate, Period, Cur1Cur2, Spot1BA, Spot2BA, Swp1BA, Swp2BA,

FxMode)

CalcDate
Period
Cur1Cur2
Spot1BA
Spot2BA
Swp1BA
Swp2BA
FxMode

96

Calculation date (contract or trading date)

Period code (example: "1W")
Cross currency code (example: "EURGBP")
Cur1 spot rates (array Bid/Ask)
Cur2 spot rates (array Bid/Ask)
Cur1 swap points (array Bid/Ask)
Cur2 swap points (array Bid/Ask)
Extended argument customizing the return value (see FxMode on
page 329)

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PART VI:
REUTERS ADFIN
OPTIONS

Reuters Adfin Options

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C H A P T E R 11 O P T I O N S A N D W A R R A N TS F U N C T I O N S

Contents

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NormalC
NormalS
OpCalcDeriv
OpHistVol
OpImpliedVol
OpPremium

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NormalC

NormalC
Purpose
Syntax
Arguments

Calculates y=f(x) using a cumulative normal distribution.

=NormalC(Number)

Number

x value

NormalS
Purpose
Syntax
Arguments

Calculates y=f(x) using a normal distribution.

=NormalS(Number)

Number

x value

OpCalcDeriv
Purpose
Syntax

Arguments

Returns all derivatives (delta, gamma, rho, theta, and vega) of an option on a security (index, stock),
a future, a commodity, or a currency in an array.
=OpCalcDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Volatility,
RiskFreeRateArray, ReturnArray, OptionStructure, RateStructure, CalcStructure,
AdMode)

CalcDate
ExpiryDate
SpotPrice
StrikePrice
Volatility
RiskFreeRateArray
ReturnArray

100

Calculation date of the option

Expiry date of the option
Market or spot price of the underlying instrument
Strike price of the option
Volatility of the underlying instrument
Term structure array
Constant yield or dividend array (Date, Dividend)

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Chapter 11 Options and Warrants Functions

OpHistVol

OptionStructure
RateStructure
CalcStructureC
AdMode

Extended argument defining the option structure (see

OptionStructure on page 354)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

OpHistVol
Purpose

Calculates the historical volatility of an option on a security (index, stock), a future, a commodity, or a
currency, from a set of underlying prices.
To define the type of prices used (either close prices, or high and low prices), use the HVM keyword in
OpMode.

Syntax
Arguments

=OpHistVol(PriceArray, OpMode)

PriceArray

OpMode

One-dimensional array (for HVM:CLOSE) or 2-dimensional array (for

HVM:HL) containing the prices. The orientation of this array is specified
using the LAY keyword in OpMode.
Extended argument customizing the return value (see OpMode on
page 351)

OpImpliedVol
Purpose
Syntax

Argument

Calculates the implied volatility of an option on a security (index, stock), a future, a commodity, or a
currency, from the option premium.
=OpImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Premium,
RiskFreeRateArray, ReturnArray, OptionStructure, RateStructure, CalcStructure)

CalcDate
ExpiryDate

[email protected]

Calculation date of the option

Expiry date of the option

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OpPremium

SpotPrice
StrikePrice
Premium
RiskFreeRateArray
ReturnArray
OptionStructure
RateStructure
CalcStructure

Market or spot price of the underlying instrument

Strike price of the option
Premium of the option
Term structure array
Constant yield or dividend array (Date, Dividend)
Extended argument defining the option structure (see
OptionStructure on page 354)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

OpPremium
Purpose
Syntax

Arguments

Calculates the premium of an option on a security (index, stock), a future, a commodity, or a

currency.
=OpPremium(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Volatility,
RiskFreeRateArray, ReturnArray, OptionStructure, RateStructure,CalcStructure)

CalcDate
ExpiryDate
SpotPrice
StrikePrice
Volatility
RiskFreeRateArray
ReturnArray
OptionStructure
RateStructure
CalcStructure

102

Calculation date of the option

Expiry date of the option
Market or spot price of the underlying instrument
Strike price of the option
Volatility of the underlying instrument
Term structure array
Constant yield or dividend array (Date, Dividend)
Extended argument defining the option structure (see
OptionStructure on page 354)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

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CHAPTER 12 BOND OPTIONS FUNCTIONS

Contents

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Bond Options
AdBondOptionDeriv
AdBondOptionPremium

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Bond Options

Bond Options
The Bond Options functions include:
AdBondOptionDeriv
AdBondOptionPremium

AdBondOptionDeriv
Purpose
Syntax

Arguments

Returns an array of all the derivatives (delta, gamma, rho, theta, vega) of a bond option defined from
a bond structure.
=AdBondOptionDeriv(CalcDate, RateArray, BondMaturity, Coupon, ExpiryDate,
StrikePrice, BondStructure, OptionStructure, RateStructure, CalcStructure,
AdMode)

CalcDate
RateArray
BondMaturity
Coupon
ExpiryDate
StrikePrice
BondStructure
OptionStructure
RateStructure
CalcStructure
AdMode

104

Calculation date
Term structure array
Maturity date of the bond
Coupon
Expiry date of the option
Strike of the option
Extended argument defining the bond structure (see
BondFutStructure on page 243)
Extended argument defining the option structure (see
OptionStructure on page 354)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

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Chapter 12 Bond Options Functions

AdBondOptionPremium

AdBondOptionPremium
Purpose
Syntax

Arguments

Calculates the premium of a bond option defined from a bond structure.

=AdBondOptionPremium(CalcDate, RateArray, BondMaturity, Coupon, ExpiryDate,
StrikePrice, BondStructure, OptionStructure, RateStructure, CalcStructure,
AdMode)

CalcDate
RateArray
BondMaturity
Coupon
ExpiryDate
StrikePrice
BondStructure
OptionStructure
RateStructure
CalcStructure
AdMode

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Calculation date
Term structure array
Maturity date of the bond
Coupon
Expiry date of the option
Strike price of the option
Extended argument defining the bond structure (see
BondFutStructure on page 243)
Extended argument defining the option structure (see
OptionStructure on page 354)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

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AdBondOptionPremium

106

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C H A P T E R 1 3 V A N I L L A C A PS , F L O O R , A N D C O L L A R S

FUNCTIONS

Contents

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AdCapFloorCaplets
AdCapFloorDeriv
AdCapFloorImpliedVol
AdCapFloorPremium

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AdCapFloorCaplets

AdCapFloorCaplets
Purpose
Syntax

Arguments

Generates an array with the caplet or floorlet values of a Vanilla cap, floor, or collar.
=AdCapFloorCaplets(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, CapFloorStructure, RateStructure,
CalcStructure, AdMode)

SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
CapFloorStructure
RateStructure
CalcStructure
AdMode

Settlement date
Term structure array
Start date of the cap, floor, or collar
Maturity date of the cap, floor, or collar
Exercise or strike price of the cap
Exercise or strike price of the floor
Rate of the cap, floor, or collar for the current calculation period
Extended argument defining the instrument (see CapFloorStructure
on page 264)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

AdCapFloorDeriv
Purpose
Syntax

Arguments

Generates an array with the derivatives of a Vanilla cap, floor, or collar.

=AdCapFloorDeriv(SettlementDate, RateArray, StartDate, Maturity, CapStrikePrice,
FloorStrikePrice, FirstRate, CapFloorStructure, RateStructure, CalcStructure,
AdMode)

SettlementDate
RateArray

108

Settlement date
Term structure array

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Chapter 13 Vanilla Caps, Floor, and Collars Functions

AdCapFloorImpliedVol

StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
CapFloorStructure
RateStructure
CalcStructure
AdMode

Start date of the cap, floor, or collar

Maturity date of the cap, floor, or collar
Exercise or strike price of the cap
Exercise or strike price of the floor
Rate of the cap, floor, or collar for the current calculation period
Extended argument defining the instrument (see CapFloorStructure
on page 264)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

AdCapFloorImpliedVol
Purpose
Syntax

Arguments

Calculates the implied volatility of a Vanilla cap, floor, or collar.

=AdCapFloorImpliedVol(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, Premium, CapFloorStructure,
RateStructure, CalcStructure)

SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
Premium
CapFloorStructure
RateStructure

[email protected]

Settlement date
Term structure array
Start date of the cap, floor, or collar
Maturity date of the cap, floor, or collar
Exercise or strike price of the cap
Exercise or strike price of the floor
Rate of the cap, floor, or collar for the current calculation period
Market or spot price of the cap, floor, or collar
Extended argument defining the instrument (see CapFloorStructure
on page 264)
Extended argument defining the interest rate model (see
RateStructure on page 365)

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AdCapFloorPremium

CalcStructure

Extended argument defining the calculation method (see

CalcStructure on page 262)

AdCapFloorPremium
Purpose
Synatax

Arguments

Calculates the premium of a Vanilla cap, floor, or collar.

=AdCapFloorPremium(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, CapFloorStructure, RateStructure,
CalcStructure, AdMode)

SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
CapFloorStructure
RateStructure
CalcStructure

110

Settlement date
Term structure array
Start date of the cap, floor, or collar
Maturity date of the cap, floor, or collar
Exercise or strike price of the cap
Exercise or strike price of the floor
Rate of the cap, floor, or collar for the current calculation period
Extended argument defining the instrument (see CapFloorStructure
on page 264)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

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C H A P T E R 1 4 B A R R I E R C A PS A N D F L O O R S F U N C T I O N S

Contents

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AdBarrierCapFloorCaplets
AdBarrierCapFloorDeriv
AdBarrierCapFloorImpliedVol
AdBarrierCapFloorPremium

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AdBarrierCapFloorCaplets

AdBarrierCapFloorCaplets
Purpose
Syntax

Arguments

Generates an array with the caplet or floorlet premiums of a Barrier cap or floor.
=AdBarrierCapFloorCaplets(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, UpperBarrier, LowerBarrier,
UpperRebate, LowerRebate, CapFloorStructure, RateStructure, CalcStructure,
AdMode)

SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
UpperBarrier
LowerBarrier
UpperRebate
LowerRebate
CapFloorStructure
RateStructure
CalcStructure
AdMode

Settlement date
Term structure array
Start date of the Barrier cap or floor
Maturity date of the Barrier cap or floor
Exercise or strike price of the Barrier cap
Exercise or strike price of the Barrier floor
Rate of the Barrier cap or floor for the current calculation period
Upper barrier of the Barrier cap or floor
Lower barrier of the Barrier cap or floor
Upper rebate of the Barrier cap or floor
Lower rebate of the Barrier cap or floor
Extended argument defining the instrument (see CapFloorStructure
on page 264)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

AdBarrierCapFloorDeriv
Purpose

112

Generates an array with the derivatives of a Barrier cap or floor.

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Reuters PowerPlus Pro 4.5.1 Function Reference Guide

Chapter 14 Barrier Caps and Floors Functions

AdBarrierCapFloorImpliedVol

Syntax

Arguments

=AdBarrierCapFloorDeriv(SettlementDate, RateArray, StartDate, Maturity,

CapStrikePrice, FloorStrikePrice, FirstRate, UpperBarrier, LowerBarrier,
UpperRebate, LowerRebate, CapFloorStructure, RateStructure, CalcStructure,
AdMode)

SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
UpperBarrier
LowerBarrier
UpperRebate
LowerRebate
CapFloorStructure
RateStructure
CalcStructure
AdMode

Settlement date
Term structure array
Start date of the Barrier cap or floor
Maturity date of the Barrier cap or floor
Exercise or strike price of the Barrier cap
Exercise or strike price of the Barrier floor
Rate of the Barrier cap or floor for the current calculation period
Upper barrier of the Barrier cap or floor
Lower barrier of the Barrier cap or floor
Upper rebate of the Barrier cap or floor
Lower rebate of the Barrier cap or floor
Extended argument defining the instrument (see CapFloorStructure
on page 264)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

AdBarrierCapFloorImpliedVol
Purpose
Syntax

Arguments

[email protected]

Calculates the implied volatility of a Barrier cap or floor.

=AdBarrierCapFloorImpliedVol(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, Premium, UpperBarrier, LowerBarrier,
UpperRebate, LowerRebate, CapFloorStructure, RateStructure, CalcStructure)

SettlementDate

Settlement date

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AdBarrierCapFloorPremium

RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
Premium
UpperBarrier
LowerBarrier
UpperRebate
LowerRebate
CapFloorStructure
RateStructure
CalcStructure

Term structure array

Start date of the Barrier cap or floor
Maturity date of the Barrier cap or floor
Exercise or strike price of the Barrier cap
Exercise or strike price of the Barrier floor
Rate of the Barrier cap or floor for the current calculation period
Market or spot price of the Barrier cap or floor
Upper barrier of the Barrier cap or floor
Lower barrier of the Barrier cap or floor
Upper rebate of the Barrier cap or floor
Lower rebate of the Barrier cap or floor
Extended argument defining the instrument (see CapFloorStructure
on page 264)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

AdBarrierCapFloorPremium
Purpose
Syntax

Arguments

Calculates the premium of a Barrier cap or floor.

=AdBarrierCapFloorPremium(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, UpperBarrier, LowerBarrier,
UpperRebate, LowerRebate, CapFloorStructure, RateStructure, CalcStructure)

SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
UpperBarrier

114

Settlement date
Term structure array
Start date of the Barrier cap or floor
Maturity date of the Barrier cap or floor
Exercise or strike price of the Barrier cap
Exercise or strike price of the Barrier floor
Rate of the Barrier cap or floor for the current calculation period
Upper barrier of the Barrier cap or floor

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Reuters PowerPlus Pro 4.5.1 Function Reference Guide

Chapter 14 Barrier Caps and Floors Functions

AdBarrierCapFloorPremium

LowerBarrier
UpperRebate
LowerRebate
CapFloorStructure
RateStructure
CalcStructure

[email protected]

Lower barrier of the Barrier cap or floor

Upper rebate of the Barrier cap or floor
Lower rebate of the Barrier cap or floor
Extended argument defining the instrument (see CapFloorStructure
on page 264)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

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AdBarrierCapFloorPremium

116

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C H A P T E R 1 5 D I G I TA L C A PS , F L O O R S , A N D C O L L A R S

FUNCTIONS

Contents

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AdDigitalCapFloorCaplets
AdDigitalCapFloorDeriv
AdDigitalCapFloorImpliedVol
AdDigitalCapFloorPremium

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AdDigitalCapFloorCaplets

AdDigitalCapFloorCaplets
Purpose
Syntax

Arguments

Generates an array with the caplet or floorlet premiums of a Digital cap, floor, or collar.
=AdDigitalCapFloorCaplets(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, CapFixedAmount, FloorFixedAmount,
CapFloorStructure, RateStructure, CalcStructure, AdMode)

SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
CapFixedAmount
FloorFixedAmount
CapFloorStructure
RateStructure
CalcStructure
AdMode

Settlement date
Term structure array
Start date of the Digital cap, floor, or collar
Maturity date of the Digital cap, floor, or collar
Exercise or strike price of the Digital cap
Exercise or strike price of the Digital floor
Rate of the Digital cap, floor, or collar for the current calculation period
Rebate array of the Digital cap
Rebate array of the Digital floor
Extended argument defining the instrument (see CapFloorStructure
on page 264)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

AdDigitalCapFloorDeriv
Purpose
Syntax

118

Generates an array with the derivatives of a digital cap, floor, or collar.

=AdDigitalCapFloorDeriv(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, CapFixedAmount, FloorFixedAmount,
CapFloorStructure, RateStructure, CalcStructure, AdMode)

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Reuters PowerPlus Pro 4.5.1 Function Reference Guide

Chapter 15 Digital Caps, Floors, and Collars Functions

AdDigitalCapFloorImpliedVol

Arguments

SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
CapFixedAmount
FloorFixedAmount
CapFloorStructure
RateStructure
CalcStructure
AdMode

Settlement date
Term structure array
Start date of the Digital cap, floor, or collar
Maturity date of the Digital cap, floor, or collar
Exercise or strike price of the Digital cap
Exercise or strike price of the Digital floor
Rate of the Digital cap, floor, or collar for the current calculation period
Rebate array of the Digital cap
Rebate array of the Digital floor
Extended argument defining the instrument (see CapFloorStructure
on page 264)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

AdDigitalCapFloorImpliedVol
Purpose
Syntax

Arguments

Calculates the implied volatility of a Digital cap, floor, or collar.

=AdDigitalCapFloorImpliedVol(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, Premium, CapFixedAmount,
FloorFixedAmount, CapFloorStructure, RateStructure, CalcStructure)

SettlementDate
RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
Premium

[email protected]

Settlement date
Term structure array
Start date of the Digital cap, floor, or collar
Maturity date of the Digital cap, floor, or collar
Exercise or strike price of the Digital cap
Exercise or strike price of the Digital floor
Rate of the Digital cap, floor, or collar for the current calculation period
Market or spot price of the Digital cap, floor, or collar

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AdDigitalCapFloorPremium

CapFixedAmount
FloorFixedAmount
CapFloorStructure
RateStructure
CalcStructure

Rebate array of the Digital cap

Rebate array of the Digital floor
Extended argument defining the instrument (see CapFloorStructure
on page 264)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

AdDigitalCapFloorPremium
Purpose
Syntax

Arguments

Calculates the premium of a Digital cap, floor, or collar.

=AdDigitalCapFloorPremium(SettlementDate, RateArray, StartDate, Maturity,
CapStrikePrice, FloorStrikePrice, FirstRate, CapFixedAmount, FloorFixedAmount,
CapFloorStructure, RateStructure, CalcStructure)

SettlementDate

RateArray
StartDate
Maturity
CapStrikePrice
FloorStrikePrice
FirstRate
CapFixedAmount
FloorFixedAmount
CapFloorStructure
RateStructure
CalcStructure

120

Settlement date
Term structure array
Start date of the Digital cap, floor, or collar
Maturity date of the Digital cap, floor, or collar
Exercise or strike price of the Digital cap
Exercise or strike price of the Digital floor
Rate of the Digital cap, floor, or collar for the current calculation period
Rebate array of the Digital cap
Rebate array of the Digital floor
Extended argument defining the instrument (see CapFloorStructure
on page 264)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

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CHAPTER 16 SWAPTIONS FUNCTIONS

Contents

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AdSwaptionPremium
AdSwaptionDeriv

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AdSwaptionPremium

AdSwaptionPremium
Purpose
Syntax

Arguments

Calculates the premium of a swaption.

=AdSwaptionPremium(CalcDate, RateArray, SwapStartDate, SwapMaturity, ExpiryDate,
SpotPrice, StrikePrice, SwapStructure, OptionStructure, RateStructure,
CalcStructure)

CalcDate
RateArray
SwapStartDate
SwapMaturity
ExpiryDate
SpotPrice
StrikePrice

SwapStructure
OptionStructure
RateStructure
CalcStructure

Settlement date
Term structure array
Start date of the swap
Maturity date of the swap
Expiry date of the option
Spot market rate of the swap
Exercise or strike rate of the swap
Extended argument defining the swap (see SwapStructure on page
380)
Extended argument defining the option (see OptionStructure on
page 354)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

AdSwaptionDeriv
Purpose
Syntax

Arguments

122

Returns in an array all derivatives (delta, gamma, theta, vega) of an option on a swap.
=AdSwaptionDeriv(CalcDate, RateArray, SwapStartDate, SwapMaturity, ExpiryDate,
SpotPrice, StrikePrice, SwapStructure, OptionStructure, RateStructure,
CalcStructure, AdMode)

CalcDate
RateArray

Settlement date
Term structure array

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Reuters PowerPlus Pro 4.5.1 Function Reference Guide

Chapter 16 Swaptions Functions

AdSwaptionDeriv

SwapStartDate
SwapMaturity
ExpiryDate
SpotPrice
StrikePrice

SwapStructure
OptionStructure
RateStructure
CalcStructure
AdMode

[email protected]

Start date of the swap

Maturity date of the swap
Expiry date of the option
Spot market rate of the swap
Exercise or strike rate of the swap
Extended argument defining the swap (see SwapStructure on page
380)
Extended argument defining the option (see OptionStructure on
page 354)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

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AdSwaptionDeriv

124

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PART VII:
REUTERS ADFIN
EXOTIC OPTIONS

Reuters Adfin Exotic Options

126

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CHAPTER 17 ASIAN OPTIONS FUNCTIONS

Contents

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Adfin Exotics
OpAsianDeriv
OpAsianImpliedVol
OpAsianPremium

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Adfin Exotics

Adfin Exotics
The Exotics functions include:
Asian Options Functions
Barrier Options Functions
Basket Options Functions
Binary Options Functions
Chooser Options Functions
Cliquet Options Functions
Compound Options Functions
Double Barrier Options Functions
ExLookBack Options Functions
FxLinked Options Functions
Power Options Functions
Rainbow Options Functions

OpAsianDeriv
Purpose

Syntax

Arguments

Returns all derivatives (delta, gamma, rho, theta, and vega) of an Asian option in an array. At
maturity, this type of option pays either the difference between the average of the underlying prices
and the strike price, or the difference between the underlying price at maturity and the average of the
underlying prices.
=OpAsianDeriv(CalcDate, FirstFixingDate, ExpiryDate, SpotPrice, StrikePrice,
AveragePrice, NbFixing, Volatility, RiskFreeRateArray, ReturnArray,
ExoticStucture, RateStructure, CalcStructure, AdMode)

CalcDate
FirstFixingDate
ExpiryDate
SpotPrice

128

Calculation date
Date of the first fixing for the average calculation
Expiry date of the option
Market or spot price of the underlying instrument

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Reuters PowerPlus Pro 4.5.1 Function Reference Guide

Chapter 17 Asian Options Functions

OpAsianImpliedVol

StrikePrice
AveragePrice
NbFixing
Volatility
RiskFreeRateArray
ReturnArray

ExoticStructure
RateStructure
CalcStructure
AdMode

Exercise or strike price of the option, ignored for average strike

options
Average of the underlying prices from the first fixing date to the
calculation date
Number of fixings used to calculate the average
Anticipated volatility of the underlying instrument
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the structure of the interest rate model
(see RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

OpAsianImpliedVol
Purpose

Syntax

Arguments

Calculates the implied volatility of an Asian option. At maturity, this type of option pays either the
difference between the average of the underlying prices and the strike price, or the difference
between the underlying price at maturity and the average of the underlying prices.
=OpAsianImpliedVol(CalcDate, FirstFixingDate, ExpiryDate, SpotPrice, StrikePrice,
AveragePrice, NbFixing, Premium, RiskFreeRateArray, ReturnArray, ExoticStucture,
RateStructure, CalcStructure)

CalcDate
FirstFixingDate
ExpiryDate
SpotPrice
StrikePrice
AveragePrice
NbFixing

[email protected]

Calculation date
Date of the first fixing for the average calculation
Expiry date of the option
Market or spot price of the underlying instrument
Exercise or strike price of the option, ignored for average strike options
Average of the underlying prices from the first fixing date to the
calculation date
Number of fixings used to calculate the average

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OpAsianPremium

Premium
RiskFreeRateArray
ReturnArray

ExoticStructure
RateStructure
CalcStructure

Premium of the option

Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the structure of the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see CalcStructure
on page 262)

OpAsianPremium
Purpose

Syntax

Arguments

Calculates the premium of an Asian option. At maturity, this type of option pays either the difference
between the average of the underlying prices and the strike price, or the difference between the
underlying price at maturity and the average of the underlying prices.
=OpAsianPremium(CalcDate, FirstFixingDate, ExpiryDate, SpotPrice, StrikePrice,
AveragePrice, NbFixing, Volatility, RiskFreeRateArray, ReturnArray,
ExoticStructure, RateStructure, CalcStructure)

CalcDate
FirstFixingDate
ExpiryDate
SpotPrice
StrikePrice
AveragePrice
NbFixing
Volatility
RiskFreeRateArray
ReturnArray

ExoticStructure

130

Calculation date
Date of the first fixing for the average calculation
Expiry date of the option
Market or spot price of the underlying instrument
Exercise or strike price of the option, ignored for average strike
options
Average of the underlying prices from the first fixing date to the
calculation date
Number of fixings used to calculate the average
Anticipated volatility of the underlying instrument
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)

4 August 2003

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Reuters PowerPlus Pro 4.5.1 Function Reference Guide

Chapter 17 Asian Options Functions

OpAsianPremium

RateStructure
CalcStructure

[email protected]

Extended argument defining the structure of the interest rate model

(see RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

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OpAsianPremium

132

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CHAPTER 18 BARRIER OPTIONS FUNCTIONS

Contents

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OpBarrierDeriv
OpBarrierImpliedVol
OpBarrierPremium

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OpBarrierDeriv

OpBarrierDeriv
Purpose

Syntax

Arguments

Returns all derivatives (delta, gamma, rho, theta, and vega) of a Barrier option in an array. At
maturity, this type of option pays either the difference between the strike price and the underlying
price if activated, or an agreed rebate if the option is knocked out or if it fails to knock-in.
=OpBarrierDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePrice, BarrierPrice,
Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcStructure, AdMode)

CalcDate
ExpiryDate
SpotPrice
StrikePrice
BarrierPrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode

Calculation date
Expiry date of the option
Market or spot price of the underlying instrument
Exercise or strike price of the option
Price of the barrier of the option
Anticipated volatility of the underlying instrument
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the structure of the interest rate model
(see RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

OpBarrierImpliedVol
Purpose

134

Calculates the implied volatility of a Barrier option. At maturity, this option pays either the difference
between the strike price and the underlying price if activated, or an agreed rebate if the option is
knocked out or if it fails to knock-in.

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Reuters PowerPlus Pro 4.5.1 Function Reference Guide

Chapter 18 Barrier Options Functions

OpBarrierPremium

Syntax

Arguments

=OpBarrierImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice, BarrierPrice,

Premium, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcStructure)

CalcDate
ExpiryDate
SpotPrice
StrikePrice
BarrierPrice
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

Calculation date
Expiry date of the option
Market or spot price of the underlying instrument
Exercise or strike price of the option
Price of the barrier of the option
Premium of the option
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the structure of the interest rate model
(see RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

OpBarrierPremium
Purpose

Syntax

Arguments

Calculates the premium of a Barrier option. At maturity, this type of option pays either the difference
between the strike price and the underlying price if activated, or an agreed rebate if the option is
knocked out or if it fails to knock-in.
=OpBarrierPremium(CalcDate, ExpiryDate, SpotPrice, StrikePrice, BarrierPrice,
Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcStructure)

CalcDate
ExpiryDate
SpotPrice
StrikePrice
BarrierPrice

[email protected]

Calculation date
Expiry date of the option
Market or spot price of the underlying instrument
Exercise or strike price of the option
Price of the barrier of the option

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OpBarrierPremium

Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

136

Anticipated volatility of the underlying instrument

Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the structure of the interest rate model
(see RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

4 August 2003

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CHAPTER 19 BASKET OPTIONS FUNCTIONS

Contents

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OpBasketDeriv
OpBasketPremium

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OpBasketDeriv

OpBasketDeriv
Purpose

Syntax

Arguments

Returns all derivatives (delta, gamma, rho, theta, and vega) of a Basket option in an array. Basket
options, also called portfolio options, are a variation of Rainbow options. Their payoff is the weighted
average of the prices within the basket of underlying assets.
=OpBasketDeriv(CalcDate, ExpiryDate, SpotPriceArray, StrikePrice,
CorrelationArray, RiskFreeRateArray, ReturnArray, NbSharesArray, ExoticStucture,
RateStructure, CalcStructure, AdMode)

CalcDate
ExpiryDate
SpotPriceArray
StrikePrice
CorrelationArray
RiskFreeRateArray

ReturnArray
NbSharesArray
ExoticStructure
RateStructure
CalcStructure
AdMode

138

Calculation date
Expiry date of the option
Array containing the spot prices of the underlying instruments
Strike price of the option
Array containing the volatilities of the assets on the diagonal and the
correlation coefficients
Array of data depending on the rate model chosen:
constant risk free rate
zero-coupon curve
Array containing the annualized dividend rates of the underlying
instruments
Specifies the number of shares for each asset
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

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Reuters PowerPlus Pro 4.5.1 Function Reference Guide

Chapter 19 Basket Options Functions

OpBasketPremium

OpBasketPremium
Purpose

Syntax

Arguments

Calculates the premium of a Basket option. Basket options, also called portfolio options, are a
variation of Rainbow options. Their payoff is the weighted average of the prices within the basket of
underlying assets.
=OpBasketPremium(CalcDate, ExpiryDate, SpotPriceArray, StrikePrice,
CorrelationArray, RiskFreeRateArray, ReturnArray, NbSharesArray, ExoticStucture,
RateStructure, CalcStructure)

CalcDate
ExpiryDate
SpotPriceArray
StrikePrice
CorrelationArray
RiskFreeRateArray

ReturnArray
NbSharesArray
ExoticStructure
RateStructure
CalcStructure

[email protected]

Calculation date
Expiry date of the option
Array containing the spot prices of the underlying instruments
Strike price of the option
Array containing the volatilities of the assets on the diagonal and the
correlation coefficients
Array of data depending on the rate model chosen:
constant risk free rate
zero-coupon curve
Array containing the annualized dividend rates of the underlying
instruments
Specifies the number of shares for each asset
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

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OpBasketPremium

140

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CHAPTER 20 BINARY OPTIONS FUNCTIONS

Contents

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OpBinaryDeriv
OpBinaryImpliedVol
OpBinaryPremium

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OpBinaryDeriv

OpBinaryDeriv
Purpose

Syntax

Arguments

Returns all derivatives (delta, gamma, rho, theta, and vega) of an All-or-Nothing Binary option or
One -Touch/No-Touch Binary option in an array. At maturity or when the barrier is reached, this type
of option pays a fixed amount of cash or the asset.
=OpBinaryDeriv(CalcDate, ExpiryDate, SpotPrice, BarrierPrice, StrikePrice,
CashAmount, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture,
RateStructure, CalcStructure, AdMode)

CalcDate
ExpiryDate
SpotPrice
BarrierPrice
StrikePrice
CashAmount
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode

Calculation date
Expiry date of the option
Market or spot price of the underlying instrument
Price of the barrier of the option
Exercise or strike price of the option
Fixed amount of cash paid if applicable
Anticipated volatility of the underlying instrument
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

OpBinaryImpliedVol
Purpose

142

Calculates the implied volatility of an All-or-Nothing Binary option or One-Touch/No-Touch Binary

option. At maturity or when the barrier is reached, this type of option pays a fixed amount of cash or
the asset.

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Chapter 20 Binary Options Functions

OpBinaryPremium

Syntax

Arguments

=OpBinaryImpliedVol(CalcDate, ExpiryDate, SpotPrice, BarrierPrice, StrikePrice,

CashAmount, Premium, RiskFreeRateArray, ReturnArray, ExoticStucture,
RateStructure, CalcStructure)

CalcDate
ExpiryDate
SpotPrice
BarrierPrice
StrikePrice
CashAmount
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

Calculation date
Expiry date of the option
Market or spot price of the underlying instrument
Price of the barrier of the option
Exercise or strike price of the option
Fixed amount of cash paid if applicable
Premium of the option
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

OpBinaryPremium
Purpose
Syntax

Arguments

Calculates the premium of an All-or-Nothing Binary option or One-Touch/No-Touch Binary option. At

maturity or when the barrier is reached, this type of option pays a fixed amount of cash or the asset.
=OpBinaryPremium(CalcDate, ExpiryDate, SpotPrice, BarrierPrice, StrikePrice,
CashAmount, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture,
RateStructure, CalcStructure)

CalcDate
ExpiryDate
SpotPrice
BarrierPrice
StrikePrice

[email protected]

Calculation date
Expiry date of the option
Market or spot price of the underlying instrument
Price of the barrier of the option
Exercise or strike price of the option

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OpBinaryPremium

CashAmount
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

144

Fixed amount of cash paid if applicable

Anticipated volatility of the underlying instrument
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

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CHAPTER 21 CHOOSER OPTIONS FUNCTIONS

Contents

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OpChooserDeriv
OpChooserImpliedVol
OpChooserPremium

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OpChooserDeriv

OpChooserDeriv
Purpose

Syntax

Arguments

Returns all derivatives (delta, gamma, rho, theta, vega) of a Chooser option in an array. Chooser
options allow the holder to choose at some pre-determined future date whether the option is a call or
a put, with the same predefined strike price and expiry date.
=OpChooserDeriv(CalcDate, ExpiryDate, PutExpiryDate, CallExpiryDate, SpotPrice,
PutStrikePrice, CallStrikePrice, Volatility, RiskFreeRateArray, ReturnArray,
ExoticStucture, RateStructure, CalcStructure, AdMode)

CalcDate
ExpiryDate
PutExpiryDate
CallExpiryDate
SpotPrice
PutStrikePrice
CallStrikePrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode

Calculation date
Maturity date of the option
Expiry date of the underlying put option
Expiry date of the underlying call option
Market or spot price of the underlying stock
Exercise or strike price of the underlying put option
Exercise or strike price of the underlying call option
Anticipated volatility of the underlying instrument
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

OpChooserImpliedVol
Purpose

146

Calculates the implied volatility of a Chooser option. Chooser options allow the holder to choose at
some pre-determined future date whether the option is a call or a put, with the same predefined
strike price and expiry date.

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Chapter 21 Chooser Options Functions

OpChooserPremium

Syntax

Arguments

=OpChooserImpliedVol(CalcDate, ExpiryDate, PutExpiryDate, CallExpiryDate,

SpotPrice, PutStrikePrice, CallStrikePrice, Premium, RiskFreeRateArray,
ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate
ExpiryDate
PutExpiryDate
CallExpiryDate
SpotPrice
PutStrikePrice
CallStrikePrice
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

Calculation date
Maturity date of the option
Expiry date of the underlying put option
Expiry date of the underlying call option
Market or spot price of the underlying stock
Exercise or strike price of the underlying put option
Exercise or strike price of the underlying call option
Premium of the option
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

OpChooserPremium
Purpose

Syntax

Arguments

Calculates the premium of a Chooser option. Chooser options allow the holder to choose at some
pre-determined future date whether the option is a call or a put, with the same predefined strike price
and expiry date.
=OpChooserPremium(CalcDate, ExpiryDate, PutExpiryDate, CallExpiryDate, SpotPrice,
PutStrikePrice, CallStrikePrice, Volatility, RiskFreeRateArray, ReturnArray,
ExoticStucture, RateStructure, CalcStructure)

CalcDate
ExpiryDate
PutExpiryDate

[email protected]

Calculation date
Expiry date of the option
Expiry date of the underlying put option

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OpChooserPremium

CallExpiryDate
SpotPrice
PutStrikePrice
CallStrikePrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

148

Expiry date of the underlying call option

Market or spot price of the underlying instrument
Exercise or strike price of the underlying put option
Exercise or strike price of the underlying call option
Anticipated volatility of the underlying instrument
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

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CHAPTER 22 CLIQUET OPTIONS FUNCTIONS

Contents

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OpCliquetDeriv
OpCliquetImpliedVol
OpCliquetPremium

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OpCliquetDeriv

OpCliquetDeriv
Purpose

Syntax

Arguments

Returns in an array all derivatives (delta, gamma, rho, theta, vega) of a Cliquet option or a
Forward-Start option. A Cliquet or Ratchet option is essentially a series of Forward-Start options with
increasing maturities and strike prices set at the maturity date of the previous option.
=OpCliquetDeriv(CalcDate, StartDateArray, ExpiryDateArray, SpotPrice,
StrikePrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture,
RateStructure, CalcStructure, AdMode)

CalcDate
StartDateArray
ExpiryDateArray
SpotPrice
StrikePrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode

Calculation date
Array of start dates of each Forward-Start option
Array of expiry dates of each Forward-Start option
Market or spot price of the underlying instrument
Exercise or strike price of the option
Anticipated volatility of the underlying instrument
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

OpCliquetImpliedVol
Purpose

150

Calculates the implied volatility of a Cliquet option or a Forward-Start option. A Cliquet or Ratchet
option is essentially a series of Forward-Start options with increasing maturities and strike prices set
at the maturity date of the previous option.

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Chapter 22 Cliquet Options Functions

OpCliquetPremium

Syntax

Arguments

=OpCliquetImpliedVol(CalcDate, StartDateArray, ExpiryDateArray, SpotPrice,

StrikePrice, Premium, RiskFreeRateArray, ReturnArray, ExoticStucture,
RateStructure, CalcStructure)

CalcDate
StartDateArray
ExpiryDateArray
SpotPrice
StrikePrice
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

Calculation date
Array of start dates of each Forward-Start option
Array of expiry dates of each Forward-Start option
Market or spot price of the underlying instrument
Exercise or strike price of the option
Premium of the option
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

OpCliquetPremium
Purpose

Syntax

Arguments

Calculates the premium of a Cliquet option or a Forward-Start option. A Cliquet or Ratchet option is
essentially a series of Forward-Start options with increasing maturities and strike prices set at the
maturity date of the previous option.
=OpCliquetPremium(CalcDate, StartDateArray, ExpiryDateArray, SpotPrice,
StrikePrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture,
RateStructure, CalcStructure)

CalcDate
StartDateArray
ExpiryDateArray
SpotPrice
StrikePrice

[email protected]

Calculation date
Array of start dates of each Forward-Start option
Array of expiry dates of each Forward-Start option
Market or spot price of the underlying instrument
Exercise or strike price of the option

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OpCliquetPremium

Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

152

Anticipated volatility of the underlying instrument

Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

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CHAPTER 23 COMPOUND OPTIONS FUNCTIONS

Contents

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OpCompoundDeriv
OpCompoundImpliedVol
OpCompoundPremium

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OpCompoundDeriv

OpCompoundDeriv
Purpose

Syntax

Arguments

Returns all derivatives (delta, gamma, rho, theta, and vega) of a Compound option in an array. This
function calculates the derivatives of European Compound options also known as options on
options. An option on option gives the option holder the right to sell or buy an option.
=OpCompoundDeriv(CalcDate, ExpiryDate, CmpExpiryDate, SpotPrice, StrikePrice,
CmpStrikePrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStructure,
RateStructure, CalcStructure, AdMode)

CalcDate
ExpiryDate
CmpExpiryDate
SpotPrice
StrikePrice
CmpStrikePrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode

Calculation date
Expiry date of the option
Expiry date of the Compound option
Market or spot price of the underlying instrument
Exercise or strike price of the option
Strike price of the Compound option
Anticipated volatility of the underlying instrument
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

OpCompoundImpliedVol
Purpose

154

Calculates the implied volatility of a Compound option. This function calculates the implied volatility
of European Compound options also known as options on options. An option on option gives the
option holder the right to sell or buy an option.

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Chapter 23 Compound Options Functions

OpCompoundPremium

Syntax

Arguments

=OpCompoundImpliedVol(CalcDate, ExpiryDate, CompoundExpiryDate, SpotPrice,

StrikePrice, CompoundStrikePrice, Premium, RiskFreeRateArray, ReturnArray,
ExoticStucture, RateStructure, CalcStructure)

CalcDate
ExpiryDate
CmpExpiryDate
SpotPrice
StrikePrice
CmpStrikePrice
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

Calculation date
Expiry date of the option
Expiry date of the Compound option
Market or spot price of the underlying instrument
Exercise or strike price of the option
Strike price of the Compound option
Premium of the option
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

OpCompoundPremium
Purpose

Syntax

Arguments

Calculates the premium of a Compound option. This function calculates the premium of European
Compound options also known as options on options. An option on option gives the option holder
the right to sell or buy an option.
=OpCompoundPremium(CalcDate, ExpiryDate, CmpExpiryDate, SpotPrice, StrikePrice,
CmpStrikePrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture,
RateStructure, CalcStructure)

CalcDate
ExpiryDate
CmpExpiryDate
SpotPrice

[email protected]

Calculation date
Expiry date of the option
Expiry date of the Compound option
Market or spot price of the underlying instrument

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OpCompoundPremium

StrikePrice
CmpdStrikePrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

156

Exercise or strike price of the option

Strike price of the Compound option
Anticipated volatility of the underlying instrument
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

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CHAPTER 24 DOUBLE BARRIER OPTIONS FUNCTIONS

Contents

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OpDoubleBarrierDeriv
OpDoubleBarrierImpliedVol
OpDoubleBarrierPremium

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OpDoubleBarrierDeriv

OpDoubleBarrierDeriv
Purpose

Syntax

Arguments

Returns in an array all derivatives (delta, gamma, rho, theta, vega) of a Double Barrier option.
Barrier options are options where the right to exercise depends on whether the underlying asset
price reaches a predefined barrier level during the lifetime of the option. Double Barrier options have
two barrier levels, one above and one below the current price of the underlying asset.
=OpDoubleBarrierDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePrice,
LowerBarrierPrice, UpperBarrierPrice, Volatility, RiskFreeRateArray, ReturnArray,
ExoticStucture, RateStructure, CalcStructure, AdMode)

CalcDate
ExpiryDate
SpotPrice
StrikePrice
LowerBarrierPrice
UpperBarrierPrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode

Calculation date
Expiry date of the option (also date of the last fixing)
Market or spot price of the underlying instrument
Exercise or strike price of the option
Price of the lower barrier of the option
Price of the upper barrier of the option
Anticipated volatility of the underlying
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

OpDoubleBarrierImpliedVol
Purpose

158

Calculates the implied volatility of a Double Barrier option. Barrier options are options where the right
to exercise depends on whether the underlying asset price reaches a predefined barrier level during
the lifetime of the option. Double Barrier options have two barrier levels, one above and one below
the current price of the underlying asset.

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Chapter 24 Double Barrier Options Functions

OpDoubleBarrierPremium

Syntax

Arguments

=OpDoubleBarrierImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice,

LowerBarrierPrice, UpperBarrierPrice, Premium, RiskFreeRateArray, ReturnArray,
ExoticStucture, RateStructure, CalcStructure)

CalcDate
ExpiryDate
SpotPrice
StrikePrice
LowerBarrierPrice
UpperBarrierPrice
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

Calculation date
Expiry date of the option (also date of the last fixing)
Market or spot price of the underlying instrument
Strike price of the option
Price of the lower barrier of the option
Price of the upper barrier of the option
Premium of the option
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

OpDoubleBarrierPremium
Purpose

Syntax

Arguments

Calculates the premium of a Double Barrier option. Barrier options are options where the right to
exercise depends on whether the underlying asset price reaches a predefined barrier level during
the lifetime of the option. Double Barrier options have two barrier levels, one above and one below
the current price of the underlying asset.
=OpDoubleBarrierPremium(CalcDate, ExpiryDate, SpotPrice, StrikePrice,
LowerBarrierPrice, UpperBarrierPrice, Volatility, RiskFreeRateArray, ReturnArray,
ExoticStucture, RateStructure, CalcStructure)

CalcDate
ExpiryDate
SpotPrice

[email protected]

Calculation date
Expiry date of the option (also date of the last fixing)
Market or spot price of the underlying instrument

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OpDoubleBarrierPremium

StrikePrice
LowerBarrierPrice
UpperBarrierPrice
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

160

Exercise or strike price of the option

Price of the lower barrier of the option
Price of the upper barrier of the option
Anticipated volatility of the underlying instrument
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

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CHAPTER 25 EXLOOKBACK OPTIONS FUNCTIONS

Contents

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OpExLookbackDeriv
OpExLookbackImpliedVol
OpExLookbackPremium

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OpExLookbackDeriv

OpExLookbackDeriv
Purpose

Syntax

Arguments

Returns all derivatives (delta, gamma, rho, theta, and vega) of a Lookback Strike option or Lookback
Spot option in an array. At maturity, this type of option pays either the difference between the
underlying spot price and the lowest (highest) price achieved during the life of the call (put), or the
difference between the highest (lowest) price achieved during the life of the call (put) and the strike
price.
=OpExLookbackDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Min/Max,
VolatilityArray, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcStructure, AdMode)

StrikePrice

Calculation date
Expiry date of the option (also date of the last fixing)
Exercise or spot price of the underlying instrument
Strike price of the option, ignored for Lookback Strike options

Min/Max

CalcDate
ExpiryDate
SpotPrice

VolatilityArray
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode

162

Lowest price for a call or highest price for a put achieved so far for
Lookback Strike options
Highest price for a call or lowest price for a put achieved so far for
Lookback Spot options

Array of anticipated volatilities of the underlying instrument

Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

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Reuters PowerPlus Pro 4.5.1 Function Reference Guide

Chapter 25 ExLookBack Options Functions

OpExLookbackImpliedVol

OpExLookbackImpliedVol
Purpose

Syntax

Arguments

Calculates the implied volatility of a Lookback Strike option or Lookback Spot option. At maturity, this
type of option pays either the difference between the underlying spot price and the lowest (highest)
price achieved during the life of the call (put), or the difference between the highest (lowest) price
achieved during the life of the call (put) and the strike price.
=OpExLookbackImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Min/Max,
Premium, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcStructure)

StrikePrice

Calculation date
Expiry date of the option (also date of the last fixing)
Market or spot price of the underlying instrument
Exercise or strike of the option, ignored for Lookback Strike options

Min/Max

CalcDate
ExpiryDate
SpotPrice

Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

Lowest price for a call or highest price for a put achieved so far for
Lookback Strike options
Highest price for a call or lowest price for a put achieved so far for
Lookback Spot options

Market or spot price of the option

Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

OpExLookbackPremium
Purpose

[email protected]

Calculates the premium of a Lookback Strike option or Lookback Spot option. At maturity, this type of
option pays either the difference between the underlying spot price and the lowest (highest) price
achieved during the life of the call (put), or the difference between the highest (lowest) price
achieved during the life of the call (put) and the strike price.

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OpExLookbackPremium

Syntax

Arguments

=OpExLookbackPremium(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Min/Max,

VolatilityArray, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcStructure)

StrikePrice

Calculation date
Expiry date of the option (also date of the last fixing)
Market or spot price of the underlying instrument
Exercise or strike of the option, ignored for Lookback Strike options

Min/Max

CalcDate
ExpiryDate
SpotPrice

VolatilityArray
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

164

Lowest price for a call or highest price for a put achieved so far for
Lookback Strike options
Highest price for a call or lowest price for a put achieved so far for
Lookback Spot options

Array of anticipated volatilities of the underlying instrument

Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

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CHAPTER 26 FXLINKED OPTIONS FUNCTIONS

Contents

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OpFxLinkedDeriv
OpFxLinkedImpliedVol
OpFxLinkedPremium

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OpFxLinkedDeriv

OpFxLinkedDeriv
Purpose

Syntax

Arguments

Returns all derivatives (delta, gamma, rho, theta, and vega) of a Quanto, Composite, or Equity
Linked Foreign Exchange option in an array. Quanto (quantity-adjusting) options are mainly used to
eliminate the foreign exchange risk when the underlying asset is denominated in a currency other
than the currency of the option, exchange rate being fixed to the calculation date. A Composite
option is an option on a foreign equity where the strike is denominated in domestic currency. A
Composite option has an exposure on the exchange risk. In an Equity Linked Foreign Exchange
option, the face value is linked to the forward price of a stock or equity index. This is an ideal option
for an investor who wants to speculate directly in a foreign equity market but wishes to place a floor
on the currency exposure.
=OpFxLinkedDeriv(CalcDate, ExpiryDate, ExchangeRate, SpotPrice, StrikePrice,
ERVolatility, Volatility, Correlation, RiskFreeRateArray, ForeignRateArray,
ReturnArray, ExoticStucture, RateStructure, CalcStructure, AdMode)

CalcDate
ExpiryDate
ExchangeRate
SpotPrice
StrikePrice
ERVolatility
Volatility
Correlation
RiskFreeRateArray
ForeignRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode

166

Calculation date
Expiry date of the option
Spot exchange rate specified in units of the domestic currency per unit
of the foreign currency
Market or spot price of the underlying instrument
Exercise or strike price of the option
Anticipated volatility of the exchange rate
Anticipated volatility of the underlying instrument
Correlation between asset and domestic exchange rate
Array of data depending on the rate model chosen
Yearly rate of the foreign market for an equivalent risk-free investment
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

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Chapter 26 FxLinked Options Functions

OpFxLinkedImpliedVol

OpFxLinkedImpliedVol
Purpose

Returns:

the relative implied volatility of a Composite option

the underlying volatility of a Quanto or Equity Linked Foreign Exchange option in an array

Quanto (quantity-adjusting) options are mainly used to eliminate the foreign exchange risk when the
underlying asset is denominated in a currency other than the currency of the option, exchange rate
being fixed to the calculation date. A Composite option is an option on a foreign equity where the
strike is denominated in domestic currency. A Composite option has an exposure on the exchange
risk. In an Equity Linked Foreign Exchange option, the face value is linked to the forward price of a
stock or equity index. This is an ideal option for an investor who wants to speculate directly in a
foreign equity market but wishes to place a floor on the currency exposure.

Syntax

Arguments

=OpFxLinkedImpliedVol(CalcDate, ExpiryDate, ExchangeRate, SpotPrice, StrikePrice,

Premium, ERVolatility, Correlation, RiskFreeRateArray, ForeignRateArray,
ReturnArray, ExoticStucture, RateStructure, CalcStructure)

StrikePrice

Calculation date
Expiry date of the option
Spot exchange rate specified in units of the domestic currency per unit
of the foreign currency
Market or spot price of the underlying instrument
Exercise or strike price of the option

Premium

Premium of the option

ERVolatility

Anticipated volatility of the exchange rate if applicable

Correlation between asset and domestic exchange rate if applicable
Array of data depending on the rate model chosen
Yearly rate of the foreign market for an equivalent risk-free investment
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

CalcDate
ExpiryDate
ExchangeRate
SpotPrice

Correlation
RiskFreeRateArray
ForeignRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

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OpFxLinkedPremium

OpFxLinkedPremium
Purpose

Syntax

Arguments

Calculates the premium of a Quanto, Composite, or Equity Linked Foreign Exchange option. Quanto
(quantity-adjusting) options are mainly used to eliminate the foreign exchange risk when the
underlying asset is denominated in a currency other than the currency of the option, exchange rate
being fixed to the calculation date. A Composite option is an option on a foreign equity where the
strike is denominated in domestic currency. A Composite option has an exposure on the exchange
risk. In an Equity Linked Foreign Exchange option, the face value is linked to the forward price of a
stock or equity index. This is an ideal option for an investor who wants to speculate directly in a
foreign equity market but wishes to place a floor on the currency exposure.
=OpFxLinkedPremium(CalcDate, ExpiryDate, ExchangeRate, SpotPrice, StrikePrice,
ERVolatility, Volatility, Correlation, RiskFreeRateArray, ForeignRateArray,
ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate
ExpiryDate
ExchangeRate
SpotPrice
StrikePrice
ERVolatility
Volatility
Correlation
RiskFreeRateArray
ForeignRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

168

Calculation date
Expiry date of the option
Spot exchange rate specified in units of the domestic currency per unit
of the foreign currency
Market or spot price of the underlying instrument
Exercise or strike price of the option
Anticipated volatility of the exchange rate
Anticipated volatility of the underlying instrument
Correlation between asset and domestic exchange rate
Array of data depending on the rate model chosen
Yearly rate of the foreign market for an equivalent risk-free investment
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

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CHAPTER 27 POWER OPTIONS FUNCTIONS

Contents

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OpPowerDeriv
OpPowerImpliedVol
OpPowerPremium

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OpPowerDeriv

OpPowerDeriv
Purpose
Syntax

Arguments

Returns in an array all derivatives (delta, gamma, rho, theta, and vega) of an asymmetric Power
option where the payoff is expressed as:
=OpPowerDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Alpha, Power,
Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcStructure, AdMode)

CalcDate
ExpiryDate
SpotPrice
StrikePrice
Alpha
Power
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode

Calculation date
Expiry date of the option
Spot price of the underlying stock (S)
Strike price of the option (X)
Polynomial coefficient ()
Power coefficient (v)
Anticipated volatility of the underlying instrument
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

OpPowerImpliedVol
Purpose

Calculates the implied volatility of an asymmetric Power option where the payoff is expressed as:

max ( S X, 0 )

170

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Chapter 27 Power Options Functions

OpPowerPremium

Syntax

Arguments

=OpPowerImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Alpha, Power,

Premium, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcStructure)

CalcDate
ExpiryDate
SpotPrice
StrikePrice
Alpha
Power
Premium
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

Calculation date
Expiry date of the option
Market or spot price of the underlying instrument (S)
Strike price of the option (X)
Polynomial coefficient ()
Power coefficient (v)
Market or spot price of the option
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

OpPowerPremium
Purpose

Calculates the premium of an asymmetric Power option where the payoff is expressed as:

max ( S X, 0 )

Syntax

Arguments

=OpPowerPremium(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Alpha, Power,

Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcStructure)

CalcDate
ExpiryDate

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Calculation date
Expiry date of the option

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OpPowerPremium

SpotPrice
StrikePrice
Alpha
Power
Volatility
RiskFreeRateArray
ReturnArray
ExoticStructure
RateStructure
CalcStructure

172

Market or spot price of the underlying stock (S)

Exercise or strike price of the option (X)
Polynomial coefficient ()
Power coefficient (v)
Anticipated volatility of the underlying
Array of data depending on the rate model chosen
Array of annualized dividend rates
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see RateStructure
on page 365)
Extended argument defining the calculation method (see CalcStructure
on page 262)

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CHAPTER 28 RAINBOW OPTIONS FUNCTIONS

Contents

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OpRainbowDeriv
OpRainbowPremium

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OpRainbowDeriv

OpRainbowDeriv
Purpose

Syntax

Arguments

Returns all derivatives (delta, gamma, rho, theta, and vega) of a Spread or a Two-Color Rainbow
option in an array. Rainbow options are options for which final payoff is determined by the highest
performance achieved at the expiration date by two or more underlying assets. Rainbow options can
be either American or European options.
=OpRainbowDeriv(CalcDate, ExpiryDate, SpotPriceArray, StrikePriceArray,
CorrelationArray, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcStructure, AdMode)

CalcDate
ExpiryDate
SpotPriceArray
StrikePriceArray
CorrelationArray
RiskFreeRateArray

ReturnArray
ExoticStructure
RateStructure
CalcStructure
AdMode

174

Calculation date
Expiry date of the option
Spot prices of the underlying instruments
Strike price, and second strike price of a Dual-Strike option
Array containing the volatilities of the assets on the diagonal and the
correlation coefficient
Array of data depending on the rate model chosen:
constant risk free rate
zero-coupon curve
Array containing the annualized dividend rates of the underlying
instruments
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see RateStructure
on page 365)
Extended argument defining the calculation method (see CalcStructure
on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

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Chapter 28 Rainbow Options Functions

OpRainbowPremium

OpRainbowPremium
Purpose

Syntax

Arguments

Calculates the premium of a Spread or a Two-Color Rainbow option. Rainbow options are options
for which final payoff is determined by the highest performance achieved at the expiration date by
two or more underlying assets. Rainbow options can be either American or European options.
=OpRainbowPremium(CalcDate, ExpiryDate, SpotPriceArray, StrikePriceArray,
CorrelationArray, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure,
CalcStructure)

CalcDate
ExpiryDate
SpotPriceArray
StrikePriceArray
CorrelationArray
RiskFreeRateArray

ReturnArray
ExoticStructure
RateStructure
CalcStructure

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Calculation date
Expiry date of the option
Spot prices of the underlying instruments
Strike of the option. Can be a table in the case of a Dual-Strike option
Array containing the volatilities of the assets on the diagonal and the
correlation coefficient
Array of data depending on the rate model chosen:
constant risk free rate
zero-coupon curve
Array containing the annualized dividend rates of the underlying
instruments
Extended argument defining the exotic option structure (see
ExoticStructure on page 309)
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)

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OpRainbowPremium

176

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PART VIII:
REUTERS ADFIN
SWAPS

Reuters Adfin Swaps

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C H A P T E R 2 9 I N T E R E S T R A T E S W A PS F U N C T I O N S

Contents

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SwIrsCashFlows
SwIrsCpnDates
SwIrsPvbpCrv
SwIrsPx
SwIrsSolve
SwZcToIrs

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SwIrsCashFlows

SwIrsCashFlows
Purpose

Generates an array with the remaining cash flows of the interest rate swap.

Syntax

Arguments

=SwIrsCashFlows(CalcDate, ZcDates, ZcRates, StartDate, Maturity, FixedRate,

CurFloatingRate, IrsStructure, SwMode)

CalcDate
ZcDates
ZcRates
StartDate
Maturity
FixedRate
CurFloatingRate
IrsStructure
SwMode

Calculation date
Array of zero-coupon dates
Array of zero-coupon rates or discount factors
Start date of the interest rate swap (effective date)
Maturity date of the interest rate swap (expressed as a date or a code
such as "1Y")
Rate of the swap fixed leg
Rate of the swap floating leg for the current calculation period
Extended argument defining the interest rate swap (see IrsStructure
on page 346)
Extended argument customizing the return value (see SwMode on
page 386)

SwIrsCpnDates
Purpose

Generates an array with the coupon dates of one swap leg.

The leg type must be specified in SwMode using the RES keyword ("RES:FIXED" or "RES:FLOAT").

Syntax
Arguments

=SwIrsCpnDates (CalcDate, StartDate, Maturity, IrsStructure, SwMode)

CalcDate
StartDate
Maturity
IrsStructure

180

Calculation date
Start date of the interest rate swap (effective date)
Maturity date of the interest rate swap (expressed as a date or a code
such as "1Y")
Extended argument defining the interest rate swap (see IrsStructure
on page 346)

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Chapter 29 Interest Rate Swaps Functions

SwIrsPvbpCrv

SwMode

Extended argument customizing the return value (see SwMode on

page 386)

SwIrsPvbpCrv
Purpose
Syntax

Arguments

Calculates the price variation per basis point of a swap or one of its legs for each point of a
zero-coupon yield curve.
=SwIrsPvbpCrv(CalcDate, ZcDates, ZcRates, StartDate, Maturity, FixedRate,
CurFloatingRate, IrsStructure, SwMode)

CalcDate
ZcDates
ZcRates
StartDate
Maturity
FixedRate
CurFloatingRate
IrsStructure
SwMode

Calculation date
Array of zero-coupon dates
Array of zero-coupon rates or discount factors
Start date of the interest rate swap (effective date)
Maturity date of the interest rate swap (expressed as a date or a code
such as "1Y")
Rate of the swap fixed leg
Rate of the swap floating leg for the current calculation period
Extended argument defining the interest rate Swap (see IrsStructure
on page 346)
Extended argument customizing the return value (see SwMode on
page 386)

SwIrsPx
Purpose
Syntax

Arguments

Calculates the net present value of an interest rate swap or one of its legs.
=SwIrsPx(CalcDate, ZcDates, ZcRates, StartDate, Maturity, FixedRate,
CurFloatingRate, IrsStructure, SwMode)

CalcDate
ZcDates

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Calculation date
Array of zero-coupon dates

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SwIrsSolve

ZcRates
StartDate
Maturity
FixedRate
CurFloatingRate
IrsStructure
SwMode

Array of zero-coupon rates or discount factors

Start date of the interest rate swap (effective date)
Maturity date of the interest rate swap (expressed as a date or a code
such as "1Y")
Rate of the swap fixed leg
Rate of the swap floating leg for the current calculation period
Extended argument defining the interest rate swap (see IrsStructure
on page 346)
Extended argument customizing the return value (see SwMode on
page 386)

SwIrsSolve
Purpose

Calculates the fixed rate or the floating rate spread equivalent to a predefined net present value.
To distinguish between both cases, the expected result must be specified in SwMode using the RES
keyword ("RES:FIXED" or "RES:FLOAT").

Syntax

Arguments

=SwIrsSolve(CalcDate, ZcDates, ZcRates, StartDate, Maturity, FixedRate,

CurFloatingRate, NetPresentValue, IrsStructure, SwMode)

CalcDate
ZcDates
ZcRates
StartDate
Maturity
FixedRate
CurFloatingRate
NetPresentValue
IrsStructure
SwMode

182

Calculation date
Array of zero-coupon dates
Array of zero-coupon rates or discount factors
Start date of the interest rate swap (effective date)
Maturity date of the interest rate swap (expressed as a date or a code such
as "1Y")
Rate of the swap fixed leg
Rate of the swap floating leg for the current calculation period
Present value of the swap or one of its legs
Extended argument defining the interest rate swap (see IrsStructure on
page 346)
Extended argument customizing the return value (see SwMode on page
386)

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Chapter 29 Interest Rate Swaps Functions

SwZcToIrs

SwZcToIrs
Purpose

Calculates the standard swap rates implied by the zero-coupon yield curve.
The maturities included in the array returned by the function can be defined using the MATRANGE
keyword in SwMode.

Note
Syntax
Arguments

Previous versions of Adfin Swaps include the SwZcToIrs function.

=SwZcToIrs(CalcDate, ZcDates, ZcRates, IrsStructure, SwMode)

CalcDate
ZcDates
ZcRates
IrsStructure
SwMode

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Calculation date
Array of zero-coupon dates
Array of zero-coupon rates or discount factors
Extended argument defining the interest rate swap (see IrsStructure
on page 346)
Extended argument customizing the return value (see SwMode on
page 386)

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SwZcToIrs

184

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C H A P T E R 3 0 C U R R E N C Y S W A PS F U N C T I O N S

Contents

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SwCsCashFlows
SwCsPx
SwCsSolve
SwSwpExtend

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SwCsCashFlows

SwCsCashFlows
Purpose
Syntax

Arguments

Generates an array with the remaining cash flows of the currency swap.
=SwCsCashFlows(CalcDate, StartDate, Maturity, PaidRate, CurPaidRate,
ReceivedRate, CurReceivedRate, ZcPaidArray, ZcReceivedArray, FxArray,
CsStructure, SwMode)

CalcDate
StartDate
Maturity
PaidRate
CurPaidRate
ReceivedRate
CurReceivedRate
ZcPaidArray
ZcReceivedArray
FxArray

CsStructure
SwMode

Calculation date
Start date of the currency swap (effective date)
Maturity date of the currency swap (expressed as a date or a code such as
"1Y")
Fixed rate if the paid leg is fixed, floating rate spread as a percentage if the
paid leg is floating
Floating rate of the paid leg for the current calculation period if applicable
Fixed rate if the received leg is fixed, floating rate spread as a percentage if
the received leg is floating
Floating rate of the received leg for the current calculation period if applicable
Array of zero-coupon dates and rates or discount factors for the paid leg
Array of zero-coupon dates and rates or discount factors for the received leg
Array of (N+1) cells x 2 cells (dates, rates) where N is the number of swap
point periods
The first line (row or column depending on the array orientation specified
with the LAY keyword) contains the spot date and the spot rate for the
cross-currency.
The other lines contain swap point period end dates and corresponding
swap point values for the cross-currency.
Extended argument defining the currency swap structure (see CsStructure
on page 280)
Extended argument customizing the return value (see SwMode on page
386)

SwCsPx
Purpose

186

Calculates the net present value of a currency swap or one of its legs.

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Chapter 30 Currency Swaps Functions

SwCsSolve

Syntax

Arguments

=SwCsPx(CalcDate, StartDate, Maturity, PaidRate, CurPaidRate, ReceivedRate,

CurReceivedRate, ZcPaidArray, ZcReceivedArray, FxArray, CsStructure, SwMode)

CalcDate
StartDate
Maturity
PaidRate
CurPaidRate
ReceivedRate
CurReceivedRate
ZcPaidArray
ZcReceivedArray
FxArray

CsStructure
SwMode

Calculation date
Start date of the currency swap (effective date)
Maturity date of the currency swap (expressed as a date or a code such as
"1Y")
Fixed rate if the paid leg is fixed, floating rate spread as a percentage if the
paid leg is floating
Floating rate of the paid leg for the current calculation period if applicable
Fixed rate if the received leg is fixed, floating rate spread as a percentage if
the received leg is floating
Floating rate of the received leg for the current calculation period if
applicable
Array of zero-coupon dates and rates or discount factors for the paid leg
Array of zero-coupon dates and rates or discount factors for the received leg
Array of (N+1) cells x 2 cells (dates, rates) where N is the number of swap
point periods
The first line (row or column depending on the array orientation specified
with the LAY keyword) contains the spot date and the spot rate for the
cross-currency.
The other lines contain swap point period end dates and corresponding
swap point values for the cross-currency.
Extended argument defining the currency swap structure (see CsStructure
on page 280)
Extended argument customizing the return value (see SwMode on page
386)

SwCsSolve
Purpose

Calculates the paid rate or the received rate spread for any leg equivalent to a predefined net
present value.
To specify for which leg the fixed rate or the floating rate spread is calculated, use the RES keyword
in SwMode ("RES:PAID" or "RES:RECEIVED").

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SwCsSolve

Syntax

Arguments

=SwCsSolve(CalcDate, StartDate, Maturity, PaidRate, CurPaidRate, ReceivedRate,

CurReceivedRate, ZcPaidArray, ZcReceivedArray, FxArray, NetPresentValue,
CsStructure, SwMode)

CalcDate
StartDate
Maturity
PaidRate
CurPaidRate
ReceivedRate
CurReceivedRate
ZcPaidArray
ZcReceivedArray
FxArray

NetPresentValue
CsStructure
SwMode

188

Calculation date
Start date of the currency swap (effective date)
Maturity date of the currency swap (expressed as a date or a code
such as "1Y")
Fixed rate iff the paid leg is fixed, floating rate spread as a percentage
if the paid leg is floating
Floating rate of the paid leg for the current calculation period if
applicable
Fixed rate if the received leg is fixed, floating rate spread as a
percentage if the received leg is floating
Floating rate of the received leg for the current calculation period if
applicable
Array of zero-coupon dates and rates or discount factors for the paid
leg
Array of zero-coupon dates and rates or discount factors for the
received leg
Array of (N+1) cells x 2 cells (dates, rates) where N is the number of
swap point periods
The first line (row or column depending on the array orientation
specified with the LAY keyword) contains the spot date and the
spot rate for the cross-currency
The other lines contain swap point period end dates and
corresponding swap point values for the cross-currency
Present value of the currency swap or one of its legs in the discount
currency
Extended argument defining the currency swap structure (see
CsStructure on page 280)
Extended argument customizing the return value (see SwMode on
page 386)

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Chapter 30 Currency Swaps Functions

SwSwpExtend

SwSwpExtend
Purpose
Syntax

Arguments

Calculates the swap point at maturity date equivalent to a spread/fixed rate and to a predefined net
present value.
=SwSwpExtend(CalcDate, StartDate, Maturity, PaidRate, CurPaidRate, ReceivedRate,
CurReceivedRate, ZcPaidArray, ZcReceivedArray, FxArray, NetPresentValue,
CsStructure, SwMode)

CalcDate
StartDate
Maturity
PaidRate
CurPaidRate
ReceivedRate
CurReceivedRate
ZcPaidArray
ZcReceivedArray
FxArray

NetPresentValue
CsStructure

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Calculation date
Start date of the currency swap (effective date)
Maturity date of the currency swap (expressed as a date or a code
such as "1Y")
Fixed rate if the paid leg is fixed, floating rate spread as a percentage
if the paid leg is floating
Floating rate of the paid leg for the current calculation period if
applicable
Fixed rate if the received leg is fixed, floating rate spread as a
percentage if the received leg is floating
Floating rate of the received leg for the current calculation period if
applicable
Array of zero-coupon dates and rates or discount factors for the paid
leg
Array of zero-coupon dates and rates or discount factors for the
received leg
Array of (N+1) cells x 2 cells (dates, rates) where N is the number of
swap point periods
The first line (row or column depending on the array orientation
specified with the LAY keyword) contains the spot date and the
spot rate for the cross-currency
The other lines contain swap point period end dates and
corresponding swap point values for the cross-currency
Present value of the currency swap or one of its legs in the discount
currency
Extended argument defining the currency swap structure (see
CsStructure on page 280)

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SwSwpExtend

SwMode

190

Extended argument customizing the return value (see SwMode on

page 386)

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PART IX:
REUTERS ADFIN
TERM STRUCTURE

Reuters Adfin Term Structure

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CHAPTER 31 RATES CALCULATIONS FUNCTIONS

Contents

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AdRate
AdRateConv

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AdRate

AdRate
Purpose

Calculates the discount factors for an array of dates, using one of the following term structure
models:

Syntax
Arguments

Vasicek-Fong model
standard bootstrapping model
basis-spline models
Black, Derman, and Toy model
Hull and White model
yield-to-maturity model
=AdRate(CalcDate, DateArray, RateArray, RateStructure, AdMode)

CalcDate
DateArray
RateArray
RateStructure
AdMode

Calculation date of the yield curve

Input array of dates
Term structure array
Extended argument defining the interest rate model (see RateStructure on
page 365)
Extended argument customizing the return value (see AdMode on page
237)

AdRateConv
Purpose

Converts a rate/discount factor from one type to another.

The type of rate used for Rate and the returned rate must be specified in the RateMode argument
with the keywords FROM and TO.

Syntax
Arguments

=AdRateConv(StartDate, EndDate, RateMode, Rate)

StartDate
EndDate
RateMode

194

Start date of the period

End date of the period
Extended argument defining the type of conversion (see RateMode on page
359)

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Chapter 31 Rates Calculations Functions

AdRateConv

Rate

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Rate to be converted

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AdRateConv

196

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C H A P T E R 3 2 TE R M S T R U C T U R E F U N C T I O N S

Contents

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AdCalibrate
AdFutCodes
AdFutDates
AdTermStructure

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AdCalibrate

AdCalibrate
Purpose
Syntax

Arguments

Calculates the model parameters (dates, rates and volatility curve or dates, rates, volatility plus
mean-reversion curve) from an array of instruments.
=AdCalibrate(InputArray, ZCArray, StartOutputArray, RateArray, CalcStructure,
AdMode)

InputArray
ZCArray
StartOutputArray
RateStructure
CalcStructure
AdMode

Array of instruments as described later

(Date, Zero-coupon yield) array describing the zero coupon curve
Start points of the output parameters
Extended argument defining the interest rate model (see
RateStructure on page 365)
Extended argument defining the calculation method (see
CalcStructure on page 262)
Extended argument customizing the return value (see AdMode on
page 237)

AdFutCodes
Purpose
Syntax
Arguments

Calculates the next maturity codes for a STIR futures contract.

=AdFutCodes(CalcDate, StirFutStructure, YcMode)

CalcDate
StirFutStructure
YcMode

Calculation date
Extended argument defining the STIR futures contract
Extended argument customizing the return value (see YcMode on
page 389)

AdFutDates
Purpose

198

Calculates the start date and the end date of a STIR futures contract hedging period.

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AdTermStructure

Syntax
Arguments

=AdFutDates(StirFutStructure, MaturityCode, YcMode)

StirFutStructure
MaturityCode
YcMode

Extended argument defining the STIR futures contract

2-character string defining the contract maturity (example: "Z6" , codes
can be obtained using AdFutCodes)
Extended argument customizing the return value (see YcMode on page
389)

AdTermStructure
Purpose

Depending on the model specified by the RM keyword, the function calculates a zero-coupon yield
curve from an array of instruments, using the:

Syntax
Arguments

Vasicek-Fong model
standard bootstrapping model
regression or smoothing basis-spline models
=AdTermStructure(InstrumentArray, RateStructure, AdMode)

InstrumentArray
RateStructure
AdMode

Array of instruments
Extended argument defining the structure of the interest rate structure (see
RateStructure on page 365)
Extended argument customizing the return value (see AdMode on page
237)

[email protected]

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AdTermStructure

200

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PART X:
REUTERS ADFIN
COMMON

Reuters Adfin Common

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CHAPTER 33 INTERPOLATION FUNCTIONS

Contents

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AdInterp

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AdInterp

AdInterp
Purpose

Interpolates a point from a curve according to a linear or cubic spline method.

To define the type of the interpolation, use the IM keyword in InterpMode.
If the value X used for the interpolation is not within the range of the Xarray array, the function may
either extrapolate or return an error message depending on value of the OBC keyword.

Syntax

204

=AdInterp(X, XArray, YArray, InterpMode)

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CHAPTER 34 FORMATTING AND PARSING FUNCTIONS

Contents

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AdFormat
AdParse
AdRound
DfFormatDate
DfIDNDate

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AdFormat

AdFormat
Purpose
Syntax
Arguments

Converts a decimal number to a fraction or displays a bid/ask array as a string using the bid/ask
format.
=AdFormat(Data, BidDecimals, AskDigits, FormatMode)

Data
BidDecimals
AskDigits
FormatMode

Decimal number or array of bid and ask values to format

Number of decimals of the fractional component (for fraction formatting) or of the
bid side (for bid/ask formatting)
Number of last digits of the ask side (applicable for bid/ask formatting only)
Extended argument customizing the return value (see FormatMode on page
315)

AdParse
Purpose

Parses a data string formatted in fraction or bid/ask format.

To define the type of parsing, use the PDF and PDT keywords in ParseMode.

Syntax
Arguments

=AdParse(DataString, ParseMode)

DataString
ParseMode

Data string
Extended argument defining the parsing mode (see ParseMode on
page 358)

AdRound
Purpose
Syntax
Arguments

206

Rounds a number to the nearest tick.

=AdRound(Value, Tick, RoundMode)

Value

Number to be rounded

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Chapter 34 Formatting and Parsing Functions

DfFormatDate

Tick
RoundMode:

Rounding tick
Extended argument defining the type of the rounding (see
RoundMode on page 374)

DfFormatDate
Purpose
Syntax
Arguments

Converts a date specified as a serial number to the string format "DDMMMYY".

=DfFormatDate(CalcDate)

CalcDate

Calculation date

DfIDNDate
Purpose
Syntax
Arguments

[email protected]

Converts a date specified in the string format "DD MMM YY" or "DD MMM YYYY" to a serial number,
whatever the date settings of both the operating system and the spreadsheet application are.
=DfIDNDate(DateStr)

DateStr

Date-formatted string ("DD MMM YY" or "DD MMM YYYY")

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DfIDNDate

208

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CHAPTER 35 SETTINGS MANAGEMENT FUNCTIONS

Contents

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AdDefAttribute
AdDefSet
AdDefStructure
AdReadParam
AdWriteParam

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AdDefAttribute

AdDefAttribute
Purpose

Returns the value of a default setting.

Syntax
Arguments

=AdDefAttribute(DefCategory, DefAttribute)

DefCategory
DefAttribute

String argument defining the default settings category

Keyword of DefStructure corresponding to the default setting (see
DefStructure on page 285)

AdDefSet
Purpose

Sets one or several default settings belonging to a same default settings category.
The default settings category or nature is defined in the argument DefCategory. Hence, all settings
grouped together in the DefStructure argument must belong to the same category.

Syntax
Arguments

=AdDefSet(DefCategory, DefStructure)

DefCategory
DefStructure

String argument defining the default settings category

Extended argument defining the default settings (see DefStructure
on page 285)

AdDefStructure
Purpose
Syntax
Arguments

210

Returns all default settings for a default settings category.

=AdDefStructure(DefCategory)

DefCategory

String argument defining the default settings category

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Chapter 35 Settings Management Functions

AdReadParam

AdReadParam
Purpose
Syntax
Arguments

Reads information from the Adfin data file m_excel.dat.

=AdReadParam(Section, Entry)

Section
Entry

Section name
Entry name

AdWriteParam
Purpose
Syntax
Arguments

Writes information into the Adfin data file m_excel.dat.

=AdWriteParam(Section, Entry, Value)

Section
Entry
Value

[email protected]

Section name
Entry name
Value of entry as a string

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AdWriteParam

212

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CHAPTER 36 STYLES MANAGEMENT FUNCTIONS

Contents

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AdHistoryUpdate
AdHistoryValue
AdStyleAttribute
AdStyleDelete
AdStyleName
AdStyleSet
AdStyleStructure

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AdHistoryUpdate

AdHistoryUpdate
Purpose

Adds new values to the index history database.

Syntax
Arguments

=AdHistoryUpdate(IndexName, DateArray, ValueArray)

IndexName
DateArray
ValueArray

Index history style name

Array of dates
Array of historical values

AdHistoryValue
Purpose
Syntax
Arguments

Retrieves the latest historical value available in the database for an index history style.
=AdHistoryValue(IndexName, StyleMode)

IndexName
StyleMode

Index history style name

Extended argument customizing the return value (see StyleMode on
page 380)

AdStyleAttribute
Purpose
Syntax
Arguments

Returns the value of a style attribute.

=AdStyleAttribute(StyleTable, StyleCode, StyleAttribute)

StyleTable
StyleCode
StyleAttribute

214

String argument defining the style table

Style code
Keyword corresponding to the style attribute

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Chapter 36 Styles Management Functions

AdStyleDelete

AdStyleDelete
Purpose
Syntax
Arguments

Deletes an existing style from a style table.

=AdStyleDelete(StyleTable, StyleCode)

StyleTable
StyleCode

String argument defining the style table

Style code

AdStyleName
Purpose
Syntax
Arguments

Returns the name of a style.

=AdStyleName(StyleTable, StyleCode)

StyleTable
StyleCode

String argument defining the style table

Style code

AdStyleSet
Purpose
Syntax
Arguments

Creates or modifies a style in a style table.

=AdStyleSet(StyleTable, StyleCode, StyleName, StyleStructure, StyleMode)

StyleTable
StyleCode
StyleName
StyleStructure
StyleMode

[email protected]

String argument defining the style table

Style code
Style name
Extended argument defining the style structure
Extended argument defining the operation (see StyleMode on page
380)

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AdStyleStructure

AdStyleStructure
Purpose
Syntax
Arguments

Returns the structure of a style.

=AdStyleStructure(StyleTable, StyleCode)

StyleTable
StyleCode

216

String argument defining the style table

Style code

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CHAPTER 37 DATES FUNCTIONS

Contents

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DfAddMonths
DfAddPeriod
DfAddWD
DfAddYears
DfCountDays
DfCountNonWD
DfCountWD
DfCountYears
DfAdjustToWD
DfFindDateD
DfFindDateM
DfIsWD
DfLastWD
DfListHolidays

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DfAddMonths

DfAddMonths
Purpose
Syntax
Arguments

Adds a number of months to a date.

=DfAddMonths(Calendars, CalcDate, NbMonths, DfMode)

Calendars
CalcDate
NbMonths
DfMode

String of calendar codes (example: "FRA,UKG")

Calculation date
Number of months
Extended argument customizing the return value (see DfMode on
page 308)

DfAddPeriod
Purpose
Syntax
Arguments

Adds a period (number of calendar days, working days, weeks, months or years) to a date.
=DfAddPeriod(Calendars, CalcDate, Period, DfMode)

Calendars
CalcDate
Period

DfMode

String of calendar codes (example: "FRA,UKG")

Calculation date
Period code {iD, iM, iW, iWD, iY, with i as integer}
D i calendar days
M i months
W i weeks
WD i working days (from -366 to 366)
Y i years
Extended argument customizing the return value (see DfMode on
page 308)

DfAddWD
Purpose

218

Adds a number of working days to a date.

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Chapter 37 Dates Functions

DfAddYears

Syntax
Arguments

=DfAddWD(Calendars, CalcDate, NbDays, DfMode)

Calendars
CalcDate
NbDays
DfMode

String of calendar codes (example: "FRA,UKG")

Calculation date
Number of working days (from -366 to 366)
# not currently used - leave blank # (see DfMode on page 308)

DfAddYears
Purpose
Syntax
Arguments

Adds a number of years to a date.

=DfAddYears(Calendars, CalcDate, NbYears, DfMode)

Calendars
CalcDate
NbYears
DfMode

String of calendar codes (example: "FRA,UKG")

Calculation date
Number of years
Extended argument customizing the return value (see DfMode on
page 308)

DfCountDays
Purpose
Syntax
Arguments

Calculates the number of days between two dates according to the day count basis specified in
DfMode with the keyword DCB.
=DfCountDays(StartDate, EndDate, DfMode)

StartDate
EndDate
DfMode

[email protected]

Period start date

Period end date
Extended argument customizing the return value (see DfMode on
page 308)

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DfCountNonWD

DfCountNonWD
Purpose
Syntax
Arguments

Calculates the number of non-working days between two dates.

=DfCountNonWD(Calendars, StartDate, EndDate, DfMode)

Calendars
StartDate
EndDate
DfMode

String of calendar codes (example: "FRA,UKG")

Period start date
Period end date
# not currently used - leave blank # (see DfMode on page 308)

DfCountWD
Purpose
Syntax
Arguments

Calculates the number of working days between two dates.

=DfCountWD(Calendars, StartDate, EndDate, DfMode)

Calendars
StartDate
EndDate
DfMode

String of calendar codes (example: "FRA,UKG")

Period start date
Period end date
# not currently used - leave blank # (see DfMode on page 308)

DfCountYears
Purpose
Syntax
Arguments

Calculates the number of years between two dates according to the day count basis specified in
DfMode with the keyword DCB.
=DfCountYears(StartDate, EndDate, DfMode)

StartDate
EndDate

220

Period start date

Period end date

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Chapter 37 Dates Functions

DfAdjustToWD

DfMode

Extended argument customizing the return value (see DfMode on

page 308)

DfAdjustToWD
Purpose
Syntax
Arguments

Adjusts a holiday date to the previous or next working day.

=DfAdjustToWD(Calendars, CalcDate, AdjMode, DfMode)

Calendars
CalcDate
AdjMode

DfMode

String of calendar codes (example: "FRA,UKG")

Calculation date
Adjustment mode {0, 1, -1}
0 for adjusting the date according to the date moving convention
specified in DfMode with the keyword DMC
1 for adjusting the date to the next day
-1 for adjusting the date to the previous day
Extended argument customizing the return value (see DfMode on
page 308)

DfFindDateD
Purpose
Syntax
Arguments

Finds a date from a rule based on a reference date.

=DfFindDateD(Number, Day, Direction, RefDate)

Number
Day
Direction
RefDate

[email protected]

Integer representing the number of days or given day of the week

String representing the day {Day, Monday, Tuesday, Wednesday,
Thursday, Friday, Saturday, Sunday}
String representing the direction {Of, Before, After}
Reference date

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DfFindDateM

DfFindDateM
Purpose
Syntax
Arguments

Finds a date from a rule based on a reference month.

=DfFindDateM(Number, Day, Direction, RefMonth, Year)

Number
Day
Direction
RefMonth
Year

Integer representing the number of days or given day of the week

String representing the day {Day, Monday, Tuesday, Wednesday,
Thursday, Friday, Saturday, Sunday}
String representing the direction {Of, Before, After}
String representing the month {January, February, March, April, May,
June, July, August, September, October, November, December}
Year

DfIsWD
Purpose
Syntax
Arguments

Indicates whether a date is a working day.

=DfIsWD(Calendars, CalcDate, DfMode)

Calendars
CalcDate
DfMode

String of calendar codes (example: "FRA,UKG")

Calculation date
Extended argument customizing the return value (see DfMode on
page 308)

DfLastWD
Purpose
Syntax
Arguments

222

Calculates the last working day of a month.

=DfLastWD(Calendars, CalcDate, DfMode)

Calendars

String of calendar codes (example: "FRA,UKG")

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Chapter 37 Dates Functions

DfListHolidays

CalcDate
DfMode

Calculation date
# not currently used - leave blank # (see DfMode on page 308)

DfListHolidays
Purpose
Syntax
Arguments

Lists one or several calendars holidays between two dates.

=DfListHolidays(Calendars, StartDate, EndDate, DfMode)

Calendars:
StartDate
EndDate
DfMode

[email protected]

String of calendar codes (example: "FRA,UKG")

Period start date
Period end date
Extended argument customizing the return value (see DfMode on
page 308)

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DfListHolidays

224

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PART XI:
REUTERS 3000
DATA ENGINE

Reuters 3000 Data Engine

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C H A P T E R 3 8 D A TA E N G I N E F U N C T I O N S

Contents

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DeHistory
DeList
DeLookup
DeQuery
DeUpdate

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DeHistory

DeHistory
Purpose

Retrieves historical data for:

Syntax

one single instrument, from a specified table in Securities 3000 and Treasury 3000 databases
several instruments, from the DBU server
=DeHistory(Code, TableName, FieldList, DestinationCell, MacroName, Conditions,
DeMode)

Important! You must specify the data source, using the SOURCE keyword in the DeMode argument.

Arguments

Code
TableName

FieldList
DestinationCell
MacroName
Conditions
DeMode

Instrument names, separated by commas.

Name of the table or view in the Treasury 3000 or Securities 3000
databases. TableName uses the FID code when data is retrieved from the
DBU server.
Array of fields to retrieve. FieldList is mandatory for Security data.
Cell reference specifying the top-left corner of the destination cell.
Excel macro, called when the result table is updated.
Any extra information required to retrieve data, depending on the provider
and the kind of request you make.
Data retrieval parameters. DeMode specifies the data source, update
frequency, data filters/extrapolators for historical data, results format, and
specifies whether results are refreshed automatically.

DeList
Purpose
Note
Syntax

228

Retrieves a list of instrument constituents. The constituents can be from an index or from the
Reuters Securities 3000 database. The index is specified in the parameters.
This function can also retrieve lists of RICs, clearing codes, rating sources, and price sources for a
bond, from the Reuters Treasury 3000 database.
=DeList(Code, TableName, FieldList, DestinationCell, MacroName, Conditions,
DeMode)

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Chapter 38 Data Engine Functions

DeLookup

Arguments

Code
TableName

FieldList
DestinationCell
MacroName
Conditions

DeMode

Identifies the instrument name for which to retrieve data.

Name of the table or view in the Treasury 3000 or Securities 3000
databases from which to retrieve data. Uses the FID code when data is
retrieved from the DBU server.
Array of fields to retrieve. This argument is mandatory for EQUITY source.
Cell reference specifying the top-left corner of the destination cell.
Identifies the Excel macro that is called when the result table is updated.
Any extra information required to retrieve the desired data. This depends
on the provider and the kind of request being made. It identifies any
required conditions and/or supplementary values needed.
Indicates the Data Engine source to consult in the request (the SOURCE
keyword), defines data retrieval parameters (update frequency, whether to
refresh), data filters/extrapolators (for historic data), the format of the
results, and specifies whether results are refreshed automatically. It has
the form of a structure string. Please refer to the following table to see the
dependency of DeMode keywords according to the function used.

DeLookup
Purpose
Syntax
Arguments

[email protected]

Retrieves issues and quotations associated with an organization name from the Securities 3000
database.
=DeLookup(LookupString, DestinationCell, MacroName, DeMode)

String containing the name or beginning of the name for the organization for
which to retrieve data.
DestinationCell Cell reference specifying the top-left corner of the destination cell.
MacroName
Identifies the Excel macro that is called when the result table is updated.
DeMode
Indicates the Data Engine source to consult in the request (the SOURCE
keyword), defines data retrieval parameters (update frequency, whether to
refresh), data filters/extrapolators (for historic data), the format of the results,
and specifies whether results are refreshed automatically. It has the form of a
structure string. Please refer to the following table to see the dependency of
DeMode keywords according to the function used.
LookupString

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DeQuery

DeQuery
Purpose

Sends a request to a provider.

If the data provider is a Reuters 3000 database (SOURCE:TREASURY or SOURCE:EQUITY) or a local
relational database (SOURCE:LOCAL) the request string is an SQL request. The request must be a
SELECT request. The Data Engine checks the SQL syntax embedded in the query prior to passing it
to the database.
Using this function, you can retrieve data as an array.
Text strings in Data Engine functions are limited to 255 characters. For SQL queries that exceed this
length, enter the text in a vertical range of cells, putting a portion of the text in each cell. The values
of the cells can then be concatenated through cell referencing to form the complete SQL statement.

Syntax
Arguments

=DeQuery(RequestString, DestinationCell, MacroName, Conditions, DeMode)

String containing the HTTP or SQL request.

DestinationCell Cell reference specifying the top-left corner of the destination cell.
MacroName
Identifies the Excel macro that is called when the result table is updated.
Conditions
Any extra information required to retrieve the desired data. This depends on the
provider and the kind of request being made. It identifies any required
conditions and/or supplementary values needed.
DeMode
Indicates the Data Engine source to consult in the request (the SOURCE
keyword), defines data retrieval parameters (update frequency, whether to
refresh), data filters/extrapolators (for historic data), the format of the results,
and specifies whether results are refreshed automatically. It has the form of a
structure string. Please refer to the following table to see the dependency of
DeMode keywords according to the function used.
RequestString

DeUpdate
Purpose

230

Retrieves a table of values from a named data source specified by the keyword SOURCE in the
DeMode argument. You can choose the default data source by selecting the Set as default source
check box in the Reference Data Engine Settings dialog. Changes to the default value are
taken into account at the next Data Engine session.

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Chapter 38 Data Engine Functions

DeUpdate

The list of fields available for a given security is available in the Reuters Data Encyclopedia, at the
following URL: http://rde.session.rservices.com/3000xtra. To assist you in building your DeUpdate
request, you can also use the Treasury and Security assistants..

Syntax
Arguments

=DeUpdate(CodeList, FieldList, DestinationCell, MacroName, Conditions, DeMode)

CodeList
FieldList
DestinationCell
MacroName
Conditions

DeMode

[email protected]

Array of instrument codes for which the function returns data.

Array of fields to retrieve.
Cell reference specifying the top-left corner of the destination cell.
Identifies the Excel macro that is called when the result table is updated.
Any extra information required to retrieve the desired data. This depends on
the provider and the kind of request being made. It identifies any required
conditions and/or supplementary values needed.
Indicates the Data Engine source to consult in the request (the SOURCE
keyword), defines data retrieval parameters (update frequency, whether to
refresh), data filters/extrapolators (for historic data), the format of the
results, and specifies whether results are refreshed automatically. It has the
form of a structure string. Please refer to the following table to see the
dependency of DeMode keywords according to the function used.

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DeUpdate

232

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PART XII:
REUTERS ADFIN
EXTENDED
ARGUMENTS

Reuters Adfin Extended Arguments

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E X T E N D E D A R G U M E N TS

APPENDIX A

Contents

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Adfin Structures
AdMode
BdMode
BondFutStructure
BondStructure
CalcMethod
CalcStructure
CapFloorStructure
CdsStructure
ConvMode
ConvStructure
CreditStructure
CrossStructure
CsStructure
CurStructure
DefStructure
DfMode
ExoticStructure
FormatMode
FrnMode
FrnStructure
FxMode
HistoryMode
HistoryStructure
IlbMode
IlbStructure
IndexHistoryStructure

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InterpMode
IrsStructure
OpMode
OptionStructure
ParseMode
RateMode
RateStructure
RepoMode
RoundMode
RtMode
StirFutStructure
StyleMode
SwapStructure
SwMode
YcMode

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Appendix A Extended Arguments

Adfin Structures

Adfin Structures
Use of Structure
Arguments with
Adfin Analytics

Most of the calculations in Reuters PowerPlus Pro rely on the definition of the instrument in terms of
a Structure or a Style.
A Structure, such as a BondStructure, is an extended argument, consisting of several keywords to
define attributes such as accrued interest calculation method, etc. A Style is a name given to a
particular instance of a Structure (in the case of instruments). Thus the BondStructure for a UK
Gilt-edged security should be ACC:AA CM:AA FRQ:2 XD:7WD EY:2 SETTLE:1WD CLDR:UKG_FI
RND:6. This may be used in bond calculations. This structure is also defined in the Style Database;
its Style Name is Gilt. It is interchangeable with the above Structure, and will produce identical
results in calculations.
The following table indicates how instruments and related data, such as calendars, index histories,
etc, may be defined using Structures and Styles. If an entity may be defined using a Structure, the
entry in the Structure column will be Yes, followed by the Structure Arguments to be used. If Styles
exist in the Style Database for the entity, its entry in the Style column will be Yes. Styles may be
viewed via the Style Management function: click Reuters Settings Style Management.

Extended
Arguments

Adfin arguments in Reuters PowerPlus Pro combine several attributes in a single parameter. As
many attributes as needed may be combined within the extended argument and in a random order.
Each attribute is referred to in the extended argument by a keyword.
An extended argument is a string made up of a series of parameters in a function, each one
consisting of a keyword followed by a colon (:) and the value of the parameter. The separator
between the parameters in the string should be a blank space ( ) as shown in the example below.
Keyword1:Value1 Keyword2:Value2 Keyword3:Value3
Reuters PowerPlus Pro provides two types of Extended arguments:
Structure arguments
Mode arguments

AdMode
AdMode is used as argument in Adfin Analytics functions to customize returned values.
AdMode is a string consisting of a series of parameters. Each of set parameters consists of a
keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

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AdMode

Structure

The following keywords used in AdMode are common to Adfin Analytics functions:
Keyword Explanation

238

LAY

Layout parameter for the array orientation {H, HOR, V, VER}

LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: LAY:H

RET

Return value parameter to shorten or lengthen the array of data returned by array
functions {Ai, Bi, or i (where i is integer)} (see the Notes section below)
RET:Ai with i from 1 to ArraySize to get the i first rows of the default array (only
values)
RET:Bi with i from 1 to ArraySize to get the i first rows of the default arrays (names
and their values)
RET:i with i from 1 to ArraySize to get the value of the ith row of a one dimension
array
Default value: RET:A

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Appendix A Extended Arguments

AdMode

Keywords used in AdMode for Adfin Bonds functions:

Keyword Explanation
RES

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Expected result {BDPRICE, CBPRICE, CV, CVPRICE, OPTIONFREEPRICE, PARITY,

EQPREMIUM, OPTPREMIUM, PREMIUM, MPREM, MPREMIUM, BEVEN, VOL, PVBP, DUR, CONV,
AVGLIFE, YTWYTB, PREV, NEXT, EXDIV, ACC, ACCDAYS, NXCPN, D, DELTA, G, GAMMA, R, RHO, T,
THETA, V, VEGA}

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AdMode

Keyword Explanation
RES

RES:D or RES:DELTA to calculate the delta ratio (sensitivity of the premium to the change

of the underlying price)

RES:G or RES:GAMMA to calculate the gamma ratio(sensitivity of the delta ratio to the

change of the underlying price)

RES:R or RES:RHO to calculate the rho ratio (sensitivity of the premium to the market
interest rates)
RES:T or RES:THETA to calculate the theta ratio(sensitivity of the premium to the
reduction of the option remaining life)
RES:V or RES:VEGA to calculate the vega ratio(sensitivity of the premium to the
underlying volatility)
RES:BDPRICE to calculate the bond price
RES:CBPRICE to calculate the convertible bond price
RES:CV to calculate the conversion value
RES:CVPRICE to calculate the conversion price
RES:OPTIONFREEPRICE to calculate the option free price
RES:PARITY to calculate the parityof the convertible bond
RES:EQPREMIUM to calculate the equity premium
RES:OPTPREMIUM to calculate the option premium
RES:PREMIUM to calculate the total premium
RES:MPREMIUM or RES:MPREM to calculate the market conversion premium
RES:BEVEN to calculate the break-even time
RES:VOL to calculate the volatility
RES:PVBP to calculate the PVBP
RES:DUR to calculate the duration
RES:CONV to calculate the convexity (see the Notes section below)
RES:AVGLIFE to calculate the average life
RES:YTWYTB to calculate the Yield-To-Worst/Yield-To-Best Date
RES:PREV to calculate the previous coupon date
RES:NEXT to calculate the next coupon date
RES:EXDIV to calculate the ex dividend date
RES:ACCDAYS to calculate the accrued days
RES:ACC to calculate the accrued interest
RES:NXCPN to calculate the next coupon value

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Appendix A Extended Arguments

AdMode

Keywords used in AdMode for Adfin Options functions:

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Keyword

Explanation

RES

Expected result {BPV, CONVEXITY, D, DELTA, FDELTA, FRHO, FTHETA, FVEGA, G, GAMMA, R,
RHO, T, THETA, V, VEGA}
RES:BPV to calculate the basis point value of caps and floors
RES:CONVEXITY to calculate the convexity of caps and floors (see the Notes section
below)
RES:D or RES:DELTA to calculate the delta ratio(sensitivity of the premium to the
change of the underlying price)
RES:G or RES:GAMMA to calculate the gamma ratio(sensitivity of the delta ratio to the
change of the underlying price)
RES:R or RES:RHO to calculate the rho ratio(sensitivity of the premium to the market
interest rates)
RES:T or RES:THETA to calculate the theta ratio(sensitivity of the premium to the
reduction of the option remaining life)
RES:V or RES:VEGA to calculate the vega ratio(sensitivity of the premium to the
underlying volatility)
RES:FDELTA to calculate the delta ratio in the foreign currency (for currency options)
RES:FRHO to calculate the rho ratio in the foreign currency (for currency options)
RES:FTHETA to calculate the theta ratio in the foreign currency (for currency options)
RES:FVEGA to calculate the vega ratio in the foreign currency (for currency options)
Default value: No expected result is defined

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AdMode

Keywords used in AdMode for Adfin Exotics functions:

Example

242

Keyword

Explanation

RES

Expected result {DELTA, DELTA:i, D1, D2, GAMMA, GAMMA:i, GAMMA:i:j, G1, G2, RHO, R1,
R2, T, THETA, VEGA:i, V1, V2}
RES:DELTA to calculate the deltaof the option, except for Rainbow and exotic currency
options
RES:DELTA:i to calculate the delta of the i-th asset for multi asset options
RES:GAMMA to calculate the gamma of the option, except for Rainbow and exotic
currency options
RES:GAMMA:i to calculate the gamma of the i-th asset for multi asset options
RES:GAMMA:i:j to calculate the crossgamma of the i-th and j-th asset for basket
options
RES:RHO to calculate the rhoof the option
RES:THETA to calculate the thetaratio in domestic currency
RES:VEGA to calculate the vegaof the option, except for Rainbow options
RES:VEGA:i to calculate the vega of the i-th asset for multi asset options
RES:D1 or RES:DELTA:1 to calculate the delta ratio in domestic currency for exotic
currency options
RES:D2 or RES:DELTA:2 to calculate the delta ratio in foreign currency for exotic
currency options
RES:G1 or RES:GAMMA:1 to calculate the gamma ratio in domestic currency for exotic
currency options
RES:G2 or RES:GAMMA:2 to calculate the gamma ratio in foreign currency for exotic
currency options
RES:V1 or RES:VEGA:1 to calculate the vega ratio in domestic currency for exotic
currency options
RES:V2 or RES:VEGA:2 to calculate the vega ratio in foreign currency for exotic
currency options
RES:R1 to calculate the rho ratio in domestic currency for exotic currency options
RES:R2 to calculate the rho ratio in foreign currency for exotic currency options
Default value: No expected result is defined

LAY:H RET:B1 displays the name of the first parameter returned and the corresponding value below.

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Appendix A Extended Arguments

BdMode

BdMode
BdMode is used as argument in functions of the Adfin Bonds module to customize returned values.

BdMode is a string consisting of a series of parameters. Each of set parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

Keyword

Explanation

IAC

Cash flows calculation split up into interest and principal {no value}
IAC to display interest cash flows and principal cash flows
Default value: Interest and principal added in cash flows calculation

LAY

Layout parameter for the array orientation {H, HOR, V, VER}

LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: LAY:H

RET

Return value parameter to shorten or lengthen the array of data returned by array
functions {Ai, Bi, i with i as integer}
RET:Ai with i from 1 to ArraySize to get the array of the i first elements (values only)
RET:Bi with i from 1 to ArraySize to get the array of the i first elements along with
their names (header and values)
RET:i with i from 1 to ArraySize to get the i-th element only
Default value: RET:A

BondFutStructure
BondFutStructure is used as argument in functions of the Adfin Bonds module to define the
structure of a bond futures contract.
BondFutStructure is a string consisting of a series of parameters. Each set of parameters consists
of a keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

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Structure

244

Keyword Explanation
AFTER

Bond futures style for future maturities {DDMMMYY:bondfutures}

AFTER:DDMMMYY:bondfutures to use the corresponding bond futures style instead of
the current one after the specified date
Default value: No bond futures style is defined

BEFORE

Bond futures style for old maturities {DDMMMYY:bondfutures}

BEFORE:DDMMMYY:bondfutures to use the corresponding bond futures style instead of
the current one before the specified date
Default value: No bond futures style is defined

BOND

Underlying bond {bond}

BOND:bond to define the contract underlying bond
Default value: No bond style is defined

CDADJ

Conversion factor date adjustment {C{:M, Q}, F{:M, Q}, N, P{:M, Q}}
CDADJ:C:M to adjust to the closest month
CDADJ:C:Q to adjust to the closest quarter
CDADJ:F:M to adjust to the following month
CDADJ:F:Q to adjust to the following quarter
CDADJ:N for None
CDADJ:P:M to adjust to the preceding month
CDADJ:P:Q to adjust to the preceding quarter
Default value: CDADJ:N

CFD

Conversion factor date calculation method {iWD with i as integer}

CFD:iWD for i working days from the reference date
Default value: CFD:0WD

CLDR

Calendar for holiday management {calendar}

CLDR:calendar to assign the corresponding calendar style to the currency
Default value: CLDR:NULL (no date adjustment is made)

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Appendix A Extended Arguments

BondFutStructure

Keyword Explanation

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CRD

Contract reference date calculation method {1C, 10C, 15C, 20C, 2NDFRI, 3RDWED, NBB}
CRD:1C to set the date to the first calendar day of the delivery month
CRD:10C to set the date to the 10th calendar day of the delivery month
CRD:15C to set the first calendar day of the delivery month
CRD:20C to set the date to the 20th calendar day of the delivery month
CRD:2NDFRI to set the second Friday of the delivery month
CRD:3RDWED to set the date to the third Wednesday day of the delivery month
CRD:NZL to set the date to the third Wednesday after the ninth day of the contact month
(specific to the NZ Bank Bill Future Contracts)
Default value: No contract reference date calculation method is defined

CUR

Underlying currency {currency}

CUR:currency to define the contract underlying currency
Default value: No currency is defined

DEC

Decimal precision for conversion factor {NO, RND:i, TRUNC:i with i as integer}
DEC:NO to use the calculated value without rounding or truncating
DEC:RND:i to round the calculated value to i decimals
DEC:TRUNC:i to trunc the calculated value to i decimals
Default value: DEC:NO

EDD

Delivery period end date calculation method {LAST, iWD with i as integer}
EDD:LAST to set the date to the last working day of the delivery month
EDD:iWD for i working days from the reference date
Default value: EDD:0WD

MDADJ

Maturity date adjustment {F, M, N, P}

MDADJ:F for Following
MDADJ:M for Modified Following
MDADJ:N for None
MDADJ:P for Preceding
Default value: MDADJ:N

QM

Quotation mode {100, 32, 256}

QM:100 for prices quoted in decimals
QM:32 for prices quoted in 32nd
QM:256 for prices quoted in 256th
Default value: QM:100

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Keyword Explanation
RATE

Nominal rate {i (where i is numeric)}

RATE:i where i is the rate of the contract
Default value: RATE:0

RRTYPE

Repo rate type {00, A0, A0D, A25D, A5, A5D, AA, BFM, DISCA0, DISCA5, E0,
JAP, MMBA0, MMBA5, MMDA0, MMDA5, MMMA0, MMMA5, MMPA0, MMPA5, MOOS, TRE}
RRTYPE:00 for 30/360
RRTYPE:A0 for Actual/360
RRTYPE:A0D for Actual/360 (day-based)
RRTYPE:A25D for Actual/365.25 (day-based)
RRTYPE:A5 for Actual/365
RRTYPE:A5D for Actual/365 (day-based)
RRTYPE:AA for Actual/Actual
RRTYPE:BFM for Braess/Fangmeyer
RRTYPE:DISCA0 for discount Actual/360
RRTYPE:DISCA5 for discount Actual/365
RRTYPE:E0 for 30E/360 ISMA
RRTYPE:JAP for Japanese
RRTYPE:MMBA0 for money market bullet Actual/360
RRTYPE:MMBA5 for money market bullet Actual/365
RRTYPE:MMDA0 for money market direct discounting Actual/360
RRTYPE:MMDA5 for money market direct discounting Actual/365
RRTYPE:MMMA0 for money market medium term CD Actual/360
RRTYPE:MMMA5 for money market medium term CD Actual/365
RRTYPE:MMPA0 for money market proceeds Actual/360
RRTYPE:MMPA5 for money market proceeds Actual/365
RRTYPE:MOOS for Moosmller
RRTYPE:TRE for Treasuries
Default value: No rate type is defined

SDD

246

Delivery period start date calculation method {FIRST, iWD with i as integer}
SDD:FIRST to set the date to the first working day of the delivery month
SDD:iWD for i working days from the reference date
Default value: SDD:0WD

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Appendix A Extended Arguments

BondStructure

Keyword Explanation
SIZE

Contract size {i (where i is numeric)}

SIZE:i where i is the size of the contract
Default value: SIZE:0

BondStructure
BondStructure is used as argument in functions of the Adfin Bonds module to define the structure

of the bond.
BondStructure is a string consisting of a series of parameters. Each set of parameters consists of a
keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

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Structure

248

Keyword Explanation
ACC

Accrued interest calculation method {{00, A0, A5, AA, BB00, BBA5, BBW252, E0, IT, IT2,
JAP, MMA0, MMA5, MMNL5, NL0, NL5, W252} with {:SSD} optional for each value}
ACC:00 for 30/360
ACC:A0 for Actual/360
ACC:A5 for Actual/365
ACC:AA for Actual/Actual
ACC:BB00 for Brazilian bonds with 30/360
ACC:BBA5 for Brazilian bonds with Actual/365
ACC:BBW252 for Brazilian bonds with Actual Working days/252
ACC:IT for Italian (from last coupon date to settlement date in E0 + 1 day)
ACC:IT2 for Italian modified (from last coupon date to settlement date + 1 day in E0)
ACC:JAP for Japanese (A5 or A5 + 1 day for first coupon)
ACC:MMA0 for money market Actual/360
ACC:MMA5 for money market Actual/365
ACC:MMNL5 for money market Actual No Leap/365
ACC:NL0 for Actual No Leap/360
ACC:NL5 for Actual No Leap/365
ACC:W252 for Actual Working days/252
ACC:i:SSD for German Schuldscheindarlehen bonds where i is {00, A0, A5, AA, BB00,
BBA5, BBW252, E0, IT, IT2, JAP, MMA0, MMA5, MMNL5, NL0, NL5, W252}
Default value: ACC:AA

ALIMIT

Accrued interest adjustment method for Actual/360 and Actual/365 {CPN, NEXT, NO}
ALIMIT:CPN to limit the accrued interest to the regular coupon value
ALIMIT:NEXT to adjust the coupon subtracting the exceeding number of days
ALIMIT:NO to allow the accrued interest to exceed the regular coupon value
Default value: ALIMIT:NEXT

AMORT

Amortization pattern for sinking funds {DDMMMYY:i with i<=1}

MORT:DDMMMYY:i to indicate that i is redeemed at the date DDMMMYY
Default value: No amortization pattern defined

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Appendix A Extended Arguments

BondStructure

Keyword Explanation

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ARND

Rounding mode of the accrued interest {NO} or {i (where i is numeric) : {UP, DOWN,
NEAR}}
ARND:NO if no rounding is requested
ARND:i:{UP, DOWN, NEAR} for rounding to the precision defined by i
Default value: ARND:NO if no rounding is requested
ARND:i:NEAR if i is specified

CALL

Callable bond {DDMMMYY:i, DMMMYY:DDMMMYY: i (where i is numeric)}

CALL:DDMMMYY:i to indicate that the bond holds a European call option whose expiry
date is DDMMMYY and strike clean price is i
CALL:DDMMMYY:DDMMMYY:i to indicate that the bond holds an American call option
between DDMMMYY and DDMMMYY and whose strike clean price is i
Default value: The bond is not callable

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Keyword Explanation

250

CCM

Coupon calculation method {BB00, BBA0, BBA5, BBAA, BBE0, MM00, MMA0, MMA5, MMAA,
MME0, MMNL0, MMNL5, 00D, A0D, A5D, E0D, 00, A0, A5, AA, E0} (see the Notes section
below)
CCM:BB00 for bond 30/360
CCM:BBA0 for bond Actual/360
CCM:BBA5 for bond Actual/365
CCM:BBAA for bond Actual/Actual
CCM:BBE0 for bond 30E/360 ISMA
CCM:MM00 for money market 00/360
CCM:MMA5 for money market Actual/365
CCM:MMA0 for money market Actual/360
CCM:MMAA for money market Actual/Actual
CCM:MME0 for money market 30E/360
CCM:MMNL0 for money market Actual No Leap/360
CCM:MMNL5 for money market Actual No Leap/365
CCM:00D for effective 30/360 (day-based)
CCM:A0D for effective Actual/360 (day-based)
CCM:A5D for effective Actual/365 (day-based)
CCM:E0D for effective 30E/360 (day-based)
CCM:00 for effective 30/360 (period-based)
CCM:A0 for effective Actual/360 (period-based)
CCM:A5 for effective Actual/365 (period-based)
CCM:AA for effective Actual/Actual (period-based)
CCM:E0 for effective 30E/360 (period-based)
Default value: CCM:BBAA

CFADJ

Cash Flow (Value) Adjustment {YES, NO}

CFADJ:YES for adjusting the cash flow value with the payment date
CFADJ:NO for not adjusting the cash flow values
Default value: CFADJ:NO

CLDR

Calendar parameter for all date adjustments {calendars}

CLDR: calendars to assign one or more calendars to a bond for settlement date and
coupon date adjustments
Default value: CLDR:NULL (no date adjustment is made)

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Appendix A Extended Arguments

BondStructure

Keyword Explanation

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CRND

Coupon rounding tick size {i (where i is numeric) (0.001=10E-3)}

CRND:i for rounding to the precision defined by i
Default value: CRND:NO

DATED

Dated date {DDMMMYY}

DATED:DDMMMYY where DDMMMYY is the accrual start date for irregular coupons
Default value: No dated date defined

DMC

Date moving convention used when an expiry date or a dividend date falls on a non
working day {F, FOL, M, MOD, N, NONE, P, PRE}
DMC:F or DMC:FOL for moving the date to the following working day
DMC:M or DMC:MOD for moving the date to the following working day unless it causes the
date to be pushed into the next month (in this latter case, the last working day of the
month is used)
DMC:N or DMC:NONE for no moving
DMC:P or DMC:PRE for moving the date to the preceding working day
Default value: The value of the DMC keyword of the "BOND" category

EMC

End-of-month convention used when the maturity date falls on the last day of a month
{D, DEF, L, LAST, S, SAME, L28}
EMC:D or EMC:DEF for the value in Default Settings
EMC:L or EMC:LAST for Last
EMC:S or EMC:SAME for Same
EMC:L28 to match Hong Kong bond requirements: They ignore the 29th of February for
cash flow payment. This particularity affects semi-annual bonds maturing on the 31st of
August. Coupons are paid every 31st of August and every 28th of February. In case of a
leap year the cash flow is still paid the 28th and not the 29th
Default value: EMC:LAST

FAD

First amortization date {DDMMMYY}

FAD:DDMMMYY where DDMMMYY is the first amortization date
Default value: No first amortization date defined

FCV

First coupon nominal value {i (where i is numeric)}

FCV:i where i is the first coupon nominal rate for irregular coupons
(the bond issue date must also be specified using ISSUE)
Default value: All coupons are regular so FCV has no meaning

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BondStructure

Keyword Explanation
FRCD

First Regular Coupon Date for odd first coupon {DDMMMYY}

FRCD:DDMMMYY where DDMMMYY is the first regular coupon date.
Default value: No first regular coupon date defined

FRQ

Frequency of the coupon payments {i {28D, 91D, 182D, 364D, 1, 2, 4, 12}} (see the Notes
section below)
FRQ:28D to define a coupon payment every 28 days from the maturity date
FRQ:91D to define a coupon payment every 91 days from the maturity date
FRQ:182D to define a coupon payment every 182 days from the maturity date
FRQ:364D to define a coupon payment every 364 days from the maturity date
FRQ:1 to define an annual coupon payment from the maturity date
FRQ:2 to define a semi-annual coupon payment from the maturity date
FRQ:4 to define a quarterly coupon payment from the maturity date
FRQ:12 to define a monthly coupon payment from the maturity date
FRQ:DDMMMYY:i to define a frequency of i from date DDMMMYY
IC

Irregular first coupon {L1, L1R, S1, S1P, S1R, NBC}

(the bond issue date must also be specified using ISSUE or DATED)
Frequency of the coupon payments {i {28D, 91D, 182D, 364D, 1, 2, 4, 12}} (see the Notes
section below)
FRQ:28D to define a coupon payment every 28 days from the maturity date
FRQ:91D to define a coupon payment every 91 days from the maturity date
FRQ:182D to define a coupon payment every 182 days from the maturity date
FRQ:364D to define a coupon payment every 364 days from the maturity date
FRQ:1 to define an annual coupon payment from the maturity date
FRQ:2 to define a semi-annual coupon payment from the maturity date
FRQ:4 to define a quarterly coupon payment from the maturity date
FRQ:12 to define a monthly coupon payment from the maturity date
FRQ:DDMMMYY:i to define a frequency of i from date DDMMMYY
IC

Irregular first coupon {L1, L1R, S1, S1P, S1R, NBC}

(the bond issue date must also be specified using ISSUE or DATED)
Default value: FRQ:1

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Appendix A Extended Arguments

BondStructure

Keyword Explanation
IC

IC:L1 for long first coupon (first coupon date equal to second anniversary date)
IC:L1R for long first coupon with regular nominal value and starting accrued date equal

to first anniversary date (SPGB)

IC:S1 for short first coupon (first coupon date equal to first anniversary date)
IC:S1P for short first coupon with proportional value (BTAN)
IC:S1R for short first coupon with regular nominal value
IC:NBC for NBC first coupon
Default value: IC:S1

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INTCAP

Capitalization rate of a bond {DDMMYYYY:DDMMYYYY:i where i is numeric}

INTCAP:DDMMYYYY:DDMMYYYY to set the start and end dates between which all coupons
are paid and the bond is fully capitalized
INTCAP:DDMMYYYY:DDMMYYYY:i to set the start date, end date and capitalization rate
Default value: No capitalization rate is defined

ISSUE

Issue date {DDMMMYY}

ISSUE:DDMMMYY where DDMMMYY is the bond issue date for irregular coupons
Default value: All coupons are regular (the issue date is aligned with the maturity date
on the coupon frequency)

LOCK

Lockout period in settlement date calculations {iWD with i>0} (see the Notes section
below)
LOCK:iWD for i working days

LRCD

Last regular coupon date for odd last coupon {DDMMMYY, JGB}
LRCD:DDMMMYY where DDMMMYY is the last regular coupon date
LRCD:JGB to handle automatically odd last coupons for JGBs

MDADJ

Maturity date adjustment {F, M, N, P}

MDADJ:F for Following
MDADJ:M for Modified Following
MDADJ:N for None
MDADJ:P for Preceding

NC

Normalization of the capital {YES, NO}

YES for the use of the remaining capital
NO for the use of the initial capital
Default value: NC:NO

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Keyword Explanation
NOTIONAL Face value of the bond {i, expressed in the bond currency}
NOTIONAL:i indicates that the face value of the bond is equal to i

Default value: NOTIONAL:1

254

PPMT

Partial payment for partly paid bond {DDMMMYY:i with i<=1}

PPMT:DDMMMYY:i to indicate that i are paid at the date DDMMMYY
Default value: The bond is completely paid at the issue date

PUT

Puttable bond {DDMMMYY:i, DMMMYY:DDMMMYY:i (where i is numeric)}

PUT:DDMMMYY:i to indicate that the bond holds a European put option whose expiry
date is DDMMMYY and strike clean price is i
PUT:DDMMMYY:DDMMMYY:i to indicate that the bond holds an American put option
between DDMMMYY and DDMMMYY and whose strike clean price is i
Default value: The bond is not puttable

PX

Price type parameter {C, G}

PX:C for clean price
PX:G for gross price
Default value: The value of the PX keyword of the "BOND" category

PXRND

Rounding mode of the output price {NO} or {i (where i is numeric): {UP, DOWN, NEAR}}
PXRND:NO if no rounding is requested.
PXRND:i:{UP, DOWN, NEAR} for rounding to the precision defined by i
Default value: PXRND:NO if no rounding is requested
PXRND:i:NEAR if i is specified

REFDATE

Reference date in cash flow dates generation {MATURITY, ISSUE}

REFDATE:ISSUE for using the issue date as reference date.
REFDATE:MATURITY for using the maturity date as reference date
Default value: REFDATE:MATURITY

RP

Redemption price {i (where i is numeric) (1=100%)}

RP:i for a ratio equal to i

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BondStructure

Keyword Explanation

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RT

Reimbursement type {B, C{:i}, Sj{:i} where i is numeric (1=100%) and j from 1 to 8,
P}
RT:B for bullet or in fine
RT:C for constant payments
RT:C:i for constant payments equal to i except for the last cash flow which is adjusted
RT:Sj for j series
RT:Sj:i for j series and constant payments equal to i except for the last cash flow
which is adjusted
RT:P for perpetual bonds

SETTLE

Settlement date calculation rule {AUT, INTL, JAP, RSA, iD, iDF, iDM, iDN, iDP, iWD with i
from 1 to 9}
SETTLE:AUT for the Austrian settlement rule
SETTLE:INTL for the International settlement
SETTLE:JAP for the Japanese settlement rule
SETTLE:RSA for the South-African settlement
SETTLE:iD for i calendar days and the default date moving convention
SETTLE:iDF for i calendar days and the following date moving convention
SETTLE:iDM for i calendar days and the modified following date moving convention
SETTLE:iDN for i calendar days and no date moving convention
SETTLE:iDP for i calendar days and the preceding date moving convention
SETTLE:iWD for i working days
(the calendar used must also be specified using CLDR)

STEP

Coupon rate pattern for stepped coupon bonds {DDMMMYY:i (where i is numeric)}
STEP:DDMMMYY:i where i is the nominal coupon rate starting from the date DDMMMYY

TAX

Taxation for yield/price calculation {i:j where i and j are numeric (1=100%)}
TAX:i:j to specify a taxation of i on the coupons and j on the capital

TC

Tax credit when the redemption price is less than the taxed price {NO, YES}
(the taxation rate must also be specified using TAX)
TC:NO to ignore the tax credit
TC:YES to adjust the redemption price with the tax credit

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BondStructure

Keyword Explanation

Examples

TP

Price used for capital gain taxation when different from the actual bond price {i (where
i is numeric) (1=100%)}
(the taxation rate must also be specified using TAX)
TP:i for a price equal to i

XD

Ex-dividend calculation {no value, NO, YES, iD, iWD, AUT, DEN}
XD or XD:YES to force ex-dividend calculations (exclude the right to the next coupon)
XD:NO to force cum-dividend calculations (grant the right to the next coupon)
XD:iD for an ex-dividend period of i calendar days
XD:iWD for an ex-dividend period of i working days
XD:AUT for the Austrian ex-dividend period
XD:DEN for the Dane ex-dividend period

YLDRND

Rounding mode of the output yield {NO} i (where i is numeric) : {UP, DOWN, NEAR}}
YLDRND:NO if no rounding is requested.
YLDRND:i:{UP, DOWN, NEAR} for rounding to the precision defined by i

YM

Rate style associated to the bond {YM}

To specify the rate style that corresponds to the bond calculation methods (for example
yield, price, derivatives)

ACC:A5 FRQ:2 XD:7WD CLDR:UKG SETTLE:1D is the structure stored for UK gilts in the bond

database.
ACC:AA RND:3 CLDR:FRA SETTLE:3WD is the structure stored for French OATs in the bond

database.
CALL:01Jan00:01Jan01:1.2 describes an American call option between 01-Jan-2000 and

01-Jan-2001, the call strike will be 120% of the face value.

PUT:01Jan00:01Jan01:1.2 describes an American put option between 01-Jan-2000 and

01-Jan-2001, the put strike will be 120% of the face value

CALL:01Jan01:1.2 describes a European call option whose expiry date is 01-Jan-2001, the call

strike will be 120% of the face value.

PUT:01Jan01:1.2 describes a European put option whose expiry date is 01-Jan-2001, the put

strike will be 120% of the face value.

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CalcMethod

AMORT:04Jan00:0.5 AMORT:04Jan03:0.5 NC:YES describes a bond. If it is evaluated the

2001,10th February, its price will be approximately 100%. With NC:NO instead of NC:YES,

its price will be approximately 50%.

If start date and end date are the same, the optio

Reuters
PowerPlus Pro
4.0

To match results in PowerPlus Pro 4.0, you must use the following default configurations. All other
configurations are impossible.
Is NOTIONAL used?

Are AMORT and PPMT

used?

RT has the value

NC has the value

YES

NO

NO

YES Unique value

YES

NO

NO

YES

YES for sinking funds

NO for LATAM bonds

NO

NO

or S

YES

CalcMethod
CalcMethod is used as argument in functions of the Adfin Bonds module to define the calculation

method.
CalcMethod is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

[email protected]

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CalcMethod

Structure

Keyword Explanation
CF

258

Cash flow mode to choose between analytic pricing and cash flow {CLDR, NO, NULL, WE,
YES}
CF:CLDR for cash flow pricing using the calendar defined by the keyword CLDR (if no
calendar is defined, CLDR:WEEKEND is used)
CF:NO for analytic pricing (for example from the bond structure)
CF:NULL for cash flow pricing using the calendar NULL
CF:WE for cash flow pricing using the calendar WEEKEND
CF:YES for cash flow pricing using the calendar defined in Default Settings
Default value: Calculation with cash flows

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Appendix A Extended Arguments

CalcMethod

Keyword Explanation

[email protected]

CM

Yield calculation method {00, A0, A0D, A25D, A5, A5D, AA, BFM, DISCA0, DISCA5, E0, JAP,
MMBA0, MMBA5, MMDA0, MMDA5, MMMA0, MMMA5, MMPA0, MMPA5, MOOS, TRE, UDI, W252}
CM:00 for 30/360
CM:A0 for Actual/360
CM:A0D for Actual/360 (day-based)
CM:A25D for Actual/365.25 (day-based)
CM:A5 for Actual/365
CM:A5D for Actual/365 (day-based)
CM:AA for Actual/Actual
CM:BFM for Braess/Fangmeyer
CM:DISCA0 for discount Actual/360
CM:DISCA5 for discount Actual/365
CM:E0 for 30E/360 ISMA
CM:JAP for Japanese
CM:MMBA0 for money market bullet Actual/360 (formerly CM:MMA0)
CM:MMBA5 for money market bullet Actual/365 (formerly CM:MMA5)
CM:MMDA0 for money market direct discounting Actual/360
CM:MMDA5 for money market direct discounting Actual/365
CM:MMMA0 for money market medium term CD Actual/360
CM:MMMA5 for money market medium term CD Actual/365
CM:MMPA0 for money market proceeds Actual/360
CM:MMPA5 for money market proceeds Actual/365
CM:MOOS for Moosmller
CM:TRE for Treasuries
CM:UDI for Udibonos
CM:W252 for Actual Working days/252
Default value: No default value is defined

CMP

Compounding frequency for cash flow pricing {EY, FRQ, YEARLY}

CMP:EY for using the frequency defined by the EY keyword
CMP:FRQ for using the frequency defined by the FRQ keyword
CMP:YEARLY for a yearly frequency
Default value: CMP:YEARLY

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CalcMethod

Keyword Explanation

260

DCB

Day count basis {00, A0, A0D, A25D, A5, A5D, AA, E0, W252}
DCB:00 for 30/360 (period-based calculation)
DCB:A0 for Actual/360 (period-based calculation)
DCB:A0D for Actual/360 (day-based calculation)
DCB:A25D for Actual/365.25 (day-based calculation)
DCB:A5 for Actual/365 (period-based calculation)
DCB:A5D for Actual/365 (day-based calculation)
DCB:AA for Actual/Actual (period-based calculation)
DCB:E0 for 30E/360 ISMA (period-based calculation)
DCB:W252 for Actual Working days/252
Default value: The value of the DCB keyword of the "RATEMODEL" category

EY

Equivalent yield parameter {1, 12, 182D, 2, 28D, 364D, 4, 91D, M, Q, S, Y}

EY:1 or EY:Y for yearly
EY:12 or EY:M for monthly
EY:182D for a compounding every 182 days
EY:2 or EY:S for semi-annual
EY:28D for a compounding every 28 days
EY:364D for a compounding every 364 days
EY:4 or EY:Q for quarterly
EY:91D for a compounding every 91 days
Default value: The value of FRQ for functions using a BondStructure Argument
EY:1 for functions using cash flows

IM

Interpolation method {CUBD, CUBR, LIN, LIX, LOG, VOL}

IM:CUBD for cubic spline discount factor interpolation
IM:CUBR for cubic spline rate interpolation
IM:LIN for linear interpolation without extrapolation
IM:LIX for linear interpolation with extrapolation
IM:LOG for loglinear interpolation
IM:VOL for linear interpolation on volatility curves
Default value: The value of the IM keyword of the "RATEMODEL" category

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Appendix A Extended Arguments

CalcMethod

Keyword Explanation

[email protected]

LAY

Layout parameter for the array orientation {H, HOR, V, VER}

LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: The value of the LAY keyword of the "RATEMODEL" category

LLP

Linear last period parameter {00{:i}, A0{:i}, A5{:i}, AA{:i}, E0{:i}, NO with i as
integer}
LLP:00 for 30/360 for the last period only
LLP:00:i for 30/360 for the i last periods
LLP:A0 for Actual/360 for the last period only
LLP:A0:i for Actual/360 for the i last periods
LLP:A5 for Actual/365 for the last period only
LLP:A5:i for Actual/365 for the i last periods
LLP:AA for Actual/Actual for the last period only
LLP:AA:i for Actual/Actual for the i last periods
LLP:E0 for 30E/360 for the last period only
LLP:E0:i for 30E/360 for the i last periods
LLP:NO for defining no special processing of the last period(s)
Default value: LLP:NO

ND

Null date processing {DIS, ERR}

ND:DIS to discard null dates from the date array
ND:ERR to generate error messages for a null date in the date array
Default value: The value of the ND keyword of the "RATEMODEL" category

OBC

Out of boundary interpolation check {no value, NO, YES}

OBC or OBC:YES to verify if the date to interpolate is within the range of the date array
used (otherwise an error is returned)
OBC:NO to perform no check (an extrapolated value is returned if the date is out of the
array boundaries)
Default value: The value of the OBC keyword of the "RATEMODEL" category

PX

Price type parameter {C, G}

PX:C for clean price
PX:G for gross price
Default value: PX:G

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CalcStructure

Keyword Explanation
SHIFT

Yield change value {i (where i is numeric)}

SHIFT:i for a yield change equal to i
Default value: SHIFT:0.0001

SPREAD

Credit spread flag {no value, NO, YES}

SPREAD or SPREAD:YES to enable the credit spread in the calculation
SPREAD:NO to disable the credit spread in the calculation
Default value: SPREAD:NO

XD

Ex-dividend calculation {no value, NO, YES, iD, iWD, AUT, DEN}
XD or XD:YES to force ex-dividend calculations (exclude the right to the next coupon)
XD:NO to force cum-dividend calculations (grant the right to the next coupon)
XD:iD for an ex-dividend period of i calendar days
XD:iWD for an ex-dividend period of i working days
XD:AUT for the Austrian ex-dividend period
XD:DEN for the Dane ex-dividend period
Default value: Calculation on an ex-dividend basis for ex-dividend periods

YTM

Yield type for callable/puttable bonds {AUTO, BEST, MATURITY, WORST}

YTM:AUTO to adapt the calculation of the yield to the structure (yield to maturity for a
standard bond or callable and puttable, yield to worst for callable bonds, yield to best for
puttable bonds)
YTM:BEST to force the calculation of the yield to best
YTM:MATURITY to force the calculation of the yield to maturity
YTM:WORST to force the calculation of the yield to worst
Default value: YTM:AUTO

ZCTYPE

Zero-coupon yield curve {DF, RATE}

ZCTYPE:DF to use discount factors
ZCTYPE:RATE to use zero-coupon rates
Default value: The value of the ZCTYPE keyword of the "RATEMODEL" category

CalcStructure
CalcStructure is used as argument in Adfin Analytics functions to define the calculation methods

available for pricing instruments.

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Appendix A Extended Arguments

CalcStructure

CalcStructure is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

[email protected]

Keyword Explanation
ANP

Avoiding negative probabilities in the evaluation model {NO, YES}

ANP:NO to use the standard model
ANP:YES to use the modified version of the model avoiding negative probabilities
Default value: ANP:NO

CMT

Calculation model type {TREE, FD, FORM}

CMT:TREE for model using a tree (Cox, Ross, and Rubinstein and Trinomial models)
CMT:FD for model using the finite differences method
CMT:FORM for model using a formula
Default value: CMT:FORM

CONV

Calculation method of the convexity {MIDDLE, VOL}

Default value: CONV:MIDDLE

COR

Correlation coefficient between the instantaneous stock rate and the absolute changes
of the interest rate {i, where i is numeric}
COR:i where i is the correlation coefficient
Default value: COR:0

DCP

Current payment parameter for cap, or floor functions {NO, YES}

DCP:NO to keep the current caplet, or floorlet
DCP:YES to skip the current caplet, or floorlet
Default value: DCP:NO

DUR

Calculation method of the duration {MIDDLE, RIGHT}

Default value: DUR:MIDDLE

FT

Formula type {BS, CEV, WHALEY}

FT:BS to use the Black & Scholes Model if CMT:FORM
FT:CEV to use the Constant Elasticity of Variance Model if CMT:FORM
FT:WHALEY to use the Whaley Model if CMT:FORM
Default value: FT:BS

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CapFloorStructure

Keyword Explanation
NBBRANCH

Number of branches in the tree {2, 3}

NBBRANCH:2 if CMT:TREE
NBBRANCH:3 if CMT:TREE
Default value: 2

NBFACTOR

Number of factors for the calculation method, if CMT:TREE or CMT:FD is used {1, 2}
NBFACTOR:1 if CMT:TREE or CMT:FD for one factor
NBFACTOR:2 if CMT:TREE for two factors
Default value: 1

PVBP

Calculation method of the PVBP {MIDDLE, RIGHT}

Default value: PVBP:MIDDLE

SOLVER

Calculation method of the implied volatility of equity options (Vanilla, capped,

Composite, Quanto, and warrants) {NEWTON, RIDDER, DICHO} (see the Notes section
below)
SOLVER:NEWTON to use the Newton-Raphson method
SOLVER:RIDDER to use the Ridder method
SOLVER:DICHO to use the dichotomy method
Default value: No default value is defined

TITER

Number of discrete time steps {i, where i is numeric} (see the Notes section below)
TITER:i where i is the number of steps
Default value: 30 for one factor trees (NBFACTOR:1) and for finite differences method.
15 for two factors trees (NBFACTOR:2)

VOL

Calculation method of the volatility {MIDDLE, RIGHT}

Default value: VOL:MIDDLE

VOLAT

Starting volatility value for implied volatility calculations {i, where i is numeric}
VOLAT:i where i is the starting value
Default value: VOLAT:0.1

CapFloorStructure
CapFloorStructure is used as argument in functions of the Adfin Options module to define the

structure of a cap, a floor or a collar.

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CapFloorStructure

CapFloorStructure is a string consisting of a series of parameters. Each set of parameters

consists of a keyword, a colon (:), and the value of the keyword. The parameter sets are separated
by a blank space. However, certain keywords are used on their own and do not require a value. A
keyword can also have several values, all separated by colons.

Structure

All keywords of the BondStructure Argument are used in CapFloorStructure. The following
keywords have been added:
Keyword Explanation

[email protected]

CAP

Specifies that the instrument structure defines an interest rate cap {no value}
CAP to specify an interest rate cap

CCM

Specifies the type of the yearly rates (Strike and forward rate) {00, A0, A0D, A25D, A5,
A5D, AA, CONT, DAYA0, DAYA5, DISCA0, DISCA5, DF, E0, IAM, MMA0, MMA5, MMA0, MMAA, MME0,
MMNL0, MMNL5}
CCM:00 for 30/360
CCM:A0 for Actual/360
CCM:A0D for Actual/360 (daily compounding)
CCM:A25D for Actual/365.25 (daily compounding)
CCM:A5 for Actual/365
CCM:A5D for bond Actual/365 (daily compounding)
CCM:AA for Actual/Actual
CCM:CONT for continuous
CCM:DAYA0 for daily Actual/360
CCM:DAYA5 for daily Actual/365
CCM:DISCA0 for discount Actual/360
CCM:DISCA5 for discount Actual/365
CCM:DF for discount factor
CCM:E0 for 30E/360 ISMA
CCM:IAM for interest at maturity
CCM:MM00 for money market 00/360
CCM:MMA5 for money market Actual/365
CCM:MMA0 for money market Actual/360
CCM:MMAA for money market Actual/Actual
CCM:MME0 for money market 30E/360
CCM:MMNL0 for money market Actual No Leap/360
CCM:MMNL5 for money market Actual No Leap/365
Default value: CCM:MMA0

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CapFloorStructure

Keyword Explanation

266

CFADJ

Cash Flow (Value) Adjustment {YES, NO}

CFADJ:YES to specify that the cash flow values are adjusted with the payment date
CFADJ:NO to specify that the cash flow values are not adjusted
Default value: CFADJ:NO

CLDR

Calendar parameter for expiry date and dividend date adjustments {calendars}
CLDR:calendars to assign one or more calendars used for moving dividend dates if they
fall on non-working days
Default value: CLDR:NULL (no date adjustment is made)

COLLAR

Specifies that the instrument structure defines a collar {no value}

COLLAR to specify a collar option

CONVBIAS

Specifies whether the convexity bias is made or not {YES, NO} (see the Notes section
below)
CONVBIAS:YES to make the adjustment
CONVBIAS:NO not to make the adjustment
Default value: CONVBIAS:NO

DMC

Date moving convention used when an expiry date or a dividend date falls on a non
working day {F, FOL, M, MOD, N, NONE, P, PRE}
DMC:F or DMC:FOL for moving the date to the following working day
DMC:M or DMC:MOD for moving the date to the following working day unless it causes the
date to be pushed into the next month (in this latter case, the last working day of the
month is used)
DMC:N or DMC:NONE for no date moving
DMC:P or DMC:PRE for moving the date to the preceding working day
Default value: DMC:F

FAD

First amortization date {DDMMMYY}

FAD:DDMMMYY where DDMMMYY is the first amortization date
Default value: No first amortization date defined

FIXING

Reset frequency of the forward rate of the option {i, where i is numeric} (see the Notes
section below)
FIXING:i to specify that the forward rate is reset i times during the lifetime of the option
Default value: FIXING:0

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Appendix A Extended Arguments

CapFloorStructure

Keyword Explanation

[email protected]

FLOOR

Specifies that the instrument structure defines a floor {no value}

FLOOR to specify a floor option

FRQ

Frequency of caplets, or floorlets {1, 12, 2, 4, A, M, Q, S}

FRQ:1 or FRQ:A for annual
FRQ:12 or FRQ:M for monthly
FRQ:4 or FRQ:Q for quarterly
FRQ:2 or FRQ:S for semi-annual
Default value: FRQ:4

KI

Knock in barrier flag {no value}

KI to specify a knock in or double knock in Barrier cap or floor
Default value: No barrier is defined

KO

Knockout barrier flag {no value}

KO to specify a knockout or double knockout Barrier cap or floor
Default value: No barrier is defined

PAYMENT

Payment time of the cash flow payoff {START, END} (see the Notes section below)
PAYMENT:START to specify that the payoff is received at the beginning of the associated
protection period
PAYMENT:END to specify that the payoff is received at the end of the associated
protection period
Default value: PAYMENT:END

REFDATE

Reference date for coupon date generation {MATURITY, ISSUE}

REFDATE:ISSUE to specify the issue date as the reference date
REFDATE:MATURITY to specify the maturity date as the reference date
Default value: REFDATE:MATURITY

RESET

Defines when the forward rate is reset {ADVANCE, ARREARS} (see the Notes section
below)
RESET:ADVANCE to specify that the forward rate is reset in advance
RESET:ARREARS to specify that the forward rate is reset in arrears
Default value: RESET:ADVANCE

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CdsStructure

CdsStructure
CdsStructure is used as argument in functions of the Adfin Credit module to define the structure of
a credit default swap.
CdsStructure is a string consisting of a series of parameters. Each set of parameters consists of a
keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

268

Keyword

Explanation

AMORT

Notional principal amortization pattern for amortizing swaps {DDMMMYY:i (where i is

numeric)}
Default value: The notional principal amount is fixed during the swap life

AOD

Specifies whether the accrued is paid at the credit event date or not {YES, NO} (see the
Notes section below)
AOD:YES means that the accrued is paid at the credit event date
AOD:NO means that the accrued is not paid at the credit event date
Default value: AOD:NO

ARND

Rounding mode of the accrued interest {NO} or {i (where i is numeric) : {UP, DOWN,
NEAR}}
ARND:NO if no rounding is requested
ARND:i:{UP,DOWN,NEAR} for rounding to the precision defined by i
Default value: ARND:NO if no rounding is specified
ARND:i:NEAR if i is specified

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Appendix A Extended Arguments

CdsStructure

[email protected]

Keyword

Explanation

CCM

Coupon calculation method {BB00, BBA0, BBA5, BBAA, BBE0, MM00, MMA0, MMA5, MMAA,
MME0, MMNL0, MMNL5, 00D, A0D, A5D, E0D, 00, A0, A5, AA, E0}
CCM:BB00 for bond 30/360
CCM:BBA0 for bond Actual/360
CCM:BBA5 for bond Actual/365
CCM:BBAA for bond Actual/Actual
CCM:BBE0 for bond 30E/360 ISMA
CCM:MM00 for money market 00/360
CCM:MMA5 for money market Actual/365
CCM:MMA0 for money market Actual/360
CCM:MMAA for money market Actual/Actual
CCM:MME0 for money market 30E/360
CCM:MMNL0 for money market Actual No Leap/360
CCM:MMNL5 for money market Actual No Leap/365
CCM:00D for effective 30/360 (day-based)
CCM:A0D for effective Actual/360 (day-based)
CCM:A5D for effective Actual/365 (day-based)
CCM:E0D for effective 30E/360 (day-based)
CCM:00 for effective 30/360 (period-based)
CCM:A0 for effective Actual/360 (period-based)
CCM:A5 for effective Actual/365 (period-based)
CCM:AA for effective Actual/Actual (period-based)
CCM:E0 for effective 30E/360 (period-based)
Default value: CCM:BBAA

CDSTYPE

Specifies the type of the credit default swap {AMERCDS, EURCDS}

CDSTYPE:AMERCDS to indicate that the credit default swap has an American exercise
mode
CDSTYPE:EURCDS to indicate that the credit default swap has a European exercise mode
Default value: CDSTYPE:AMERCDS

CFADJ

Cash Flow (Value) Adjustment{YES, NO}

CFADJ:YES for adjusting the cash flow value with the payment date
CFADJ:NO for not adjusting the cash flow values
Default value: CFADJ:NO

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CdsStructure

270

Keyword

Explanation

CLDR

Calendar for holiday management {calendar}

CLDR:calendar to assign the corresponding calendar style to the currency
Default value: CLDR:NULL (no date adjustment is made)

CPLAG

Contingent payment delay {iWD, where i is numeric} (see the Notes section below)
CPLAG:iWD to define the number of days that separate the credit event time from the
contingent payment time
Default value: CPLAG:0WD

CRND

Coupon rounding tick size {i (where i is numeric) (0.001=10E-3)}

CRND:i for rounding to the precision defined by i
Default value: CRND:NO

CUR

Currency parameter for currency swaps {currencies}

CUR:currency to assign the currency for the current leg
Default value: No currency is defined

DATED

Dated date {DDMMMYY}

DATED:DDMMMYY where DDMMMYY is the accrual start date for irregular coupons
Default value: No dated date is defined

DMC

Date moving convention used when an expiry date or a dividend date falls on a non
working day {F, FOL, M, MOD, N, NONE, P, PRE}
DMC:F or DMC:FOL for moving the date to the following working day
DMC:M or DMC:MOD for moving the date to the following working day unless it causes the
date to be pushed into the next month (in this latter case, the last working day of the
month is used)
DMC:N or DMC:NONE for no moving date
DMC:P or DMC:PRE for moving the date to the preceding working day
Default value: The value of the DMC keyword of the "IRS" category

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CdsStructure

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Keyword

Explanation

EMC

End-of-month convention used when the maturity date falls on the last day of a month
{D, DEF, L, LAST, S, SAME, L28}
EMC:D or EMC:DEF for the value in Default Settings
EMC:L or EMC:LAST for last
EMC:S or EMC:SAME for same
EMC:L28 to match Hong Kong bond requirements: They ignore the 29th of February for
cash flow payment. This affects semi-annual bonds maturing on the 31st of August.
Coupons are paid every 31st of August and every 28th of February. In case of a leap
year the cash flow is still paid the 28th and not the 29th
Default value: The value of the EMC keyword of the "IRS" category

FRCD

First Regular Coupon Date for odd first coupon {DDMMMYY}

FRCD:DDMMMYY where DDMMMYY is the first regular coupon date
Default value: No first regular coupon date defined

FRQ

Frequency of the coupon payments {i {28D, 91D, 182D,364D, 1, 2, 4, 12}}

FRQ:28D to define a coupon payment every 28 days from the maturity date
FRQ:91D to define a coupon payment every 91 days from the maturity date
FRQ:182D to define a coupon payment every 182 days from the maturity date
FRQ:364D to define a coupon payment every 364 days from the maturity date
FRQ:1 to define an annual coupon payment from the maturity date
FRQ:2 to define a semi-annual coupon payment from the maturity date
FRQ:4 to define a quarterly coupon payment from the maturity date
FRQ:12 to define a monthly coupon payment from the maturity date
FRQ:DDMMMYY:i to define a frequency of i from date DDMMMYY
Default value: FRQ:1

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CdsStructure

Keyword

Explanation

IC

Irregular first coupon type for asset swaps combined with bonds with an irregular first
coupon {L1, L1R, S1, S1P, S1R, NBC}
(the bond issue date must also be specified using DATED)
IC:L1 for long first coupon (first coupon date equal to second anniversary date)
IC:L1R for long first coupon with regular nominal value and starting accrued date equal
to first anniversary date (SPGB)
IC:S1 for short first coupon (first coupon date equal to first anniversary date)
IC:S1P for short first coupon with proportional value (BTAN)
IC:S1R for short first coupon with regular nominal value
IC:NBC for NBC first coupon
Default value: IC:S1

LBOTH

Swap attribute specification flag {no value}

LBOTH to specify that the following keywords apply to both legs
Default value: No default value is defined

LFIXED

Fixed leg attribute flag {no value}

LFIXED to specify that the following keywords apply to the fixed leg only
Default value: No default value is defined

LFLOAT

Floating leg attribute flag {no value}

LFLOAT to specify that the following keywords apply to the floating leg only
Default value: No default value is defined

LPAID

Paid leg attribute flag {no value}

LPAID to specify that the following keywords apply to the paid leg only
Default value: No default value is defined

LRCD

Last regular coupon date for odd last coupon {DDMMMYY, JGB}
LRCD:DDMMMYY where DDMMMYY is the last regular coupon date
LRCD:JGB to handle odd last coupons for JGBs automatically
Default value: All coupons are regular so LRCD has no meaning

LRECEIVED Received leg attribute flag {no value}

LRECEIVED to specify that the following keywords apply to the received leg only

Default value: No default value is defined

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Keyword

Explanation

LTYPE

Type of the current leg {FIXED, FLOAT}

LTYPE:FIXED to define that the current leg is a fixed leg
LTYPE:FLOAT to define that the current leg is a floating leg
Default value: No leg type is defined (mandatory keyword for both legs)

MDADJ

Maturity date adjustment {F, M, N, P}

MDADJ:F for Following
MDADJ:M for Modified Following
MDADJ:N for No maturity date adjustment
MDADJ:P for Preceding
Default value: MDADJ:N

NOTIONAL

Notional principal amount used for interest payments {i (where i is numeric)}

NOTIONAL:i for a notional principal equal to i units of currency
Default value: NOTIONAL:1

PDELAY

Payment delay {i, with i as integer}

PDELAY:i to apply a payment delay of i working days after the calculation period end
date
Default value: PDELAY:0

REFDATE

Reference date in cash flow dates generation {MATURITY, ISSUE}

REFDATE:ISSUE to use the issue date as reference date
REFDATE:MATURITY to use the maturity date as reference date
Default value: REFDATE:MATURITY

RND

Coupon rounding for accrued calculation {2, 3, 4, 5, 6, NO}

For backward compatibility reasons, this keyword is still supported
RND:2 for 2-decimal rounding
RND:3 for 3-decimal rounding
RND:4 for 4-decimal rounding
RND:5 for 5-decimal rounding
RND:6 for 6-decimal rounding
RND:NO for no rounding
Default value: RND:NO

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ConvMode

Keyword

Explanation

RP

Redemption price ratio {i (where i is numeric) (1=100%)}

RP:i for a ratio equal to i
Default value: RP:1 (for 100%)

RT

Reimbursement type {B, C{:i}, Sj{:i} where i is numeric (1=100%) and j from 1 to 8}
RT:B for bullet or in fine
RT:C for constant payments
RT:C:i for constant payments equal to i except for the last cash flow which is adjusted
RT:Sj for j series
RT:Sj:i for j series and constant payments equal to i except for the last cash flow
which is adjusted
Default value: RT:B

ConvMode
ConvMode is used as argument in functions of the Adfin Bonds module to define the so-called

deliverable bond oddities.

Depending on the type of the bond futures contract specified in the argument BondFutStructure,
the calculation of the conversion factor is or is not be impacted by bond oddities such as an
ex-dividend feature or an odd first coupon. If the calculation is not impacted, the ConvMode argument
should be left blank (empty string). If the calculation is impacted, the ConvMode argument should
contain relevant BondStructure and RateStructure keywords (generally CM, EY, IC, ISSUE, FRQ,
XD) to adjust the calculation with the deliverable bond oddities.

ConvStructure
ConvStructure is used as argument in functions of the Adfin Bonds module to define the structure
of a convertible bond.
ConvStructure is a string consisting of a series of parameters. Each set of parameters consists of a
keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

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All keywords of the Argument are used in ConvStructure. The following keywords have been
added:

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ConvStructure

Example

Keyword

Explanation

AOC

Flag to determine if the accrued interest is paid on conversion {YES, NO}

Default value: AOC:NO

CONVRATIO

Conversion ratio {DDMMYY:DDMMYY:i (where i is numeric)}

CONVRATIO:DDMMYY:DDMMYY:i to indicate that the conversion ratio is equal to i
between the two dates.
Default value: CbSettledate:CbMaturity:1

CROSS

Cross currency parameter {currency1currency2}

CROSS:currency1currency2 to define the underlying cross currency.
Default value: No default value

DIVTYPE

Dividend type {CONT, DISC, FIXED, PROP} (see the Notes section below)
DIVTYPE:CONT for continuous dividends
DIVTYPE:DISC for discounted dividends
DIVTYPE:PROP for proportional dividends
Default value: DIVTYPE:CONT

HURDLE

Soft calls management parameter {DDMMMYY:DDMMMYY:i:j}

HURDLE:DDMMMYY:DDMMMYY:i:j to indicate that the convertible bond can be
repurchased during this period at a price equal to (j*Face Value), if the stock price
exceeds (i*Face Value)
Default value: No default value

IOTYPE

Specifies the format of function inputs and outputs {CASH, PERCENT} (see the Notes
section below)
IOTYPE:CASH determines that inputs and outputs are expressed in their current
currency.
IOTYPE:PERCENT determines that inputs and outputs are expressed as a percentage
of the face value.
Default value: IOTYPE:PERCENT is the default value for all other bonds

CONVRATIO:01Jan00:01Jan01:1.2 means that the conversion period starts at 01Jan00 and

ends at 01JAN01, and the conversion ratio is equal to 1.2 between the two dates.

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CreditStructure

IOTYPE keyword

The IOTYPE keyword is used to describe the format of the following inputs and outputs in the Adfin
convertible functions
Functions

Inputs

Outputs

AdConvBdDeriv

Straight Value

AdConvCalcCpn

Accrued Interest and Next

Coupon Value

AdConvCashFlows

Coupon Values and Principal

AdConvImpliedVol

Price of the convertible bond

Equity Premium, Option
Premium, Total Premium,
Break-even, and Straight Value

AdConvPrice

Price of the convertible bond

AdConvYiel

CreditStructure
CreditStructure is used as argument in functions of the Adfin Credit module to define the structure

of the credit model of the credit default swap.

CreditStructure is a string consisting of a series of parameters. Each set of parameters consists

of a keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

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Keyword

Explanation

APPROX

Specifies whether the calibration of the Cox, Ingersoll, and Ross model uses the
approximated formula or not {YES, NO} (see the Notes section below)
APPROX:YES to use the approximated formula in the calibration of the Cox, Ingersoll,
and Ross model
APPROX:NO to use the exact formula in the calibration of the Cox, Ingersoll, and Ross
model
Default value: APPROX:YES

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CreditStructure

Keyword

Explanation

CREDITEVENT Specifies the rating, which corresponds to the credit event {i, where i is numeric} (see

the Notes section below)

CREDITEVENT:i to indicate that the instrument rating becomes the one in the ith
column at the credit event date
Default value: The default value is the rating, which corresponds to the default state

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IM

Interpolation method {CUBD, CUBR, LIN, LIX, LOG, VOL}

IM:CUBD for cubic spline discount factor interpolation
IM:CUBR for cubic spline rate interpolation
IM:LIN for linear interpolation without extrapolation
IM:LIX for linear interpolation with extrapolation
IM:LOG for loglinear interpolation
IM:VOL for linear interpolation on volatility curves
Default value: The value of the IM keyword of the "RATEMODEL" category

INSTTYPE

Credit model calibration {CDS, DF} (see the Notes section below)
INSTYPE:CDS to calibrate the model by using a credit default swap curve
INSTTYPE:DF to calibrate the model by using a credit zero-coupon curve
Default value: INSTTYPE:CDS

NBDAYS

Specifies the number of days per discrimination interval for pricing of American credit
default swaps {i, where i is numeric}
NBDAYS:i to specify that the discrimination interval is i days
Default value: NBDAYS:3

ND

Null date processing {DIS, ERR}

ND:DIS to discard null dates from the date array
ND:ERR to generate error messages for a null date in the date array
Default value: The value of the IM keyword of the "RATEMODEL" category

OBC

Out of boundary interpolation check {no value, NO, YES}

OBC or OBC:YES to verify if the date to interpolate is within the range of the date array
used (otherwise an error is returned)
OBC:NO to perform no check (an extrapolated value is returned if the date is out of the
array boundaries)
Default value: The value of the IM keyword of the "RATEMODEL" category

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CrossStructure

Keyword

Explanation

RATING

Issuing firm rating, expressed as the column number in the transition matrix {j, where
i is numeric} (see the Notes section below)
RATING:i to indicate that the instrument rating is the one of the ith column
Default value: The default value is the highest rating of the transition matrix

RECOVERY

Recovery rate value, expressed as a percentage {i, where i is numeric} (see the
Notes section below)
RECOVERY:i to indicate that the recovery rate is i, expressed as a percentage
Default value: RECOVERY:0

RISKMODEL

Type of the credit model {CIR, CURVE}

RISKMODEL:CIR to indicate that the credit model is provided by the Cox, Ingersoll, and
Ross model
RISKMODEL:CURVE to indicate that the credit model is provided by the credit event
probability curve
Default value: RISKMODEL:CURVE

CrossStructure
CrossStructure is used as argument in functions of the Adfin Forex & MM module. It defines the
underlying structure of a cross currency and is only used for the style table "CROSS".
CrossStructure is a string consisting of a series of parameters. Each set of parameters consists of
a keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

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CrossStructure

Structure

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Keyword

Explanation

CRDEC

Cross rate decimals {0, 1, 2, 3, 4, 5, 6, 7, 8, 9}

CRDEC:0 for 0 decimal
CRDEC:1 for 1 decimal
CRDEC:2 for 2 decimals
CRDEC:3 for 3 decimals
CRDEC:4 for 4 decimals
CRDEC:5 for 5 decimals
CRDEC:6 for 6 decimals
CRDEC:7 for 7 decimals
CRDEC:8 for 8 decimals
CRDEC:9 for 9 decimals
Default value: No default value defined

FROM

Date calculation origin for FxCalcPeriod {MMSPOT, MMTRADE, FXSPOT, FXTRADE}

FROM:MMSPOT to use the spot date as origin and the Money market spot offset
FROM:MMTRADE to use the trading date as origin and the Money market spot offset
FROM:FXSPOT to use the spot date as origin and the Forex market spot offset
FROM:FXTRADE to use the trading date as origin and the Forex market spot offset
Default value: FROM:FXTRADE

QU

Quotation unit{1, 10, 100, 1000, 10000}

QU:1 for 1
QU:10 for 10
QU:100 for 100
QU:1000 for 1000
QU:10000 for 10000
Default value: No default value defined

QM1

Quotation mode of the first currency versus the base currency when different from USD
{DIRECT, INDIRECT}
QM1:DIRECT for direct quotation
QM1:INDIRECT for indirect quotation
Default value: QM1:DIRECT

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CsStructure

Keyword

Explanation

QM2

Quotation mode of the second currency versus the base currency when different from
USD {DIRECT, INDIRECT}
QM2:DIRECT for direct quotation
QM2:INDIRECT for indirect quotation
Default value: QM2:DIRECT

SPDEC

Swap point decimals {0, 1, 2, 3, 4, 5, 6, 7, 8, 9}

SPDEC:0 for 0 decimal
SPDEC:1 for 1 decimal
SPDEC:2 for 2 decimals
SPDEC:3 for 3 decimals
SPDEC:4 for 4 decimals
SPDEC:5 for 5 decimals
SPDEC:6 for 6 decimals
SPDEC:7 for 7 decimals
SPDEC:8 for 8 decimals
SPDEC:9 for 9 decimals
Default value: No default value defined

SWPR

Swap point ratio {1, 10, 100, 1000, 10000}

SWPR:1 for 1
SWPR:10 for 10
SWPR:100 for 100
SWPR:1000 for 1000
SWPR:10000 for 10000
Default value: No default value defined

CsStructure
CsStructure is used as argument in functions of the Adfin Swaps module to define the structure of
a currency swap.
CsStructure is a string consisting of a series of parameters. Each set of parameters consists of a
keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

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CsStructure

Structure

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Keyword

Explanation

AMORT

Notional principal amortization pattern for amortizing swaps {DDMMMYY:i (where i is

numeric)}
AMORT:DDMMMYY:i to indicate that i are redeemed at the date DDMMMYY
Default value: The notional principal amount is fixed during the swap life

CCM

Coupon calculation method {BB00, BBA0, BBA5, BBAA, BBE0, MM00, MMA0, MMA5, MMAA,
MME0, MMNL0, MMNL5, 00D, A0D, A5D, E0D, 00, A0, A5, AA, E0}
CCM:BB00 for bond 30/360
CCM:BBA0 for bond Actual/360
CCM:BBA5 for bond Actual/365
CCM:BBAA for bond Actual/Actual
CCM:BBE0 for bond 30E/360 ISMA
CCM:MM00 for money market 00/360
CCM:MMA5 for money market Actual/365
CCM:MMA0 for money market Actual/360
CCM:MMAA for money market Actual/Actual
CCM:MME0 for money market 30E/360
CCM:MMNL0 for money market Actual No Leap/360
CCM:MMNL5 for money market Actual No Leap/365
CCM:00D for effective 30/360 (day-based)
CCM:A0D for effective Actual/360 (day-based)
CCM:A5D for effective Actual/365 (day-based)
CCM:E0D for effective 30E/360 (day-based)
CCM:00 for effective 30/360 (period-based)
CCM:A0 for effective Actual/360 (period-based)
CCM:A5 for effective Actual/365 (period-based)
CCM:AA for effective Actual/Actual (period-based)
CCM:E0 for effective 30E/360 (period-based)
Default value: CCM:BBE0 for the fixed leg, or CCM:MMA0 for the floating leg

CFADJ

Cash Flow (Value) Adjustment {YES, NO}

CFADJ:YES for adjusting the cash flow value with the payment date
CFADJ:NO for not adjusting the cash flow values
Default value: CFADJ:NO

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282

Keyword

Explanation

CLDR

Calendar parameter for coupon date adjustments {calendars}

CLDR:calendars to assign one or more calendars used for moving coupon dates if they
fall on non-working days
Default value: CLDR:NULL (no date adjustment is made)

CROSS

Cross-currency parameter for currency swaps {cross-currencies}

CROSS:crosscurrency to define the underlying cross-currency
Default value: No cross-currency is defined (mandatory keyword common to both
legs)

CUR

Currency parameter for currency swaps {currencies}

CUR:currency to assign the currency for the current leg
Default value: No currency is defined (mandatory keyword for both legs)

DATED

Dated date for asset swaps combined with bonds with an irregular first coupon
{DDMMMYY}
DATED:DDMMMYY where DDMMMYY is the accrual start date for irregular coupons
Default value: No dated date is defined

DMC

Date moving convention used when a calculated date falls on a non-working day {F,
FOL, M, MOD, N, NONE, P, PRE}
DMC:F or DMC:FOL for moving the date to the following working day
DMC:M or DMC:MOD for moving the date to the following working day unless it causes the
date to be pushed into the next month (in this latter case, the last working day of the
month is used)
DMC:N or DMC:NONE for no moving
DMC:P or DMC:PRE for moving the date to the preceding working day
Default value: The value of the DMC keyword of the "IRS" category

EMC

End-of-month convention used when a calculation date falls on the last day of a month
{L, LAST, S, SAME}
EMC:L or EMC:LAST for setting the calculated date to the last working day
EMC:S or EMC:SAME for setting the calculated date to the same day (in this latter case,
the date may be moved according to the date moving convention if it is a non-working
day)
Default value: The value of the EMC keyword of the "IRS" category

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CsStructure

Keyword

Explanation

FRQ

Coupon frequency {0, 1, 12, 2, 4, Q, M, S, Y}

FRQ:0 for no coupon (in-fine)
FRQ:1 or FRQ:Y for yearly
FRQ:2 or FRQ:S for semi-annual
FRQ:4 or FRQ:Q for quarterly
FRQ:12 or FRQ:M for monthly
Default value: FRQ:1 for the fixed leg, or FRQ:4 for the floating leg

IC

Irregular first coupon type for asset swaps combined with bonds with an irregular first
coupon {L1, L1R, S1, S1P, S1R, NBC}
(the bond issue date must also be specified using DATED)
IC:L1 for long first coupon (first coupon date equal to second anniversary date)
IC:L1R for long first coupon with regular nominal value and starting accrued date equal
to first anniversary date (SPGB)
IC:S1 for short first coupon (first coupon date equal to first anniversary date)
IC:S1P for short first coupon with proportional value (BTAN)
IC:S1R for short first coupon with regular nominal value
IC:NBC for NBC fist coupon
Default value: IC:S1 (this default value does not affect the first fixed cash flow unless
the dated date is not equal to the CS start date)

LBOTH

Swap attribute specification flag {no value}

LBOTH to specify that the following keywords apply to both legs
Default value: No default value is defined

LPAID

Paid leg attribute flag {no value}

LPAID to specify that the following keywords apply to the paid leg only
Default value: No default value is defined

LRECEIVED Received leg attribute flag {no value}

LRECEIVED to specify that the following keywords apply to the received leg only

Default value: No default value is defined

LTYPE

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Type of the current leg {FIXED, FLOAT}

LTYPE:FIXED to define that the current leg is a fixed leg
LTYPE:FLOAT to define that the current leg is a floating leg
Default value: No leg type is defined (mandatory keyword for both legs)

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CurStructure

Keyword

Explanation

NOTIONAL

Notional principal amount used for interest payments {i (where i is numeric)}

NOTIONAL:i for a notional principal equal to i units of currency
Default value: NOTIONAL:1 (all interest payments are returned in percentage i.e. for a
principal equal to one unit of currency)

PDELAY

Payment delay {i, with i as integer}

PDELAY:i to apply a payment delay of i working days after the calculation period end
date
Default value: PDELAY:0

PEX

Notional principal exchange parameter {BOTH, END, NONE, START}

PEX:BOTH to exchange the notional principal at the swap start date and maturity date
PEX:END to exchange the notional principal at the swap maturity date only
PEX:NONE for no exchange of the notional principal
PEX:START to exchange the notional principal at the swap start date only
Default value: PEX:BOTH

CurStructure
CurStructure is used as argument in functions of the Adfin Forex & MM module. It defines the
underlying structure of a currency and is only used for the style table "CUR".
CurStructure is a string consisting of a series of parameters. Each set of parameters consists of a
keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

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284

Keyword

Explanation

CLDR

Calendar for holiday management {calendar}

CLDR:calendar to assign the corresponding calendar style to the currency
Default value: CLDR:NULL (no date adjustment is made)

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DefStructure

Keyword

Explanation

DTM

Number of working days from trade date to MM spot date {0, 1, 2, 3, 4, 5}

DTM:0 for 0 working day
DTM:1 for 1 working day
DTM:2 for 2 working days
DTM:3 for 3 working days
DTM:4 for 4 working days
DTM:5 for 5 working days
Default value: No default value is defined

DTS

Number of working days from trade date to Forex spot date {0, 1, 2, 3, 4, 5}
DTS:0 for 0 working day
DTS:1 for 1 working day
DTS:2 for 2 working days
DTS:3 for 3 working days
DTS:4 for 4 working days
DTS:5 for 5 working days
Default value: No default value is defined

QM

Quotation mode versus the USD {DIRECT, INDIRECT}

QM:DIRECT for direct quotation
QM:INDIRECT for indirect quotation
Default value: No default value is defined

YB

Money market year basis {360, 365}

YB:360 for 360 days
YB:365 for 365 days
Default value: No default value is defined

DefStructure
DefStructure is used as argument to define the default settings that apply within one Adfin default

settings category specified by the argument DefCategory .

DefStructure is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

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DefStructure

Following are the descriptions of DefStructure argument for each category.

Structure for
BOND Category

Structure for
CLDR Category

286

The attributes listed below must be used with the DefCategory argument set to "BOND".
Keyword

Explanation

CFADJ

Cash Flow (Value) Adjustment {YES, NO}

CFADJ:YES for adjusting the cash flow value with the payment date
CFADJ:NO for not adjusting the cash flow values

DMC

Date moving convention used when an expiry date or a dividend date falls on a non
working day {F, FOL, M, MOD, N, NONE, P, PRE}
DMC:F or DMC:FOL for moving the date to the following working day
DMC:M or DMC:MOD for moving the date to the following working day unless it causes the
date to be pushed into the next month (in this latter case, the last working day of the
month is used)

EMC

End-of-month convention used when the maturity date falls on the last day of a month
{D, DEF, L, LAST, S, SAME, L28}
EMC:D or EMC:DEF for the value in Default Settings
EMC:L or EMC:LAST for Last
EMC:S or EMC:SAME for Same
EMC:L28 to match Hong Kong bond requirements: They ignore the 29th of February for
cash flow payment. This particularity affects semi-annual bonds maturing on the 31st
of August. Coupons are paid every 31st of August and every 28th of February. In case
of a leap year the cash flow is still paid the 28th and not the 29th

PX

Price parameter{C, G}
PX:C for clean price
PX:G for gross price

The attributes listed below must be used with the DefCategory argument set to "CLDR".
Keyword

Explanation

YBACKWARD

Number of years before current year used for holiday calculation {i with i as integer}
YBACKWARD:i for calculating holidays from i years backward

YFORWARD

Number of years after current year used for holiday calculation {i with i as integer}
YFORWARD:i for calculating holidays up to i years forward

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Appendix A Extended Arguments

DefStructure

Structure for
CROSS Category

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The attributes listed below must be used with the DefCategory argument set to "CROSS".
Keyword

Explanation

CRDEC

Cross rate decimals {0, 1, 2, 3, 4, 5, 6, 7, 8, 9}

CRDEC:0 for 0 decimal
CRDEC:1 for 1 decimal
CRDEC:2 for 2 decimals
CRDEC:3 for 3 decimals
CRDEC:4 for 4 decimals
CRDEC:5 for 5 decimals
CRDEC:6 for 6 decimals
CRDEC:7 for 7 decimals
CRDEC:8 for 8 decimals
CRDEC:9 for 9 decimals

QM1

Quotation mode of the first currency versus the base currency when different from
USD {DIRECT, INDIRECT}
QM1:DIRECT for direct quotation
QM1:INDIRECT for indirect quotation

QM2

Quotation mode of the second currency versus the base currency when different from
USD {DIRECT, INDIRECT}
QM2:DIRECT for direct quotation
QM2:INDIRECT for indirect quotation

QU

Quotation unit {1, 10, 100, 1000, 10000}

QU:1 for 1
QU:10 for 10
QU:100 for 100
QU:1000 for 1000
QU:10000 for 10000

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Keyword

Explanation

SPDEC

Swap point decimals {0, 1, 2, 3, 4, 5, 6, 7, 8, 9}

SPDEC:0 for 0 decimal
SPDEC:1 for 1 decimal
SPDEC:2 for 2 decimals
SPDEC:3 for 3 decimals
SPDEC:4 for 4 decimals
SPDEC:5 for 5 decimals
SPDEC:6 for 6 decimals
SPDEC:7 for 7 decimals
SPDEC:8 for 8 decimals
SPDEC:9 for 9 decimals

SWPR

Swap point ratio {1, 10, 100, 1000, 10000}

SWPR:1 for 1
SWPR:10 for 10
SWPR:100 for 100
SWPR:1000 for 1000
SWPR:10000 for 10000

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Appendix A Extended Arguments

DefStructure

Structure for
CUR Category

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The attributes listed below must be used with the DefCategory argument set to "CUR".
Keyword

Explanation

DTM

Number of working days from trade date to MM spot date {0, 1, 2, 3, 4, 5}

DTM:0 for 0 working day
DTM:1 for 1 working day
DTM:2 for 2 working days
DTM:3 for 3 working days
DTM:4 for 4 working days
DTM:5 for 5 working days

DTS

Number of working days from trade date to Forex spot date {0, 1, 2, 3, 4, 5}
DTS:0 for 0 working day
DTS:1 for 1 working day
DTS:2 for 2 working days
DTS:3 for 3 working days
DTS:4 for 4 working days
DTS:5 for 5 working days

QM

Quotation mode versus the USD {DIRECT, INDIRECT}

QM:DIRECT for direct quotation
QM:INDIRECT for indirect quotation

YB

Money market year basis {360, 365}

YB:360 for 360 days
YB:365 for 365 days

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DefStructure

Structure for
DATE Category

Structure for
FORMULA
Category

The attributes listed below must be used with the DefCategory argument set to "DATE".
Keyword

Explanation

DATEFMT

Date format for structure keywords {DMY, MDY, SYS, YMD}

DATEFMT:DMY for the DD/MM/YY format
DATEFMT:MDY for the MM/DD/YY format
DATEFMT:SYS for the system format
DATEFMT:YMD for the YY/MM/DD format

YPIVOT

Pivotal year between 19xx and 20xx for years specified with 2 digits {i with i from 0 to
100}
YPIVOT:i with i different from 100 for defining 31-Dec-(i-1) = 31-Dec-20(i-1) and
01-Jan-(i) = 01-jan-19(i)
YPIVOT:100 for defining a moving pivotal year equal to i = (current year + 50) i.e.
having 31-Dec-(i-1) = 31-Dec-20(i-1) and 01-Jan-(i) = 01-jan-19(i)

The attributes listed below must be used with the DefCategory argument set to "FORMULA".
Keyword

Explanation

CONV

Convexity {MIDDLE, VOL}

DUR

Calculation method of the duration {MIDDLE, RIGHT}

MATCORREC Type of maturity factor calculation {NO, YES}

TED
MATCORRECTED:NO for a day based maturity factor calculation (Adfin Analytics 2.50 and

earlier)
MATCORRECTED:YES for a period based maturity factor calculation

290

NORMAL

Type of normal distribution {3, 6, HULL}

NORMAL:3 for a 1.0E-3 precision (Adfin Analytics 2.50 and earlier)
NORMAL:6 for a 1.0E-6 precision (Adfin Analytics 3.50)
NORMAL:HULL for the Hull algorithm

PVBP

Calculation method of PVBP {MIDDLE, RIGHT}

VOL

Calculation method of the volatility {MIDDLE, RIGHT}

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Appendix A Extended Arguments

DefStructure

Structure for IDX

Category

Structure for IRS

Category

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The attributes listed below must be used with the DefCategory argument set to "IDX".
Keyword

Explanation

AVG

Index compounding method {ARI, CMP, MCA, NONE}

AVG:ARI for arithmetic average
AVG:CMP for daily compounded average
AVG:MCA for monthly compounded average
AVG:NONE for no compounding method

PERIOD

Index calculation period {ON, TN}

PERIOD:ON for overnight calculation
PERIOD:TN for Tom/Next calculation

RND

Rounding decimals for the compounded settlement rate calculation {0, 1, 2, 3, 4, 5, 6}

RND:0 for 0-decimal rounding
RND:1 for 1-decimal rounding
RND:2 for 2-decimal rounding
RND:3 for 3-decimal rounding
RND:4 for 4-decimal rounding
RND:5 for 5-decimal rounding
RND:6 for 6-decimal rounding

YB

Money market year basis {360, 365}

YB:360 for a 360-day year
YB:365 for a 365-day year

The attributes listed below must be used with the DefCategory argument set to "IRS".
Keyword

Explanation

CFADJ

Cash Flow (Value) Adjustment {YES, NO}

CFADJ:YES for adjusting the cash flow value with the payment date
CFADJ:NO for not adjusting the cash flow values

DMC

Date moving convention used when the calculated date falls on a non-working day {F,
FOL, M, MOD, N, NONE, P, PRE}
DMC:F or DMC:FOL for Following
DMC:M or DMC:MOD for Modified Following
DMC:N or DMC:NONE for None
DMC:P or DMC:PRE for Preceding

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DefStructure

Structure for
MMFUTURE
Category

Keyword

Explanation

EMC

End-of-month convention used when the calculation date falls on the last day of a
month {L, LAST, S, SAME}
EMC:L or EMC:LAST for Last
EMC:S or EMC:SAME for Same

PAID

Type of the paid leg {FIXED, FLOAT}

PAID:FIXED to define that the fixed rate is paid (and the floating rate received)
PAID:FLOAT to define that the floating rate is paid (and the fixed rate received)

The attributes listed below must be used with the DefCategory argument set to "MMFUTURE".
Keyword

Explanation

NFVP

Next fixing validity period {i, with i as integer}

NFVP:i to use the next fixing for a period of i days before the fixing date

PFVP

Previous fixing validity period {i, with i as integer}

PFVP:i to use the previous fixing for a period of i days after the fixing date

YB

Money market year basis {360, 365}

YB:360 for 360 days
YB:365 for 365 days

Structure for
RATEMODEL
Category

292

The attributes listed below must be used with the DefCategory argument set to "RATEMODEL".
Keyword

Explanation

CLDRADJ

Cash flow date adjustment according to a calendar {NO, NULL, WE, CLDR}
CLDRADJ:NO for analytic pricing (i.e. from the bond structure)
CLDRADJ:NULL for cash flow pricing using the calendar NULL
CLDRADJ:WEEKEND for cash flow pricing using the calendar WEEKEND
CLDRADJ:CLDR for cash flow pricing using the calendar defined by the keyword CLDR (if
no calendar is defined, CLDRADJ:WEEKEND is used)

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Appendix A Extended Arguments

DefStructure

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Keyword

Explanation

DCB

Day count basis {00, A0, A0D, A25D, A5, A5D, AA, E0, JAP, NL0, NL5, W252}
DCB:00 for 30/360 (period-based calculation)
DCB:A0 for Actual/360 (period-based calculation)
DCB:A0D for Actual/360 (day-based calculation)
DCB:A25D for Actual/365.25 (day-based calculation)
DCB:A5 for Actual/365 (period-based calculation)
DCB:A5D for Actual/365 (day-based calculation)
DCB:AA for Actual/Actual (period-based calculation)
DCB:E0 for 30E/360 ISMA (period-based calculation)
DCB:JAP for Japanese (A5 or A5 + 1 day for first coupon)
DCB:NL0 for Actual No Leap/360
DCB:NL5 for Actual No Leap/365
DCB:W252 for Actual Working days/252

EY

Equivalent yield parameter {1, 12, 182D, 2, 28D, 364D, 4, 91D, M, Q, S, Y, FRQ}
EY:1 or EY:Y for yearly
EY:12 or EY:M for monthly
EY:182D for a compounding every 182 days
EY:2 or EY:S for semi-annual
EY:28D for a compounding every 28 days
EY:364D for a compounding every 364 days
EY:4 or EY:Q for quarterly
EY:91D for a compounding every 91 days
EY:FRQ for a compounding defined by the FRQ keyword in the BondStructure

IM

Interpolation method {CUBD, CUBR, LIN, LIX, LOG, VOL}

IM:CUBD for cubic spline discount factor interpolation
IM:CUBR for cubic spline rate interpolation
IM:LIN for linear interpolation without extrapolation
IM:LIX for linear interpolation with extrapolation
IM:LOG for loglinear interpolation
IM:VOL for linear interpolation on volatility curves

ND

Null date processing {DIS, ERR}

ND:DIS to discard null dates from the date array
ND:ERR to generate error messages for a null date in the date array

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Keyword

Explanation

OBC

Out of boundary interpolation check {no value, NO, YES}

OBC or OBC:YES to verify if the date to interpolate is within the range of the date array
used (otherwise an error is returned)
OBC:NO to perform no check (an extrapolated value is returned if the date is out of the
array boundaries)

RATEFRQ

Compounding frequency parameter {1, 12, 28D, 182D, 2, 28D, 182D, 364D, 4, 91D, M, Q,
S, Y, ZERO, EY, FRQ}
RATEFRQ:1 or RATEFRQ:Y for yearly
RATEFRQ:12 or RATEFRQ:M for monthly
RATEFRQ:182D for a compounding every 182 days
RATEFRQ:2 or RATEFRQ:S for semi-annual
RATEFRQ:28D for a compounding every 28 days
RATEFRQ:182D for a compounding every 182 days
RATEFRQ:364D for a compounding every 364 days
RATEFRQ:4 or RATEFRQ:Q for quarterly
RATEFRQ:91D for a compounding every 91 days
RATEFRQ:ZERO no compounding
RATEFRQ:EY for compounding defined by the EY keyword
RATEFRQ:FRQ for compounding defined by the FRQ keyword in the BondStructure

RATETYPE

Yield type {CMP, CONT, DISC, MM, MMB, MMM, MMP, TRE, SIMPLEJAP, CMPJAP}
RATETYPE:CMP for Actual
RATETYPE:CONT for continuous yield/rate
RATETYPE:DISC for discounted yield/rate
RATETYPE:MM for Money Market yield/rate
RATETYPE:MMB for Money Market Bullet
RATETYPE:MMM for Money Market Medium
RATETYPE:MMP for Money Market Proceed
RATETYPE:MMR for Money Market Direct Discounting
RATETYPE:TRE for US bills Treasury
RATETYPE:SIMPLEJAP for simple yield/rate
RATETYPE:CMPJAP for compounded yield/rate

ZCTYPE

Zero-coupon yield curve type {DF, RATE}

ZCTYPE:DF to use discount factors
ZCTYPE:RATE to use zero-coupon rates

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Appendix A Extended Arguments

DeMode Argument for DeHistory

Structure for
XLMODE
Category

The attributes listed below must be used with the DefCategory argument set to "XLMODE".
Keyword

Explanation

LAY

Layout parameter for the array orientation {H, HOR, V, VER}

LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation

DeMode Argument for DeHistory

The DeMode argument of DeHistory is used to specify the data source, to format results and to
specify whether data is refreshed automatically.
DeMode is a string made up of a series of parameters, each one consisting of a keyword possibly

followed by a colon (":") and the value of the parameter. Spaces should be used to separate the
parameters in the string.

Structure

[email protected]

Keyword

Description

CTU

Cells To Update keyword specifies which cells to update when the

Update action is triggered, using DeUpdate on page 230:
CTU:ALL means that all cells are updated
CTU:CHANGED means that only changed cells are updated
Default value: CTU:CHANGED

DT

Specifies the date type for time series data provided by the Equity and
Treasury sources:
DT:D retrieves only days with values
DT:AD retrieves data for every day
DT:WD retrieves only weekdays (for Price History data)
Default value: DT:D

HEADER

Returned header:
HEADER:YES specifies that headers are returned
HEADER:NO specifies that no header is returned
Default value: HEADER:NO

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DeMode Argument for DeHistory

Keyword

Description

IDFM

Specifies how invalid values are replaced:

IDFM:NA replaces any invalid data with #N/A
IDFM:NAND replaces any invalid data with #N/A ND
IDFM:ZERO replaces any invalid data with zeros
IDFM:NEXT replaces any invalid data with the next valid piece of data
IDFM:PREVIOUS replaces any invalid data with the previous valid piece
of data
Default value: IDFM:NA (if IDR:FILL is specified)

IDR

Specifies the handling of the timestamp data sequence, which contains

invalid data:
IDR:NONE does nothing
IDR:SKIP removes rows containing invalid data
IDR:FILL fills rows that contain invalid data according to the IDFM
keyword
Default value: IDR:NONE

IDZ

Invalid Data Zero keyword determines whether zero values are invalid:
IDZ:YES means that zero values are invalid
IDZ:NO means that zero values are not invalid
Default value: IDZ:NO

LAY

Specifies the layout of the array:

LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: LAY:HOR

NODATE

Specifies that columns containing dates are ignored:

NODATE:YES
NODATE:NO
Default value: NODATE:NO

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Appendix A Extended Arguments

DeMode Argument for DeHistory

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Keyword

Description

NULL

Specifies how to handle empty rows in a time list:

NULL:SKIP erases any empty rows of data
NULL:REPEAT replaces an empty row with the previous one
NULL:NA replaces any NULL data with #N/A
NULL:NAND replaces any NULL data with #N/A ND
NULL:NIL puts a zero in the cell for any NULL data
Default value: NULL:SKIP

PRIORITY

Establishes a priority for the next request of the object:

PRIORITY:HIGH for highest priority
PRIORITY:MEDIUM for medium priority
PRIORITY:LOW for lowest priority
Default value: PRIORITY:LOW

RECALL

Specifies the update frequency:

RECALL:nS provides an update every n seconds (S is optional)
RECALL:nM provides an update every n minutes
RECALL:nH provides an update every n hours
RECALL:NO provides no update
RECALL:AUTO provides automatic updates
Default value: RECALL:NO

REFRESH

Specifies whether data is refreshed:

REFRESH:YES ensures that data is refreshed automatically every 24
hours
REFRESH:NO retrieves data that can only be refreshed manually
Default value: REFRESH:NO

RET

Specifies the size of the array returned by array functions:

RET:Ai with i from 1 to ArraySize to get the i first rows of the default
array (only values)

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DeMode Argument for DeHistory

Keyword

Description

SOURCE

Defines the data source to which you address your requests:

SOURCE:EQUITY retrieves equity data from the Reuters Securities
3000 database
SOURCE:TREASURY retrieves bond data from the Reuters Treasury
3000 database
SOURCE:DBU retrieves data from the DBU server
Default value: No default value is defined

SORT

Specifies the order of retrieved data:

SORT:ASC for an ascending order when data is retrieved from Equity
and Treasury databases
SORT:DESC for a descending order when data is retrieved from DBU
server
Default value: SORT:ASC

TIMEOUT

Specifies the maximum amount of time allowed following the issuing of a

request before its cancellation. For example, TIMEOUT:30 allows 30
seconds to elapse before the request is cancelled. If the timeout value is
0, no timeout control is applied.
Default value: TIMEOUT:0

TITLE

Specifies whether results include full column names rather than the
abbreviated code names that appear when HEADER is used:

TITLE:YES
TITLE:NO

Default value: No TITLE

TRIM

Specifies the space trimming for retrieved data of type string:

TRIM:YES
TRIM:NO

Default value: TRIM:NO

TSREPEAT

298

Specifies whether a timestamp synchronization is used between the

retrieved data of several instruments:
TSREPEAT:YES means that time series data is not synchronized
TSREPEAT:NO means that time series data is synchronized
Default value: TSREPEAT:YES

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Appendix A Extended Arguments

DeMode Argument for DeList

DeMode Argument for DeList

The DeMode argument is used to specify data source, to format result and to specify whether or not
data or to be refreshed automatically each day.
DeMode is a string made up of a series of parameters, each one consisting of a keyword possibly

followed by a colon (":") and the value of the parameter. Spaces should be used to separate the
parameters in the string.

Structure

[email protected]

Keyword

Description

CTU

CTU (Cells To Update) specifies which cells to update when the Update
action is triggered with DeUpdate on page 230:
CTU:ALL means that all cells will be updated
CTU:CHANGED means that only changed cells will be updated
Default value: CTU:CHANGED

HEADER

Returned header:
HEADER:YES to specify that headers are returned
HEADER:NO to specify that no header is returned
Default value: HEADER:NO

LAY

Layout parameter for the array orientation:

LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: LAY:HOR

NULL

Specifies how to handle empty rows in a time list returned with the
DeHistory on page 228:
NULL:SKIP erases any empty rows of data
NULL:REPEAT replaces an empty row with the previous one
NULL:NA replaces any NULL data with #N/A
NULL:NAND replaces any NULL data with #N/A ND
NULL:NIL puts a zero in the cell for any NULL data
Default value: NULL:SKIP

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DeMode Argument for DeList

Keyword

Description

PRIORITY

Establishes a priority for the object's next request:

PRIORITY:HIGH highest priority
PRIORITY:MEDIUM medium priority
PRIORITY:LOW lowest priority
Default value: PRIORITY:LOW

REFRESH

REFRESH:NO retrieves data that can only be refreshed manually

REFRESH:YES ensures that data is refreshed automatically every 24
hours, provided that Daily Refresh Activated is selected in the Reference
Data Engine Settings dialog for Equities or Treasury.
The Global Refresh property is not provided in the DBU settings dialog
box.
Default value: REFRESH:NO

RET

Return value parameter to shorten or lengthen the array of data returned

by array functions:
RET:Ai with i from 1 to ArraySize to get the i first rows of the default
array (only values)

SOURCE

Defines the data source to which requests are addressed:

SOURCE:EQUITY retrieves equity data from the Reuters Securities
3000 database
SOURCE:TREASURY retrieves bond data from the Reuters Treasury
3000 database
Default value: No default value is defined

TIMEOUT

The maximum amount of time allowed following the issuing of a request

before its cancellation. This time is measured in seconds. For example,
TIMEOUT:30 allows 30 seconds to elapse before the request is cancelled.
If the timeout value is 0, no timeout control is applied.
Default value: TIMEOUT:0

TITLE

If TITLE (or TI) is present in the DeMode argument string, results include
full column names rather than the abbreviated code names that appear
when HEADER is specified:

TITLE:YES
TITLE:NO

Default value: No TITLE

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Appendix A Extended Arguments

DeMode Argument for DeLookup

Keyword

Description

TRIM

Space trimming for string data retrieved:

TRIM:YES
TRIM:NO

Default value: TRIM:NO

DeMode Argument for DeLookup

The DeMode argument is used to specify data source, to format result and to specify whether or not
data or to be refreshed automatically each day.
DeMode is a string made up of a series of parameters, each one consisting of a keyword possibly

followed by a colon (":") and the value of the parameter. Spaces should be used to separate the
parameters in the string.

Structure

[email protected]

Keyword

Description

CTU

CTU (Cells To Update) specifies which cells to update when the Update
action is triggered with DeUpdate on page 230:
CTU:ALL means that all cells will be updated
CTU:CHANGED means that only changed cells will be updated
Default value: CTU:CHANGED

HEADER

Returned header:
HEADER:YES to specify that headers are returned
HEADER:NO to specify that no header is returned
Default value: HEADER:NO

LAY

Layout parameter for the array orientation:

LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: LAY:HOR

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DeMode Argument for DeLookup

Keyword

Description

NULL

Specifies how to handle empty rows in a time list returned with the
DeHistory on page 228:
NULL:SKIP erases any empty rows of data
NULL:REPEAT replaces an empty row with the previous one
NULL:NA replaces any NULL data with #N/A
NULL:NAND replaces any NULL data with #N/A ND
NULL:NIL puts a zero in the cell for any NULL data
Default value: NULL:SKIP

PRIORITY

Establishes a priority for the object's next request:

PRIORITY:HIGH highest priority
PRIORITY:MEDIUM medium priority
PRIORITY:LOW lowest priority
Default value: PRIORITY:LOW

REFRESH

REFRESH:NO retrieves data that can only be refreshed manually

REFRESH:YES ensures that data is refreshed automatically every 24

hours, provided that Daily Refresh Activated is selected in the

Reference Data Engine Settings dialog for Equities or Treasury
The Global Refresh property is not provided in the DBU settings
dialog box.
Default value: REFRESH:NO

302

RET

Return value parameter to shorten or lengthen the array of data returned

by array functions:
RET:Ai with i from 1 to ArraySize to get the i first rows of the default
array (only values)

SOURCE

Defines the data source to which requests are addressed:

SOURCE:EQUITY retrieves equity data from the Reuters Securities
3000 database
SOURCE:TREASURY retrieves bond data from the Reuters Treasury
3000 database
Default value: No default value is defined

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Appendix A Extended Arguments

DeMode Argument for DeQuery

Keyword

Description

TIMEOUT

The maximum amount of time allowed following the issuing of a request

before its cancellation. This time is measured in seconds. For example,
TIMEOUT:30 allows 30 seconds to elapse before the request is cancelled.
If the timeout value is 0, no timeout control is applied.
Default value: TIMEOUT:0

TITLE

If TITLE (or TI) is present in the DeMode argument string, results include
full column names rather than the abbreviated code names that appear
when HEADER is specified:

TITLE:YES
TITLE:NO

Default value: No TITLE

TRIM

Space trimming for string data retrieved:

TRIM:YES
TRIM:NO

Default value: TRIM:NO

DeMode Argument for DeQuery

The DeMode argument is used to specify data source, to format result and to specify whether or not
data or to be refreshed automatically each day.
DeMode is a string made up of a series of parameters, each one consisting of a keyword possibly

followed by a colon (":") and the value of the parameter. Spaces should be used to separate the
parameters in the string.

Structure

Keyword

Description

CTU

CTU (Cells To Update) specifies which cells to update when the Update

action is triggered with DeHistory on page 228:

CTU:ALL means that all cells will be updated
CTU:CHANGED means that only changed cells will be updated
Default value: CTU:CHANGED

[email protected]

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DeMode Argument for DeQuery

Keyword

Description

HEADER

Returned header
HEADER:YES to specify that headers are returned
HEADER:NO to specify that no header is returned
Default value: HEADER:NO

LAY

Layout parameter for the array orientation:

LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: LAY:HOR

NULL

Specifies how to handle empty rows in a time list returned with the
DeHistory on page 228:
NULL:SKIP erases any empty rows of data
NULL:REPEAT replaces an empty row with the previous one
NULL:NA replaces any NULL data with #N/A
NULL:NAND replaces any NULL data with #N/A ND
NULL:NIL puts a zero in the cell for any NULL data
Default value: NULL:SKIP

PRIORITY

Establishes a priority for the object's next request:

PRIORITY:HIGH highest priority
PRIORITY:MEDIUM medium priority
PRIORITY:LOW lowest priority
Default value: PRIORITY:LOW

REFRESH

REFRESH:NO retrieves data that can only be refreshed manually

REFRESH:YES ensures that data is refreshed automatically every 24

hours, provided that Daily Refresh Activated is selected in the

Reference Data Engine Settings dialog for Equities or Treasury.
The Global Refresh property is not provided in the DBU settings
dialog box.
Default value: REFRESH:NO
RET

304

Return value parameter to shorten or lengthen the array of data returned

by array functions:
RET:Ai with i from 1 to ArraySize to get the i first rows of the default
array (only values)

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Appendix A Extended Arguments

DeMode Argument for DeUpdate

Keyword

Description

SOURCE

Defines the data source to which requests are addressed:

SOURCE:EQUITY retrieves equity data from the Reuters Securities
3000 database
SOURCE:TREASURY retrieves bond data from the Reuters Treasury
3000 database
SOURCE:LOCAL retrieves data from your local database with the

DeQuery on page 230

Default value: No default value is defined
TIMEOUT

The maximum amount of time allowed following the issuing of a request

before its cancellation. This time is measured in seconds. For example,
TIMEOUT:30 allows 30 seconds to elapse before the request is cancelled.
If the timeout value is 0, no timeout control is applied.
Default value: TIMEOUT:0

TITLE

If TITLE (or TI) is present in the DeMode argument string, results include
full column names rather than the abbreviated code names that appear
when HEADER is specified:

TITLE:YES

TITLE:NO
Default value: No TITLE
TRIM

Space trimming for string data retrieved:

TRIM:YES
TRIM:NO

Default value: TRIM:NO

DeMode Argument for DeUpdate

The DeMode argument is used to specify data source, to format result and to specify whether or not
data or to be refreshed automatically each day.
DeMode is a string made up of a series of parameters, each one consisting of a keyword possibly

followed by a colon (":") and the value of the parameter. Spaces should be used to separate the
parameters in the string.

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DeMode Argument for DeUpdate

Structure

Keyword

Description

CTU

CTU (Cells To Update) specifies which cells to update when the Update

action is triggered with DeUpdate on page 230:

CTU:ALL means that all cells will be updated
CTU:CHANGED means that only changed cells will be updated
Default value: CTU:CHANGED
HEADER

Returned header
HEADER:YES to specify that headers are returned
HEADER:NO to specify that no header is returned
Default value: HEADER:NO

LAY

Layout parameter for the array orientation

LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: LAY:HOR

NULL

Specifies how to handle empty rows in a time list returned with the
DeHistory on page 228:
NULL:SKIP erases any empty rows of data
NULL:REPEAT replaces an empty row with the previous one
NULL:NA replaces any NULL data with #N/A.
NULL:NAND replaces any NULL data with #N/A ND
NULL:NIL puts a zero in the cell for any NULL data
Default value: NULL:SKIP

PRIORITY

Establishes a priority for the object's next request:

PRIORITY:HIGH highest priority
PRIORITY:MEDIUM medium priority
PRIORITY:LOW lowest priority
Default value: PRIORITY:LOW

REFRESH

REFRESH:NO retrieves data that can only be refreshed manually

REFRESH:YES ensures that data is refreshed automatically every 24

hours, provided that Daily Refresh Activated is selected in the
Reference Data Engine Settings dialog for Equities or Treasury.
The Global Refresh property is not provided in the DBU settings
dialog box.
Default value: REFRESH:NO

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DeMode Argument for DeUpdate

Keyword

Description

RET

Return value parameter to shorten or lengthen the array of data returned

by array functions:
RET:Ai with i from 1 to ArraySize to get the i first rows of the default
array (only values)

SOURCE

Defines the data source to which requests are addressed:

SOURCE:EQUITY retrieves equity data from the Reuters Securities
3000 database
SOURCE:TREASURY retrieves bond data from the Reuters Treasury
3000 database
Default value: No default value is defined

SPLIT

Specifies an array in which to place the text string retrieved from the
ADFIN_STRUCTURE FieldList argument with DeUpdate on page 230:
SPLIT:n (n as an integer), with n specifies the number of cells.
The results can be longer than 255 byte characters in length, that is the
current limit for return strings This keyword defines exactly how many
pieces can be made from a string by using spaces. DeUpdate will
generate a return table and each piece of the string will be placed in a
separate cell in the same direction as field values for an instrument.
Returns an error message if the specified array is too small.
Default value: SPLIT:0
Note: Despite the apparent resemblance with cell addressing, the SPLIT
keyword only specifies the dimension of the array, not a location on a
spreadsheet.

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TIMEOUT

The maximum amount of time allowed following the issuing of a request

before its cancellation. This time is measured in seconds. For example,
TIMEOUT:30 allows 30 seconds to elapse before the request is cancelled.
If the timeout value is 0, no timeout control is applied.
Default value: TIMEOUT:0

TITLE

If TITLE (or TI) is present in the DeMode argument string, results include
full column names rather than the abbreviated code names that appear
when HEADER is specified:

TITLE:YES
TITLE:NO

Default value: No TITLE

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DfMode

Keyword

Description

TRIM

Space trimming for string data retrieved:

TRIM:YES
TRIM:NO

Default value: TRIM:NO

UWC (Update When Completed) determines whether receipt of partial

UWC

results will be flagged with DeUpdate on page 230:

UWC:YES means that partial results will be flagged
UWC:NO means that partial results will not be flagged
If UWC is present without a value, it will be interpreted as UWC:YES. This
keyword is only valid when data is retrieved from the Treasury 3000
database
Default value: UWC:NO

DfMode
DfMode is used as argument in functions of the Adfin Common module to customize returned values.
DfMode is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

308

Keyword

Explanation

DCB

Day count basis {00, A0, A0D, A25D, A5, A5D, AA, E0}
DCB:00 for 30/360
DCB:A0 for Actual/360
DCB:A0D for Actual/360 (day-based)
DCB:A25D for Actual/365.25 (day-based)
DCB:A5 for Actual/365
DCB:A5D for Actual/365 (day-based)
DCB:AA for Actual/Actual
DCB:E0 for 30E/360 ISMA
Default value: DCB:AA

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Appendix A Extended Arguments

ExoticStructure

Example

Keyword

Explanation

DMC

Date moving convention used when the calculated date falls on a non-working day {F,
FOL, M, MOD, N, NONE, P, PRE}
DMC:F or DMC:FOL for Following
DMC:M or DMC:MOD for Modified Following
DMC:N or DMC:NONE for None
DMC:P or DMC:PRE for Preceding
Default value: DMC:F

EMC

End-of-month convention used when the calculation date falls on the last day of a
month {L, LAST, S, SAME}
EMC:L or EMC:LAST for Last
EMC:S or EMC:SAME for Same
Default value: EMC:L

LAY

Layout parameter for the array orientation {H, HOR, V, VER}

LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: LAY:V

RET

Return value parameter to shorten the array of data returned by array functions {Ai, Bi,
i with i as integer}
RET:Ai with i from 1 to ArraySize to get the array of the i first elements (values only)
RET:Bi with i from 1 to ArraySize to get the array of the i first elements along with
their names (header and values)
RET:i with i from 1 to ArraySize to get the i-th element only.

DMC:P calculates dates using the preceding day date moving convention.

ExoticStructure
ExoticStructure is used as argument in functions of the Adfin Options module to define the

structure of an exotic option.

ExoticStructure is a string consisting of a series of parameters. Each set of parameters consists

of a keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

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ExoticStructure

Structure

310

Keyword

Explanation

ASIAN

Type of an Asian option {RATE, STRIKE}

ASIAN:RATE to specify an average-rate Asian option
ASIAN:STRIKE to specify an average-strike Asian option
Default value: No default Asian option type is defined, mandatory keyword

AVE

Average type for an Asian option {ARI, GEO}

AVE:ARI to specify an arithmetic average
AVE:GEO to specify a geometric average
Default value: AVE:ARI

BINARY

Type of a Binary option {ASSET, CASH}

BINARY:ASSET to specify an asset or nothing option
BINARY:CASH to specify a cash or nothing option
Default value: BINARY:CASH

CALL

Call option type flag {no value or DDMMYYYY:DDMMYYYY}

CALL to specify a call option
Default value: No default option type (neither parameter CALL nor PUT) is defined,
mandatory keyword

DCB

Day count basis {00, A0, A0D, A25D, A5, A5D, AA, E0, IT, JAP, NL0, NL5, W252} (see the
Notes section below)
DCB:00 for 30/360 (period-based calculation)
DCB:A0 for Actual/360 (period-based calculation)
DCB:A0D for Actual/360 (day-based calculation)
DCB:A25D for Actual/365.25 (day-based calculation)
DCB:A5 for Actual/365 (period-based calculation)
DCB:A5D for Actual/365 (day-based calculation)
DCB:AA for Actual/Actual (period-based calculation)
DCB:E0 for 30E/360 ISMA (period-based calculation)
DCB:IT for Italian (from last coupon date to settlement date in E0 + 1 day)
DCB:JAP for Japanese (A5 or A5 + 1 day for first coupon)
DCB:NL0 for Actual No Leap/360
DCB:NL5 for Actual No Leap/365
DCB:W252 for Actual Working days/252
Default value: DCB:AA

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Appendix A Extended Arguments

ExoticStructure

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Keyword

Explanation

DIVTYPE

Dividend type {CONT, DISC, PROP}

DIVTYPE:CONT for continuous dividends
DIVTYPE:DISC for discounted dividends
Default value: DIVTYPE:CONT

EXM

Exercise mode {A, AMER, AMERICAN, DDMMMYY{:DDMMMYY{:i}}, E, EUR, EURO} (see the
Notes section below)
EXM:A, EXM:AMER, or EXM:AMERICAN to specify an exotic option with an American mode
EXM:DDMMMYY or EXM:DDMMMYY:DDMMMYY to specify an exotic option with a Bermudan
mode
EXM:DDMMMYY:DDMMMYY:i to specify a Composite or Quanto option with variable strike
price i
EXM:E, EXM:EUR, or EXM:EURO to specify an exotic option with a European mode\
Default value: EXM:EURO

FXLINK

Type of foreign exchange linked option {COMPO, ELFX, QUANTO} (see the Notes section
below)
FXLINK:COMPO to specify a Composite option
FXLINK:ELFX to specify an Equity Linked Foreign Exchange option
FXLINK:QUANTO to specify a Quanto option
Default value: No default foreign exchanged linked option type is defined, mandatory
keyword

KI

Knock in barrier flag {no value} (see the Notes section below)
KI to specify a knock in or double knock in Barrier option
Default value: No barrier is defined

KIKO

Knock in down-barrier and knockout up-barrier flag {no value}

KIKO to specify a knock in / knockout double Barrier option
Default value: No barrier is defined

KO

Knockout barrier flag {no value} (see the Notes section below)
KO to specify a knockout or double knockout Barrier option
Default value: No barrier is defined

KOKI

Knockout down-barrier and knock in up-barrier flag {no value}

KOKI to specify a knockout / knock in double Barrier option
Default value: No barrier is defined

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Keyword

Explanation

LADDER

Barrier levels for Ladder options {i (where i is numeric)}

LADDER:i to define a barrier level equal to i
Default value: No barrier levels for Ladder options is defined

LOOK

Type of a Lookback option {SPOT, STRIKE}

LOOK:SPOT to specify a Lookback Spot option
LOOK:STRIKE to specify a Lookback Strike option
Default value: No default Lookback option type is defined, mandatory keyword

PUT

Put option type flag {no value}

PUT to specify a put option
Default value: No default option type (neither parameter CALL nor PUT) is defined,
mandatory keyword

RAIN

Type of a Rainbow option {MAX, MIN, SPREAD, DUAL, BEST} (see the Notes section
below)
RAIN:MAX to specify a best of two assets option
RAIN:MIN to specify a worst of two assets option
RAIN:SPREAD to specify a Spread option
RAIN:DUAL to specify a Dual-Strike option
RAIN:DUAL to specify a Best Of option
Default value: No default Rainbow option type is defined, mandatory keyword

RATEFRQ

Compounding frequency parameter {1, 12, 28D, 182D, 2, 28D, 182D, 364D, 4, 91D, M, Q,
S, Y, ZERO} (see the Notes section below)
RATEFRQ:1 or RATEFRQ:Y for yearly
RATEFRQ:12 or RATEFRQ:M for monthly
RATEFRQ:182D for a compounding every 182 days
RATEFRQ:2 or RATEFRQ:S for semi-annual
RATEFRQ:28D for a compounding every 28 days
RATEFRQ:182D for a compounding every 182 days
RATEFRQ:364D for a compounding every 364 days
RATEFRQ:4 or RATEFRQ:Q for quarterly
RATEFRQ:91D for a compounding every 91 days
RATEFRQ:ZERO no compounding
Default value: RATEFRQ:YEARLY or RATEFRQ:1

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Appendix A Extended Arguments

ExoticStructure

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Keyword

Explanation

RATETYPE

Yield type {CONT, DISC, MM, MMB, MMM, MMP, TRE, SIMPLEJAP, CMPJAP} (see the Notes
section below)
RATETYPE:CONT for continuous yield/rate
RATETYPE:DISC for discounted yield/rate
RATETYPE:MM for Money Market yield/rate
RATETYPE:MMB for Money Market Bullet
RATETYPE:MMM for Money Market Medium
RATETYPE:MMP for Money Market Proceed
RATETYPE:MMR for Money Market Direct Discounting
RATETYPE:TRE for US bills Treasury
RATETYPE:SIMPLEJAP for simple yield/rate
RATETYPE:CMPJAP for compounded yield/rate
Default value: RATETYPE:CONT

REBATE

Rebate amount for Barrier and double Barrier options {i, i:j (where i and j are
numeric)}
REBATE:i to indicate that the option holder receives the cash amount i if the Barrier
option is cancelled
REBATE:i:j to indicate that the option holder receives the cash amount i if the
down-barrier is hit and the cash amount j if the up-barrier is hit
Default value: REBATE:0

TOUCH

Binary path-dependent option type {DEFERRED, NO, ONE}

TOUCH:DEFERRED for a deferred One-Touch option
TOUCH:NO for a No-Touch option
TOUCH:ONE for a One-Touch option with immediate payment
Default value: No default Binary option type is defined

UI

Underlying asset type {COM, CUR, FUT, SEC}

UI:COM for an option on commodities
UI:CUR for an option on currencies
UI:FUT for an option on futures
UI:SEC for an option on securities (indexes, stocks, bonds)
Default value: UI:SEC

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ExoticStructure

Notes

Keyword

Explanation

UO

Underlying option type for a Compound option {CALL, PUT}

UO:CALL to specify a call option
UO:PUT to specify a put option
Default value: No default underlying option type is defined for Compound options,
mandatory keyword

WIN

Start date or end date of Window Barrier options {END:DDMMMYY, START:DDMMMYY} (see
the Notes section below)
WIN:END:DDMMMYY where DDMMMYY is the end date for an early-end Window Barrier
WIN:START:DDMMMYY where DDMMMYY is the start date for Forward-Start Window Barrier
Default value: No default Window type is defined for Window Barrier options

Topic

Recommendation

ExoticStructure option

You must include at least the option type in the ExoticStructure, by

using the CALL or PUT keywords.

type

314

DCB, RATEFRQ, and

RATETYPE

The DCB, RATEFRQ, and RATETYPE keywords in ExoticStructure

define the dividend scenario for the ReturnArray argument of Adfin
Exotics functions. The same keywords in RateStructure specify the
rate model properties for the RiskFreeRateArray argument.

Barrier options

You must specify one of the KI and KO keywords in the

ExoticStructure to price Barrier options.

WIN

You can specify WIN either as a serial number, or by using the DDMMMYY
format.

Basket option with more

than two assets

You cannot use EXM:{A, AMER, AMERICAN} with a Basket option with
more than two assets.

CMT:FORM

You cannot use EXM:{A, AMER, AMERICAN} with CMT:FORM.

FXLINK:EFLX

You cannot use EXM:{A, AMER, AMERICAN} or

EXM:DDMMMYY{:DDMMMYY{:i}} with FXLINK:EFLX.

CMT:TREE and NBBRANCH:3

You must use EXM:DDMMMYY:DDMMMYY:i with CMT:TREE and

NBBRANCH:3.

One day exercise period

If the exercise period lasts only one day, you must specify the same
date DDMMMYY in the keyword EXM:DDMMMYY:DDMMMYY:i.

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Appendix A Extended Arguments

FormatMode

Topic

Recommendation

SOLVER in the
CalcStructure

You cannot use FXLINK:EFLX if you specify SOLVER in the

CalcStructure.

CMT:FORM

You cannot use RAIN:BEST or RAIN:DUAL with CMT:FORM.

FormatMode
FormatMode is used as argument in functions of the Adfin Common module to define the formatting

mode.
FormatMode is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

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Keyword

Explanation

ADAA

Ask digits automatic adaptation {no value, NO, YES}

ADAA or ADAA:YES to automatically adapt the number of digits used for the ask side if
the original string can be misinterpreted
ADAA:NO to disable the automatic adaptation
Default value: ADAA:YES

BACTRL

Bid > Ask control {ASK, BID, ERR, INV, MID, NO}
BACTRL:ASK to set the Bid rate to the Ask value
BACTRL:BID to set the Ask rate to the Bid value
BACTRL:ERR to generate an error message
BACTRL:INV to set the Bid rate to the Ask value and the Ask rate to the Bid value
BACTRL:MID to set the Bid and Ask rates to the Mid value
BACTRL:NO to keep the original Bid and Ask rates
Default value: BACTRL:MID

BASEP

Separator between the Bid rate and the Ask rate {any character(s), "^" standing for a
space}
BASEP:- to use for instance the separator "-"
Default value: BASEP:^/^

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FormatMode

Keyword

Explanation

BAWARN

Bid > Ask warning indicator {no value, NO, YES}

BAWARN or BAWARN:YES to display a star after the bid/ask string
BAWARN:NO to disable the display of the star
Default value: BAWARN:YES

DATA

Result data format {BA, ONE}

DATA:BA for Bid/Ask format
DATA:ONE to specify a one value format
Default value: DATA:BA

FD

Fraction denominator {i with i as integer}

FD:i to convert a decimal number to a fraction expressed with a denominator equal to
i

Default value: FD:1 (decimal numbers are used instead of fractions)

Examples

FSEP

Separator between the integer component and the fractional component {any
character(s), "^" standing for a space}
FSEP:- to use for instance the separator "-"
Default value: FSEP:^

FSHOW

Fraction denominator display indicator {no value, NO, YES}

FSHOW or FSHOW:YES to display the fraction denominator
FSHOW:NO to disable the display of the fraction denominator
Default value: FSHOW:NO

SCALE

Scaling factor between the real and the displayed rates {i with i as integer}
SCALE:i to multiply the Bid and Ask rates by 10E+i
Default value: SCALE:1

FD:32 FSHOW converts a decimal number into 32s and display the fraction denominator /32
after the integer and fractional components
BASEP:^-^ BACTRL:ERR uses " - " as Bid/Ask separator and displays an error message if the
Bid rate is greater than the Ask rate.

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Appendix A Extended Arguments

FrnMode

FrnMode
FrnMode is used as argument in functions of the Adfin Bonds module to define the attributes of the
zero-coupon yield curves used in input.
FrnMode is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

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Keyword

Explanation

DCB

Day count basis used for zero-coupon calculations {00, A0, A0D, A25D, A5, A5D, AA, E0}
DCB:00 for 30/360 (period-based calculation)
DCB:A0 for Actual/360 (period-based calculation)
DCB:A0D for Actual/360 (day-based calculation)
DCB:A25D for Actual/365.25 (day-based calculation)
DCB:A5 for Actual/365 (period-based calculation)
DCB:A5D for Actual/365 (day-based calculation)
DCB:AA for Actual/Actual (period-based calculation)
DCB:E0 for 30E/360 ISMA (period-based calculation)
Default value: The value of the DCB keyword of the "RATEMODEL" category

FROM

Type of the input rate for FrnMargin {ASM, ATM, DM, PXA, PXC, PXG, SM, YS, YTM}
FROM:ASM for the adjusted simple margin
FROM:ATM for the adjusted total margin
FROM:DM for the discounted margin
FROM:PXA for the adjusted price
FROM:PXC for the clean price
FROM:PXG for the gross price
FROM:SM for the simple margin
FROM:YS for the yield to maturity spread
FROM:YTM for the yield to maturity
Default value: No default input price type is defined, mandatory keyword

IAC

Cash flows calculation split up into interest and principal {no value}
IAC to display interest cash flows and principal cash flows into two separate columns
Default value: nterest and principal added in cash flows calculation

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318

Keyword

Explanation

IM

Interpolation method {CUBD, CUBR, LIN}

IM:CUBD for cubic spline discount factor interpolation
IM:CUBR for cubic spline rate interpolation
IM:LIN for linear interpolation without extrapolation
Default value: The value of the IM keyword of the "RATEMODEL" category

LAY

Layout parameter for the array orientation {H, HOR, V, VER}

LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: LAY:HOR

ND

Null date processing {DIS, ERR}

ND:DIS to discard null dates from the date array
ND:ERR to generate error messages for a null date in the date array
Default value: The value of the ND keyword of the "RATEMODEL" category

OBC

Out of boundary interpolation check {NO, YES}

OBC:NO to perform no check (an extrapolated value is returned if the date is out of the
array boundaries)
OBC:YES to verify if the date to interpolate is within the range of the date array used
(otherwise an error is returned)
Default value: The value of the OBC keyword of the "RATEMODEL" category

RET

Return value parameter to shorten the array of data returned by array functions {Ai,
Bi, i with i as integer}
RET:Ai with i from 1 to ArraySize to get the array of the i first elements (values only)
RET:Bi with i from 1 to ArraySize to get the array of the i first elements along with
their names (header and values)
RET:i with i from 1 to ArraySize to get the i-th element only

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Appendix A Extended Arguments

FrnMode

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Keyword

Explanation

TO

Type of the output rate for FrnMargin {ASM, ATM, DM, PXA, PXC, PXG, SM, YS, YTM}
TO:ASM for the adjusted simple margin
TO:ATM for the adjusted total margin
TO:DM for the discounted margin
TO:PXA for the adjusted price
TO:PXC for the clean price
TO:PXG for the gross price
TO:SM for the simple margin
TO:YS for the yield to maturity spread
TO:YTM for the yield to maturity
Default value: No default output price type is defined, mandatory keyword

YTM

Yield type for callable/puttable FRNs {AUTO, BEST, MATURITY, WORST}

YTM:AUTO to adapt the calculation of the yield to the structure (yield to maturity for a
standard FRN or callable and puttable, yield to worst for callable FRN, yield to best for
puttable FRN)
YTM:BEST to force the calculation of the yield to best
YTM:MATURITY to force the calculation of the yield to maturity
YTM:WORST to force the calculation of the yield to worst
Default value: YTM:AUTO

ZCTYPE

Input zero-coupon yield curve type {DF, RATE}

ZCTYPE:DF for a discount factor yield curve
ZCTYPE:RATE for a zero-coupon rate yield curve
Default value: The value of the ZCTYPE keyword of the "RATEMODEL" category

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FrnStructure

Note

Topic

Recommendation

FROM and TO

The FROM and TO keywords are only used when performing

calculations with the FrnMargin function.

YS

The FROM and TO keywords specify the data type of the Px argument of
the FrnMargin function. When it takes the value YS (yield to maturity
spread ), the user must know that the input yield is always expressed
in the FRN frequency.

LAY:H and FrnCashFlows

The LAY:H keyword, which describes the result array orientation in the
FrnMode argument, is mandatory when used in the FrnCashFlows
function.

FrnMode

FrnMode is generally optional except when used as an argument in

FrnMargin function.

FrnStructure
FROM and TO is used as argument in functions of the Adfin Bonds module to define the structure of a
floating-rate note.
FROM and TO is a string consisting of a series of parameters. Each set of parameters consists of a
keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

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Appendix A Extended Arguments

FrnStructure

Structure

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Keyword

Explanation

FROM and
TO

Accrued interest calculation method {{00, A0, A5, AA, E0, MMA0, MMA5} with {:SSD}
optional for each value }
ACC:00 for 30/360
ACC:A0 for Actual/360
ACC:A5 for Actual/365
ACC:AA for Actual/Actual
ACC:E0 for 30E/360
ACC:MMA0 for money market Actual/360
ACC:MMA5 for money market Actual/365
ACC:i:SSD for German Schuldscheindarlehen bonds where i is {00, A0, A5, AA, E0,
MMA0, MMA5}
Default value: ACC:00

ALIMIT

Accrued interest adjustment method for Actual/360 and Actual/365 {CPN, NEXT, NO}
ALIMIT:CPN to limit the accrued interest to the regular coupon value
ALIMIT:NEXT to adjust the coupon subtracting the exceeding number of days
ALIMIT:NO to allow the accrued interest to exceed the regular coupon value
Default value: ALIMIT:NEXT

AMORT

Amortization pattern for sinking FRN {DDMMMYY:i with i1}

AMORT:DDMMMYY:i to indicate that i are redeemed at the date DDMMMYY
Default value: The notional principal amount is fixed during the FRN life

ARND

Rounding mode of the accrued interest {NO} or {i (where i is numeric) : {UP, DOWN,
NEAR}}
ARND:NO if no rounding is requested
ARND:i:{UP, DOWN, NEAR} for rounding to the precision defined by i
Default value: ARND:NO if no rounding is requested
ARND:i:NEAR if i is specified

CALL

Callable FRN {DDMMMYY:i (where i is numeric)}

CALL:DDMMMYY:i to indicate that the FRN holds a call option which expiry date is
DDMMMYY and strike clean price is i
Default value: The FRN holds no call option

CAP

Cap coupon value {i (where i is numeric) (1=100%)}

CAP:i to limit the coupon rate value to a maximum of i
Default value: No cap value is defined

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Keyword

Explanation

CCM

Coupon calculation method {BB00, BBA0, BBA5, BBAA, BBE0, MM00, MMA0, MMA5, MMAA,
MME0, MMNL0, MMNL5, v, A0D, A5D, E0D, 00, A0, A5, AA, E0}
CCM:BB00 for bond 30/360
CCM:BBA0 for bond Actual/360
CCM:BBA5 for bond Actual/365
CCM:BBAA for bond Actual/Actual
CCM:BBE0 for bond 30E/360 ISMA
CCM:MM00 for money market 00/360
CCM:MMA5 for money market Actual/365
CCM:MMA0 for money market Actual/360
CCM:MMAA for money market Actual/Actual
CCM:MME0 for money market 30E/360
CCM:MMNL0 for money market Actual No Leap/360
CCM:MMNL5 for money market Actual No Leap/365
CCM:00D for effective 30/360 (day-based)
CCM:A0D for effective Actual/360 (day-based)
CCM:A5D for effective Actual/365 (day-based)
CCM:E0D for effective 30E/360 (day-based)
CCM:00 for effective 30/360 (period-based)
CCM:A0 for effective Actual/360 (period-based)
CCM:A5 for effective Actual/365 (period-based)
CCM:AA for effective Actual/Actual (period-based)
CCM:E0 for effective 30E/360 (period-based)
Default value: CCM:MMA0

CFADJ

Cash flow adjustment method {FRN, NONE, STD}

CFADJ:FRN to calculate the coupon date from the previous coupon date with calendar
adjustment (see CLDR below)
CFADJ:NONE to calculate the coupon date from the FRN start date without any calendar
adjustment (also requires CLDR:NULL)
CFADJ:STD to calculate the coupon date from the FRN start date with calendar
adjustment (see CLDR below)
Default value: The value of the CFADJ keyword of the "SWAP" category

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Appendix A Extended Arguments

FrnStructure

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Keyword

Explanation

CLDR

Calendar parameter for coupon date adjustments {calendars} (see the Notes section
below)
CLDR:calendars to assign one or more calendars used for moving coupon dates if they
fall on non-working days
Default value: CLDR:NULL (no date adjustment is made)

CRND

Coupon rounding tick size {i (where i is numeric) (0.001=10E-3)}

CRND:i for rounding to the precision defined by i
Default value: No rounding

DATED

Dated date {DDMMMYY}

DATED:DDMMMYY where DDMMMYY is the accrual start date for irregular coupons
Default value: No dated date defined

DMC

Date moving convention used when a calculated date falls on a non-working day {F,
FOL, M, MOD, N, NONE, P, PRE}
DMC:F or DMC:FOL for moving the date to the following working day
DMC:M or DMC:MOD for moving the date to the following working day unless it causes the
date to be pushed into the next month (in this latter case, the last working day of the
month is used)
DMC:N or DMC:NONE for no moving date (also requires CLDR:NULL)
DMC:P or DMC:PRE for moving the date to the preceding working day
Default value: DMC:F

EMC

End-of-month convention used when a calculation date falls on the last day of a month
{L, LAST, S, SAME}
EMC:L or EMC:LAST for setting the calculated date to the last working day
Default value: EMC:L

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Keyword

Explanation

EY

Equivalent yield parameter {1, 12, 182D, 2, 28D, 364D, 4, 91D, M, Q, S, Y, FRQ}
EY:1 or EY:Y for yearly
EY:12 or EY:M for monthly
EY:182D for compounding every 182 days
EY:2 or EY:S for semi-annual
EY:28D for compounding every 28 days
EY:364D for compounding every 364 days
EY:4 or EY:Q for quarterly
EY:91D for compounding every 91 days
EY:FRQ for compounding defined by the FRQ keyword in the BondStructure
Default value: The value of FRQ (of FrnStructure)

FAD

First amortization date {DDMMMYY}

FAD:DDMMMYY where DDMMMYY is the first amortization date
Default value: No first amortization date defined

FCV

First coupon nominal value {i (where i is numeric)}

v where i is the first coupon nominal rate for irregular coupons
(the bond issue date must also be specified using ISSUE)
Default value: All coupons are regular so FCV has no meaning

FLOOR

Floor index value {i (where i is numeric) (1=100%)}

FLOOR:i to limit the index value to a minimum of i
Default value: No floor value is defined

FRCD

First Regular Coupon Date for odd first coupon {DDMMMYY}

FRCD:DDMMMYY where DDMMMYY is the first regular coupon date.
Default value: No first regular coupon date defined

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Appendix A Extended Arguments

FrnStructure

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Keyword

Explanation

FRQ

Coupon frequency {1, 12, 182D, 2, 28D, 364D, 4, 91D, M, Q, S, Y}

FRQ:1 or FRQ:Y for yearly
FRQ:12 or FRQ:M for monthly
FRQ:182D for a payment every 182 days
FRQ:2 or FRQ:S for semi-annual
FRQ:28D for a payment every 28 days
FRQ:364D for a payment every 364 days
FRQ:4 or FRQ:Q for quarterly
FRQ:91D for a payment every 91 days
FRQ:DDMMMYY:i to define a frequency of i from date DDMMMYY
Default value: FRQ:4

IC

Irregular first coupon {L1, L1R, S1, S1P, S1R, NBC}

(the bond issue date must also be specified using ISSUE or DATED)
IC:L1 for long first coupon (first coupon date equal to second anniversary date)
IC:L1R for long first coupon with regular nominal value and starting accrued date equal
to first anniversary date (SPGB)
IC:S1 for short first coupon (first coupon date equal to first anniversary date)
IC:S1P for short first coupon with proportional value (BTAN)
IC:S1R for short first coupon with regular nominal value
IC:NBC for NBC first coupon
Default value: IC:S1

IDX

Underlying index style {index history style}

IDX:index to assign an index history style to the bond
Default value: No index history style is defined

INTCAP

Capitalizationrate of a FRN {DDMMYYYY:DDMMYYYY:i where i is numeric}

INTCAP:DDMMYYYY:DDMMYYYY to set the start and end dates between which all coupons
are paid and the FRN is fully capitalized. The capitalization rate is not defined
INTCAP:DDMMYYYY:DDMMYYYY:i to set the start date, end date and capitalization rate
Default value: No capitalization rate is defined

ISSUE

Issue date {DDMMMYY}

ISSUE:DDMMMYY where DDMMMYY is the bond issue date for irregular coupons
Default value: All coupons are regular so the issue date is aligned with the maturity
date on the coupon frequency

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Keyword

Explanation

LOCK

Lockout period in settlement date calculations {iWD with i>0} (see the Notes section
below)
LOCK:iWD for i working days
Default value: No lockout period calculation rule defined

LRCD

Last regular coupon date for odd last coupon {DDMMMYY, JGB}
LRCD:DDMMMYY where DDMMMYY is the last regular coupon date
LRCD:JGB to handle automatically odd last coupons for JGBs
Default value: All coupons are regular so LRCD has no meaning

MDADJ

Maturity date adjustment {F, M, N, P}

MDADJ:F for Following
MDADJ:M for Modified Following
MDADJ:N for None
MDADJ:P for Preceding
Default value: MDADJ:N

NC

Normalization of the capital {YES, NO}

YES for the use of the remaining capital
NO for the use of the initial capital
Default value: NC:NO

NOTIONAL

Notional principal {i (where i is numeric)}

NOTIONAL:i for a notional principal equal to i units of currency
Default value: NOTIONAL:1 (all results are returned in percentage i.e. for a principal
equal to one unit of currency)

PDELAY

Payment delay {i, with i as integer}

PDELAY:i to apply a payment delay of i working days after the calculation period end
date
Default value: PDELAY:0

PPMT

Partial payment for partly paid bonds {DDMMMYY:i with i1}

PPMT:DDMMMYY:i to indicate that i are paid at the date DDMMMYY
Default value: The bond is completely paid at the issue date

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Appendix A Extended Arguments

FrnStructure

Keyword

Explanation

PUT

Puttable FRN {DDMMMYY:i (where i is numeric)}

PUT:DDMMMYY:i to indicate that the FRN holds a put option which expiry date is
DDMMMYY and strike clean price is i
Default value: The FRN holds no put option

PXRND

Rounding mode of the output price {NO} or {i (where i is numeric): {UP, DOWN, NEAR}}
PXRND:NO if no rounding is requested.
PXRND:i:{UP,DOWN,NEAR} for rounding to the precision defined by i
Default value: PXRND:NO if no rounding is requested
PXRND:i:NEAR if i is specified

QM

Quoted margin for fixed margins {i (where i is numeric)}

QM:i for a margin over the index equal to i
Default value: No default quoted margin type is defined

REFDATE

Reference date in cash flow dates generation {MATURITY, ISSUE}

REFDATE:ISSUE for using the issue date as reference date.
REFDATE:MATURITY for using the maturity date as reference date
Default value: REFDATE:MATURITY

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REPO

Carrying repo rate {i (where i is numeric) (1=100%)}

REPO:i for a rate equal to i
Default value: Index rate for next coupons

RP

Redemption price ratio {i (where i is numeric) (1=100%)}

RP:i for a ratio equal to i
Default value: RP:1 (for 100%)

RT

Reimbursement type {B, C{:i}, Sj{:i} where i is numeric (1=100%) and j from 1 to 8}
RT:B for bullet or in fine
RT:C for constant payments
RT:C:i for constant payments equal to i except for the last cash flow which is adjusted
RT:Sj for j series
RT:Sj:i for j series and constant payments equal to i except for the last cash flow
which is adjusted
Default value: RT:B

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Keyword

Explanation

SETTLE

Settlement datecalculation rule {AUT, INTL, JAP, RSA, iD, iDF, iDM, iDN, iDP, iWD with i
from 1 to 9}
SETTLE:AUT for the Austrian settlement rule
SETTLE:INTL for the International settlement rule
SETTLE:JAP for the Japanese settlement rule
SETTLE:RSA for the South-African settlement rule
SETTLE:iD for i calendar days and the default date moving convention
SETTLE:iDF for i calendar days and the following date moving convention
SETTLE:iDM for i calendar days and the modified following date moving convention
SETTLE:iDN for i calendar days and no date moving convention
SETTLE:iDP for i calendar days and the preceding date moving convention
SETTLE:iWD for i working days
(the calendar used must also be specified using CLDR)
Default value: No settlement date calculation rule defined

XD

Ex-dividend calculation {no value, NO, YES, iD, iWD, AUT, DEN}
XD or XD:YES to force ex-dividend calculations (exclude the right to the next coupon)
XD:NO to force cum-dividend calculations (grant the right to the next coupon)
XD:iD for an ex-dividend period of i calendar days
XD:iWD for an ex-dividend period of i working days
XD:AUT for the Austrian ex-dividend period
XD:DEN for the Dane ex-dividend period
Default value: XD:0

YLDRND

Rounding mode of the output yield {NO} i (where i is numeric) : {UP, DOWN, NEAR}}
YLDRND:NO if no rounding is requested.
YLDRND:i:{UP,DOWN,NEAR} for rounding to the precision defined by i
Default value: YLDRND:NO
YLDRND:i:NEAR if i is specified

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Appendix A Extended Arguments

FxMode

Notes

Topic

Recommendation

CALL and PUT dates

CALL and PUT keywords either specify dates as serial numbers, or use
the DDMMMYY or default format.

yield to maturity and yield to The yield to maturity and yield to maturity spread methods do not
maturity spread
support the CLDR keyword since they are period-based and assume
that all coupon periods have the same length.
LOCK:iWD has a upper limit, which is the number of days between the
settlement date and the next coupon date of the bond. This limit
depends on the properties of the bond. If you specify a LOCK value
greater than this limit, Adfin Analytics interprets it as the upper limit
and does not return an error message.

LOCK:iWD

FxMode
FxMode is used as argument in functions of the Adfin Forex & MM module to customize returned

values.
FxMode is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.
FxMode is generally optional.

Structure

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Keyword

Explanation

BACTRL

Bid > Ask control {ASK, BID, ERR, INV, MID, NO}
BACTRL:ASK to set the Bid rate to the Ask value
BACTRL:BID to set the Ask rate to the Bid value
BACTRL:ERR to generate an error message
BACTRL:INV to set the Bid rate to the Ask value and the Ask rate to the Bid value
BACTRL:MID to set the Bid and Ask rates to the Mid value
BACTRL:NO to keep the original Bid and Ask rates
Default value: BACTRL:MID

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Keyword

Explanation

DEC

Decimal precision parameter for cross rates and swap points {no value, i with i as
integer}
DEC to use the values defined in the cross currency database (or the default values for
unlisted cross currencies)
DEC:i with i from 0 to 9 to force the precision to a given number of decimals
Default value: No precision is defined (the raw value is used)

FROM

Date calculation origin {MMSPOT, MMTRADE, FXSPOT, FXTRADE}

FROM:MMSPOT to use the spot date as origin and the Money market spot offset
FROM:MMTRADE to use the trading date as origin and the Money market spot offset
FROM:FXSPOT to use the spot date as origin and the Forex market spot offset
FROM:FXTRADE to use the trading date as origin and the Forex market spot offset
Default value: FROM:FXTRADE

IGNR

Ignore ratios flag {NO, YES}

IGNR:NO to apply quotation units and swap point ratios in calculations
IGNR:YES to ignore quotation units and swap point ratios and thus use directly raw
values
Default value: IGNR:NO

LAY

Layout parameter for the array orientation {H, HOR, V, VER}

LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: LAY:HOR

QM1

Quotation mode of the first currency versus the base currency when different from
USD {DIRECT, INDIRECT}
QM1:DIRECT for direct quotation
QM1:INDIRECT for indirect quotation
Default value: QM1:DIRECT

QM2

Quotation mode of the second currency versus the base currency when different from
USD {DIRECT, INDIRECT}
QM2:DIRECT for direct quotation
QM2:INDIRECT for indirect quotation
Default value: QM2:DIRECT

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Appendix A Extended Arguments

HistoryMode

Keyword

Explanation

RES

Expected result {SWP12, SWPCUR, DEP1, DEP2, DEPCUR, DEPUSD}

RES:SWP12 to calculate the cross swap point
RES:SWPCUR to calculate the currency swap point against USD
RES:DEP1 to calculate the first currency deposit rate
RES:DEP2 to calculate the second currency deposit rate
RES:DEPCUR to calculate the currency deposit rate
RES:DEPUSD to calculate the USD deposit rate
Default value: No expected result is defined

RET

Return value parameter to shorten the data returned by array functions {Ai, i with i as
integer}
RET:Ai with i from 1 to ArraySize to get the i first elements
RET:i with i from 1 to ArraySize to get the i-th element only
Default value: No expected result is defined

HistoryMode
The HistoryMode argument is used in the RtHistory and RtHistoryInfo functions to customize
the return array.
HistoryMode is a string made up of a series of parameters, each one consisting of a keyword
possibly followed by a colon (":") and the value of the parameter. Spaces should be used to separate
the parameters in the string.

Structure

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Keyword

Explanation

HEADER

Array header parameter for RtHistory {no value, NO, YES}

HEADER or HEADER:YES includes the field labels and the instrument name in the array
HEADER:NO specifies that field labels and the instrument name are not included in the
array
Default value: HEADER:NO

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Keyword

Explanation

LAY

Layout or orientation parameter for the array returned by RtHistory and

RtHistoryInfo {HOR, VER}
LAY:HOR specifies that instrument codes are returned on a row.
LAY:VER specifies that instrument codes are returned in a column.
Default value: LAY:HOR

NULL

Specifies the processing of null values for history dates in RtHistory {NA, REPEAT,
SKIP}
NULL:NA to display N/A ND for null fields
NULL:REPEAT to repeat the first preceding data with no null field (if existing)
NULL:SKIP to skip the dates with any null field]

Default value: NULL:NA

Notes

RES

Result type for RtHistoryInfo {ARRAY, STRING}

RES:ARRAY for an array with one field name in each cell
RES:STRING for a single string listing all comma-separated fields names
Default value: RES:STRING

RET

Return array size for RtHistory {Ai with i as integer}

RET:Ai to get an array of i data points
Default value: No array size is defined (#N/A may appear in unused cells of
selected range)

SORT

List sorting order of the time series for RtHistory {ASC, DESC}
SORT:ASC for ascending, i.e. oldest first
SORT:DESC for descending, i.e. most recent first
Default value: SORT:DESC

ZERO

Dates with zero data processing in RtHistory{NA, REPEAT, SKIP}

ZERO:NA to display 0 for zero fields
ZERO:REPEAT to repeat the first preceding data with no zero field (if existing)
ZERO:SKIP to skip the dates with any zero field
Default value: ZERO:NA

Topic

Recommendation

NULL keyword NULL keyword only defines how dates with null data are handled. Dates before the

time series start date or after the time series end date are always ignored.

332

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HistoryStructure

Topic

Recommendation

EVENTS

When you define the number of data points to retrieve in the HistoryStructure
argument using the EVENTS keyword, dates with null data are counted with NULL:NA
and NULL:REPEAT, and ignored with NULL:SKIP.

keyword

HistoryStructure
The HistoryStructure argument is used in the RtHistory function to define the range of dates
between which historical data are retrieved.
HistoryStructure is a string made up of a series of parameters, each one consisting of a keyword
possibly followed by a colon (":") and the value of the parameter. Spaces should be used to separate
the parameters in the string.

The range of dates can be defined in three ways:

the start date and the end date between which data points are retrieved
the end date and the number of data points retrieved from the date backward in time
the start date and the number of data points retrieved from the date forward in time

With all the above methods, the number of dates actually returned depends on the retrieval
frequency. You may choose to retrieve all available dates, i.e. daily data, or select a monthly or
yearly frequency.

Structure

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Keyword

Explanation

END

End date of the time series {DDMMMYY}

END:DDMMMYY to retrieve data up to the date DDMMMYY (see the section
Supported Data Formats below.)
Default value: Current date

EVENTS

Exact number of historical data retrieved {i with i as integer}

EVENTS:i to retrieve i data points
Default value: No default value is defined

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Keyword

Explanation

FRQ

Frequency of the time series {D, W, M, other}

FRQ:D for daily data
FRQ:W for weekly data
FRQ:M for monthly data
FRQ:other where other is a letter standing for any supported frequency
Default value: FRQ enables you to support all data frequencies supported
in the historical datafeed
FRQ:D

Supported Date
Formats

NBEVENTS

Number of historical data retrieved {i with i as integer}

NBEVENTS:i to retrieve i data points
Default value: NBEVENTS:25 with a daily frequency (FRQ:D)
NBEVENTS:52 with a weekly frequency (FRQ:W)
NBEVENTS:12 with a monthly frequency (FRQ:M)
NBEVENTS:25 with any other frequency (FRQ:other)

START

Start date of the time series {DDMMMYY}

START:DDMMMYY to retrieve data from the date DDMMMYY
Default value: No start date is defined

A serial number (e.g. 35360).

DDMMMYY (e.g. 22OCT96).
YYYYMMDD (e.g. 19961022).
Either DD/MM/YY (e.g. 22/10/96), or MM/DD/YY (e.g. 10/22/96), or YY/MM/DD (e.g. 96/10/22)
depending on the date format in the platform default settings.

Dates specified with any other format are misinterpreted, which can lead to an error in the function.

Notes

Topic

Recommendation

START

If you do not specify the START keyword or the END keyword, data is
retrieved backwards from the current date.

Start and end dates

334

If the data available for the time series does not cover the start date, the
earliest data point is used as the start of the retrieved series. Similarly, if the
available data do not extend up to the end date, the most recent data point
is used as the end.

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Appendix A Extended Arguments

IlbMode

Topic

Recommendation

FRQ

FRQ enables you to support all data frequencies supported in the historical

datafeed.
Use EVENTS:i
NULL:SKIP instead of
NBEVENTS:i
NULL:SKIP

You must use EVENTS:i NULL:SKIP instead of NBEVENTS:i NULL:SKIP if

certain dates have no processed data. RtHistory does not return the
expected number of data points specified by EVENTS, but the number of
data points specified by NBEVENTS minus the number of skipped data points
which is the exact number of historical data retrieved.

IlbMode
IlbMode is used as argument in functions of the Adfin Bonds module to define the calculation mode.
IlbMode is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

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Keyword

Explanation

CF

Cash flow mode {CLDR, NULL, WE}

CF:CLDR for the calendar defined by the keyword CLDR (if no calendar is defined,
CLDR:WEEKEND is used)
CF:NULL for the calendar NULL
CF:WE for the calendar WEEKEND
Default value: CF:NULL

CMP

Compounding frequency {EY, YEARLY}

CMP:EY for using the frequency defined by the EY keyword
CMP:YEARLY for a yearly frequency
Default value: CMP:EY

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Keyword

Explanation

EY

Equivalent yield parameter {1, 12, 2, 4, Q, M, S, Y}

EY:1 or EY:Y for yearly
EY:2 or EY:S for semi-annual
EY:4 or EY:Q for quarterly
EY:12 or EY:M for monthly
Default value: EY:1

IAY

Inflation-adjusted yield flag {NO, YES}

IAY:NO not to adjust the yield to maturity with inflation
IAY:YES to adjust the yield to maturity with inflation
Default value: IAY:NO

ICF

Inflation adjustment method {ALL, IO, NONE, PO}

ICF:ALL to adjust with inflation both interest and redemption cash flows
ICF:IO to adjust with inflation only interest cash flows
ICF:NONE to adjust with inflation none of the cash flows
ICF:PO to adjust with inflation only the redemption cash flow
Default value: ICF:ALL

LAY

Layout parameter for the array orientation {H, HOR, V, VER}

LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: LAY:HOR

PX

Price type parameter {C, G}

PX:C for clean price
PX:G for gross price
Default value: PX:G

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IlbStructure

Keyword

Explanation

YCM

Yield calculation method {00, A0, A0D, A25D, A5, A5D, AA, E0}
YCM:00 for 30/360
YCM:A0 for Actual/360
YCM:A0D for Actual/360 (day-based)
YCM:A25D for Actual/365.25 (day-based)
YCM:A5 for Actual/365
YCM:A5D for Actual/365 (day-based)
YCM:AA for Actual/Actual
YCM:E0 for 30E/360 ISMA
Default value: YCM:AA

RET

Return value parameter to shorten or lengthen the array of data returned by array
functions {Ai, Bi, i with i as integer}
RET:Ai with i from 1 to ArraySize to get the array of the i first elements (values only)
RET:Bi with i from 1 to ArraySize to get the array of the i first elements along with
their names (header and values)
RET:i with i from 1 to ArraySize to get the i-th element only

IlbStructure
IlbStructure is used as argument in functions of the Adfin Bonds module to define the structure of

an index-linked bond.
IlbStructure is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

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Structure

338

Keyword

Explanation

ACC

Accrued interest calculation method {{00, A0, A5, AA, E0, IT, IT2, JAP, MMA0, MMA5,
MMNL5, NL0, NL5, W252} with {:SSD} optional for each value }
ACC:00 for 30/360
ACC:A0 for Actual/360
ACC:A5 for Actual/365
ACC:AA for Actual/Actual
ACC:E0 for 30E/360
ACC:IT for Italian (from last coupon date to settlement date in E0 + 1 day)
ACC:IT2 for Italian modified (from last coupon date to settlement date + 1 day in E0)
ACC:JAP for Japanese (A5 or A5 + 1 day for first coupon)
ACC:MMA0 for money market Actual/360
ACC:MMA5 for money market Actual/365
ACC:MMNL5 for money market Actual No Leap/365
ACC:NL0 for Actual No Leap/360
ACC:NL5 for Actual No Leap/365
ACC:W252 for Actual Working days/252
ACC:i:SSD for German Schuldscheindarlehen bonds where i is {00, A0, A5, AA, E0, IT,
IT2, JAP, MMA0, MMA5, MMNL5, NL0, NL5, W252}
Default value: ACC:AA

ARND

Rounding mode of the accrued interest {NO} or {i (where i is numeric) : {UP, DOWN,
NEAR}}
ARND:NO if no rounding is requested
ARND:i:{UP,DOWN,NEAR} for rounding to the precision defined by i
Default value: ARND:NO if no rounding is requested
ARND:i:NEAR if i is specified

BRI

Base reference index {i (where i is numeric)}

BRI:i for a base reference index equal to i
Default value: BRI:100

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Keyword

Explanation

CCM

Coupon calculation method {BB00, BBA0, BBA5, BBAA, BBE0, MM00, MMA0, MMA5, MMAA,
MME0, MMNL0, MMNL5, 00D, A0D, A5D, E0D, 00, A0, A5, AA, E0}
CCM:BB00 for bond 30/360
CCM:BBA0 for bond Actual/360
CCM:BBA5 for bond Actual/365
CCM:BBAA for bond Actual/Actual
CCM:BBE0 for bond 30E/360 ISMA
CCM:MM00 for money market 00/360
CCM:MMA5 for money market Actual/365
CCM:MMA0 for money market Actual/360
CCM:MMAA for money market Actual/Actual
CCM:MME0 for money market 30E/360
CCM:MMNL0 for money market Actual No Leap/360
CCM:MMNL5 for money market Actual No Leap/365
CCM:00D for effective 30/360 (day-based)
CCM:A0D for effective Actual/360 (day-based)
CCM:A5D for effective Actual/365 (day-based)
CCM:E0D for effective 30E/360 (day-based)
CCM:00 for effective 30/360 (period-based)
CCM:A0 for effective Actual/360 (period-based)
CCM:A5 for effective Actual/365 (period-based)
CCM:AA for effective Actual/Actual (period-based)
CCM:E0 for effective 30E/360 (period-based)

CFADJ

Cash Flow (Value) Adjustment {YES, NO}

CFADJ:YES for adjusting the cash flow value with the payment date
CFADJ:NO for not adjusting the cash flow values

CLDR

Calendar parameter for coupon date adjustments {calendar style}

CLDR:calendars to assign one or more calendars to a bond for cash flows date
adjustment
Default value: CLDR:NULL (no date adjustment is made)

CRND

Coupon rounding tick size {NO} or {i (where i is numeric) : {UP, DOWN, NEAR}}
CRND:NO if no rounding is requested.
CRND:i:{UP,DOWN,NEAR} for rounding to the precision defined by i
Default value: CRND:NO

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Keyword

Explanation

DATED

Dated date {DDMMMYY} (see the Notes section below)

DATED:DDMMMYY where DDMMMYY is the accrual start date for irregular coupons
Default value: The dated date is the issue date of the bond

EMC

End-of-month convention {LAST, SAME, L28}

EMC:LAST for last
EMC:SAME for same
EMC:L28 to match Hong Kong bond requirements: They ignore the 29th of February for
cash flow payment. This affects semi-annual bonds maturing on the 31st of August.
Coupons are paid every 31st of August and every 28th of February. In case of a leap
year the cash flow is still paid the 28th and not the 29th
Default value: EMC:LAST

FRCD

First Regular Coupon Date for odd first coupon {DDMMMYY} (see the Notes section
below)
FRCD:DDMMMYY where DDMMMYY is the first regular coupon date
Default value: No first regular coupon date is defined

FRQ

Frequency of the coupon payments {i {28D, 91D, 182D,364D, 1, 2, 4, 12}} (see the
Notes section below)
FRQ:28D to define a coupon payment every 28 days from the maturity date
FRQ:91D to define a coupon payment every 91 days from the maturity date
FRQ:182D to define a coupon payment every 182 days from the maturity date
FRQ:364D to define a coupon payment every 364 days from the maturity date
FRQ:1 to define an annual coupon payment from the maturity date
FRQ:2 to define a semi-annual coupon payment from the maturity date
FRQ:4 to define a quarterly coupon payment from the maturity date
FRQ:12 to define a monthly coupon payment from the maturity date
FRQ:DDMMMYY:i to define a frequency of i from date DDMMMYY
Default value: FRQ:1

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IlbStructure

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Keyword

Explanation

IC

Irregular first coupon {L1, L1R, S1, S1P, S1R, NBC} (see the Notes section below)
(the bond issue date must also be specified using ISSUE or DATED)
IC:L1 for long first coupon (first coupon date equal to the second anniversary date)
IC:L1R for long first coupon with regular nominal value and starting accrued date
equal to the first anniversary date (SPGB)
IC:S1 for short first coupon (first coupon date equal to the first anniversary date)
IC:S1P for short first coupon with proportional value (BTAN)
IC:S1R for short first coupon with regular nominal value
IC:NBC for NBC first coupon
Default value: IC:S1

ICF

Inflation adjustment method {ALL, IO, NONE, PO}

ICF:ALL to adjust both interest and redemption cash flows with inflation
ICF:IO to adjust interest cash flows only with inflation
ICF:NONE to adjust neither of the cash flows with inflation
ICF:PO to adjust the redemption cash flow only with inflation
Default value: ICF:ALL

ICM

Daily inflation reference and coupon calculation method {AUS , INTERP, PREVIOUS}
ICM:AUS for Australian index-linked bonds
ICM:INTERP for Canadian, French, Swedish and US index-linked bonds
ICM:PREVIOUS for UK index-linked bonds
Default value: ICM:INTERP

IDX

Underlying index style {index history style}

IDX:index to assign the index history style to the bond
Default value: No index history style is defined

INTCAP

Capitalization rate of an index-linked bond {DDMMYYYY:DDMMYYYY:i where i is

numeric}
INTCAP:DDMMYYYY:DDMMYYYY to set the start and end dates between which all
coupons are paid and the index-linked bond is fully capitalized. The capitalization rate
is not defined
INTCAP:DDMMYYYY:DDMMYYYY:i to set the start date, end date and capitalization rate
Default value: No capitalization rate is defined

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Keyword

Explanation

IRND

Index rounding tick size {i (where i is numeric)}

IRND:i for rounding to the precision defined by i
Default value: No rounding

ISSUE

Issue date {DDMMMYY} (see the Notes section below)

ISSUE:DDMMMYY where DDMMMYY is the bond issue date for irregular coupons
Default value: All coupons are regular so the issue date is aligned with the maturity
date on the coupon frequency

LBM

Number of lookback months {i with i as integer}

LBM:i for i lookback months
Default value: LBM:3

LRCD

Last regular coupon date for odd last coupon {DDMMMYY, JGB}
LRCD:DDMMMYY where DDMMMYY is the last regular coupon date
LRCD:JGB to automatically handle odd last coupons for JGBs
Default value: All coupons are regular so LRCD has no meaning

NC

Normalization of the capital {YES, NO}

YES to use the remaining capital
NO to use the initial capital
Default value: NC:NO

MDADJ

Maturity date adjustment {F, M, N, P}

MDADJ:F for Following
MDADJ:M for Modified Following
MDADJ:N for None
MDADJ:P for Preceding
Default value: MDADJ:N

NOTIONAL

Notional principal {i (where i is numeric)}

NOTIONAL:i for a notional principal equal to i units of currency
Default value: NOTIONAL:1 (all results are returned as a percentage, that is for a
principal equal to one unit of currency)

PRG

Par redemption guarantee {NO, YES}

PRG:NO to specify a redemption less than par in case of deflation
PRG:YES to specify a redemption equal to par in case of deflation
Default value: PRG:NO

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IlbStructure

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PowerPlus Pro
4.0

Keyword

Explanation

PXRND

Rounding mode of the output price {NO} or {i (where i is numeric) : {UP, DOWN, NEAR}}
PXRND:NO if no rounding is requested.
PXRND:i:{UP,DOWN,NEAR} for rounding to the precision defined by i
Default value: PXRND:NO if no rounding is requested
PXRND:i:NEAR if i is specified

REFDATE

Reference date in cash flow dates generation {MATURITY, ISSUE}

REFDATE:ISSUE to use the issue date as reference date.
REFDATE:MATURITY to use the maturity date as reference date
Default value: REFDATE:MATURITY

RP

Redemption price ratio {i (where i is numeric) (1=100%)}

vfor a ratio equal to i
Default value: RP:1 (for 100%)

XD

Ex-dividend calculation {no value, NO, YES, iD, iWD, AUT, DEN}
XD or XD:YES to force ex-dividend calculations (exclude the right to the next coupon)
XD:NO to force cum-dividend calculations (grant the right to the next coupon)
XD:iD for an ex-dividend period of i calendar days
XD:iWD for an ex-dividend period of i working days
XD:AUT for the Austrian ex-dividend period
XD:DEN for the Dane ex-dividend period
Default value: XD:0

To match results in Reuters PowerPlus Pro 4.0, you must use the following default configurations
Is NOTIONAL used?

Are AMORT and PPMT

used?

RT has the value

NC has the value

YES

NO

NO

YES - Unique value

YES

NO

NO

YES

YES for sinking funds

NO for LATAM bonds

NO

NO

C or S

YES

All other configurations are impossible.

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IndexHistoryStructure

IndexHistoryStructure
IndexHistoryStructure is used as argument in the AdStyleSet function of the Adfin Common
module. It defines the underlying structure of index history styles.
IndexHistoryStructure is a string consisting of a series of parameters. Each set of parameters

consists of a keyword, a colon (:), and the value of the keyword. The parameter sets are separated
by a blank space. However, certain keywords are used on their own and do not require a value. A
keyword can also have several values, all separated by colons.

Structure

Default Value

344

Keyword

Explanation

AVG

Index compounding method {ARI, CMP, MCA, NONE}

AVG:ARI for arithmetic average
AVG:CMP for daily compounded average
AVG:MCA for monthly compounded average
AVG:NONE for no compounding method

PERIOD

Index calculation period {ON, TN}

PERIOD:ON for overnight calculation
PERIOD:TN for Tom/Next calculation

RND

Rounding decimals for the compounded settlement rate calculation {0, 1, 2, 3, 4, 5, 6}

RND:0 for 0-decimal rounding
RND:1 for 1-decimal rounding
RND:2 for 2-decimal rounding
RND:3 for 3-decimal rounding
RND:4 for 4-decimal rounding
RND:5 for 5-decimal rounding
RND:6 for 6-decimal rounding

RIC

Reuters Instrument Code (RIC) for the index {RIC name}

RIC:RIC name for the instrument

YB

Money market year basis {360, 365}

YB:360 for a 360-day year
YB:365 for a 365-day year

No default values are available.

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Appendix A Extended Arguments

InterpMode

InterpMode
InterpMode is used as argument in functions of the Adfin Common module to define the

interpolation mode.
InterpMode is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

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Keyword

Explanation

IM

Interpolation method {CUBD, CUBR, LIN, LIX, LOG, VOL}

IM:CUBD for cubic spline discount factor interpolation
IM:CUBR for cubic spline rate interpolation
IM:LIN for linear interpolation without extrapolation
IM:LIX for linear interpolation with extrapolation
IM:LOG for loglinear interpolation
IM:VOL for linear interpolation on volatility curves
Default value: IM:LIN

LAY

Layout parameter for the array orientation {HOR, VER}

LAY:HOR for horizontal orientation
LAY:VER for vertical orientation
Default value: LAY:HOR

ND

Null date processing {DIS, ERR}

ND:DIS to discard null dates from the date array
ND:ERR to generate error messages for a null date in the date array
Default value: ND:NO

OBC

Out of boundary interpolation check {NO, YES}

OBC:NO to perform no check (an extrapolated value is returned if the date is out of the
array boundaries)
OBC:YES to verify if the date to interpolate is within the range of the date array used
(otherwise an error is returned)
Default value: OBC:NO

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IrsStructure

IrsStructure
IrsStructure is used as argument in functions of the Adfin Swaps module to define the structure of

an interest rate swap.

IrsStructure is a string consisting of a series of parameters. Each set of parameters consists of a
keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

346

Keyword

Explanation

ACC

Accrued interest calculation method {{00, A0, A5, AA, BB00, BBA5, BBW252, E0, IT, IT2,
JAP, MMA0, MMA5, MMNL5, NL0, NL5, W252} with {:SSD} optional for each value}
ACC:00 for 30/360
ACC:A0 for Actual/360
ACC:A5 for Actual/365
ACC:AA for Actual/Actual
ACC:BB00 for Brazilian 30/360
ACC:BBA5 for Brazilian Actual/365
ACC:BBW252 for Brazilian Actual Working days/252
ACC:E0 for 30E/360
ACC:IT for Italian (from last coupon date to settlement date in E0 + 1 day)
ACC:IT2 for Italian modified (from last coupon date to settlement date + 1 day in E0)
ACC:JAP for Japanese (A5 or A5 + 1 day for first coupon)
ACC:MMA0 for money market Actual/360
ACC:MMA5 for money market Actual/365
ACC:MMNL5 for money market Actual No Leap/365
ACC:NL0 for Actual No Leap/360
ACC:NL5 for Actual No Leap/365
ACC:W252 for Actual Working days/252
ACC:i:SSD for German Schuldscheindarlehen asset swaps where i is {00, A0, A5, AA,
BB00, BBA5, BBW252, E0, IT, IT2, JAP, MMA0, MMA5, MMNL5, NL0, NL5, W252}
Default value: ACC:AA

AMORT

Amortization pattern for sinking funds {DDMMMYY:i with i<=1}

AMORT:DDMMMYY:i to indicate that i is redeemed at the date DDMMMYY
Default value: No amortization pattern defined

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Appendix A Extended Arguments

IrsStructure

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Keyword

Explanation

ARND

Rounding mode of the accrued interest {NO} or {i (where i is numeric) : {UP, DOWN,
NEAR}}
ARND:NO if no rounding is requested
ARND:i:{UP,DOWN,NEAR} for rounding to the precision defined by i
Default value: ARND:NO if no rounding is specified
ARND:i:NEAR if i is specified

CCM

Coupon calculation method {BB00, BBA0, BBA5, BBAA, BBE0, MM00, MMA0, MMA5, MMAA,
MME0, MMNL0, MMNL5, 00D, A0D, A5D, E0D, 00, A0, A5, AA, E0}
CCM:BB00 for bond 30/360
CCM:BBA0 for bond Actual/360
CCM:BBA5 for bond Actual/365
CCM:BBAA for bond Actual/Actual
CCM:BBE0 for bond 30E/360 ISMA
CCM:MM00 for money market 00/360
CCM:MMA5 for money market Actual/365
CCM:MMA0 for money market Actual/360
CCM:MMAA for money market Actual/Actual
CCM:MME0 for money market 30E/360
CCM:MMNL0 for money market Actual No Leap/360
CCM:MMNL5 for money market Actual No Leap/365
CCM:00D for effective 30/360 (day-based)
CCM:A0D for effective Actual/360 (day-based)
CCM:A5D for effective Actual/365 (day-based)
CCM:E0D for effective 30E/360 (day-based)
CCM:00 for effective 30/360 (period-based)
CCM:A0 for effective Actual/360 (period-based)
CCM:A5 for effective Actual/365 (period-based)
CCM:AA for effective Actual/Actual (period-based)
CCM:E0 for effective 30E/360 (period-based)
Default value: CCM:BBE0 for the fixed leg, or CCM:MMA0 for the floating leg

CFADJ

Cash Flow (Value) Adjustment {YES, NO}

CFADJ:YES for adjusting the cash flow value with the payment date
CFADJ:NO for not adjusting the cash flow values
Default value: CFADJ:NO

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Keyword

Explanation

CLDR

Calendar parameter for coupon date adjustments {calendars}

CLDR:calendars to assign one or more calendars used for moving coupon dates if they
fall on non-working days
Default value: CLDR:NULL (no date adjustment is made)

CRND

Coupon rounding tick size {i (where i is numeric) (0.001=10E-3)}

CRND:i for rounding to the precision defined by i
Default value: CRND:NO

DATED

Dated date for asset swaps combined with bonds with an irregular first coupon
{DDMMMYY}
DATED:DDMMMYY where DDMMMYY is the accrual start date for irregular coupons)
Default value: The dated date for the fixed leg is the start date of the swap

DMC

Date moving convention used when a calculated date falls on a non-working day {F,
FOL, M, MOD, N, NONE, P, PRE}
DMC:F or DMC:FOL for moving the date to the following working day
DMC:M or DMC:MOD for moving the date to the following working day unless it causes
the date to be pushed into the next month (in this latter case, the last working day of
the month is used)
DMC:N or DMC:NONE for no moving
DMC:P or DMC:PRE for moving the date to the preceding working day
Default value: The value of the DMC keyword of the "IRS" category

EMC

End-of-month convention used when a calculation date falls on the last day of a
month {L, LAST, S, SAME}
EMC:L or EMC:LAST for setting the calculated date to the last working day
EMC:S or EMC:SAME for setting the calculated date to the same day (in this latter case,
the date may be moved according to the date moving convention if it is a non-working
day)
Default value: The value of the EMC keyword of the "IRS" category

FAD

First amortization date {DDMMMYY}

FAD:DDMMMYY where DDMMMYY is the first amortization date
Default value: No first amortization date defined

FCV

First coupon nominal value {i (where i is numeric)}

FCV:i where i is the first coupon nominal rate for irregular coupons
Default value: All coupons are regular so FCV has no meaning

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Appendix A Extended Arguments

IrsStructure

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Keyword

Explanation

FRCD

First Regular Coupon Date for odd first coupon {DDMMMYY}

FRCD:DDMMMYY where DDMMMYY is the first regular coupon date
Default value: No first regular coupon date defined

FRQ

Frequency of the coupon payments {i {28D, 91D, 182D,364D, 1, 2, 4, 12}}

FRQ:28D to define a coupon payment every 28 days from the maturity date
FRQ:91D to define a coupon payment every 91 days from the maturity date
FRQ:182D to define a coupon payment every 182 days from the maturity date
FRQ:364D to define a coupon payment every 364 days from the maturity date
FRQ:1 to define an annual coupon payment from the maturity date
FRQ:2 to define a semi-annual coupon payment from the maturity date
FRQ:4 to define a quarterly coupon payment from the maturity date
FRQ:12 to define a monthly coupon payment from the maturity date
FRQ:DDMMMYY:i to define a frequency.of i from date DDMMMYY
Default value: FRQ:1

IC

Irregular first coupon {L1, L1R, S1, S1P, S1R, NBC}

(the bond issue date must also be specified using ISSUE or DATED)
IC:L1 for long first coupon (first coupon date equal to second anniversary date)
IC:L1R for long first coupon with regular nominal value and starting accrued date
equal to first anniversary date (SPGB)
IC:S1 for short first coupon (first coupon date equal to first anniversary date)
IC:S1P for short first coupon with proportional value (BTAN)
IC:S1R for short first coupon with regular nominal value
IC:NBC for NBC first coupon
Default value: IC:S1

IDX

Underlying index style for an OIS {index history style}

IDX:index to assign the index history styleto the swap
Default value: No default value is defined

LBOTH

Swap attribute specification flag {no value}

LBOTH to specify that the following keywords apply to both legs
Default value: No default value is defined

LFIXED

Fixed leg attribute flag {no value}

LFIXED to specify that the following keywords apply to the fixed leg only
Default value: No default value is defined

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Keyword

Explanation

LFLOAT

Floating leg attribute flag {no value}

LFLOAT to specify that the following keywords apply to the floating leg only
Default value: No default value is defined

LRCD

Last regular coupon date for odd last coupon {DDMMMYY, JGB}
LRCD:DDMMMYY where DDMMMYY is the last regular coupon date
LRCD:JGB to handle automatically odd last coupons for JGBs
Default value: All coupons are regular so LRCD has no meaning

MDADJ

Maturity date adjustment {F, M, N, P}

MDADJ:F for Following
MDADJ:M for Modified Following
MDADJ:N for None
MDADJ:P for Preceding
Default value: MDADJ:N

NOTIONAL

Notional principal for amortizing swaps {i, DDMMMYY:i (where i is numeric)}

NOTIONAL:i for a principal equal to i units of currency
NOTIONAL:DDMMMYY:i to indicate that the principal is equal to i at the date DDMMMYY
Default value: NOTIONAL:1 (all results are returned in percentage i.e. for a principal
equal to one unit of currency, with a principal constant throughout the life of the swap)

PAID

Type of the paid leg {FIXED, FLOAT}

PAID:FIXED to define that the fixed rate is paid (and the floating rate received)
PAID:FLOAT to define that the floating rate is paid (and the fixed rate received)
Default value:

PDELAY

Payment delay {i, with i as integer}

PDELAY:i to apply a payment delay of i working days after the calculation period end
date
Default value: PDELAY:0

PPMT

Partial payment for asset swaps {DDMMMYY:i with i<=1}

PPMT:DDMMMYY:i to indicate that i are paid at the date DDMMMYY
Default value: The asset swap is completely paid at the issue date

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Appendix A Extended Arguments

OpMode

Keyword

Explanation

REFDATE

Reference date in cash flow dates generation {MATURITY, ISSUE}

REFDATE:ISSUE for using the issue date as reference date.
REFDATE:MATURITY for using the maturity date as reference date
Default value: REFDATE:MATURITY

RP

Redemption price ratio {i (where i is numeric) (1=100%)}

RP:i for a ratio equal to i
Default value: RP:0 (the redemption cash flow is ignored for standard swaps)

RT

Reimbursement type {B, C{:i}, Sj{:i} where i is numeric (1=100%) and j from 1 to 8,
P}
RT:B for bullet or in fine
RT:C for constant payments
RT:C:i for constant payments equal to i except for the last cash flow which is
adjusted
RT:Sj for j series
RT:Sj:i for j series and constant payments equal to i except for the last cash flow
which is adjusted
Default value: RT:B

SPREAD

Spread {DDMMMYY:i}
SPREAD:DDMMMYY:i for a spread of i applicable to the floating rate as of DDMMMYY

Default value: SPREAD:0

XD

Ex-dividend calculation {no value, NO, YES, iD, iWD, AUT, DEN}
XD or XD:YES to force ex-dividend calculations (exclude the right to the next coupon)
XD:NO to force cum-dividend calculations (grant the right to the next coupon)
XD:iD for an ex-dividend period of i calendar days
XD:iWD for an ex-dividend period of i working days
XD:AUT for the Austrian ex-dividend period
XD:DEN for the Dane ex-dividend period
Default value: XD:0

OpMode
OpMode is used as argument in functions of the Adfin Options module to customize returned values.

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OpMode

OpMode is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

352

Keyword

Explanation

FRQ

Observation frequency {D, DAILY, M, MONTHLY, W, WEEKLY, Y, YEARLY}

FRQ:D or FRQ:DAILY for daily observation
FRQ:M or FRQ:MONTHLY for monthly observation
FRQ:W or FRQ:WEEKLY for weekly observation
FRQ:Y or FRQ:YEARLY for yearly observation
Default value: FRQ:D

HVM

Historical volatility method {C, HL}

HVM:C or HVM:CLOSE for the close prices method
HVM:HL for the high and low prices method (this method requires FRQ:D)
Default value: HVM:C

LAY

Layout parameter for the input array(s) orientation {H, HOR, V, VER}
LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: LAY:V

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OpMode

Examples

Keyword

Explanation

RES

Expected result {D, DELTA, FDELTA, FRHO, FTHETA, FVEGA, G, GAMMA, R, RHO, T, THETA, V,
VEGA}
RES:D or RES:DELTA to calculate the delta ratio (sensitivity of the premium to the
change of the underlying price)
RES:G or RES:GAMMA to calculate the gamma ratio (sensitivity of the delta ratio to the
change of the underlying price)
RES:FDELTA to calculate the delta ratio in the foreign currency (for currency options)
RES:FRHO to calculate the rho ratio in the foreign currency (for currency options)
RES:FTHETA to calculate the theta ratio in the foreign currency (for currency options)
RES:FVEGA to calculate the vega ratio in the foreign currency (for currency options)
RES:R or RES:RHO to calculate the rho ratio (sensitivity of the premium to the market
interest rates)
RES:T or RES:THETA to calculate the theta ratio (sensitivity of the premium to the
reduction of the option remaining life)
RES:V or RES:VEGA to calculate the vega ratio (sensitivity of the premium to the
underlying volatility)
Default value: No default value is defined

RET

Return value parameter to shorten or lengthen the array of data returned by array
functions {Ai, Bi, i with i as integer}
RET:Ai with i from 1 to ArraySize to get the array of the i first elements (values only)
RET:Bi with i from 1 to ArraySize to get the array of the i first elements along with
their names (header and values)
RET:i with i from 1 to ArraySize to get the i-th element only
Default value: No default value is defined

YB

Number of days in a year or year basis { i with i as integer}

Default value: No default value is defined

"FRQ:W HVM:HL" Calculates the historical volatility from weekly high and low prices.
"LAY:H" Allows the use of a horizontal array for an array input parameter.

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OptionStructure

OptionStructure
OptionStructure is used as argument in functions of the Adfin Options module to define the

structure of a standard option.

OptionStructure is a string consisting of a series of parameters. Each set of parameters consists

of a keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

Keyword

Explanation

CALL

Call option type flag {no value}

CALL to specify a call option
Default value: No standard option type (neither parameter CALL nor PUT) is defined

CAP

Strike value of a capped option {i, where i is numeric}

CAP:i to specify the cap strike value
Default value: No default value is defined

CLDR

Calendar parameter for expiry date and dividend date adjustments {calendars}
CLDR:calendars to assign one or more calendars used for moving dividend dates if
they fall on non-working days (see DMC and example below)
Default value: No dividend adjustment is made (calendar NULL)

CONVRATIO Conversion ratio {i}

CONVRATIO:i to indicate that the conversion ratio is equal to i

Default value: 1

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OptionStructure

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Keyword

Explanation

DCB

Day count basis {00, A0, A0D, A25D, A5, A5D, AA, E0, JAP, NL0, NL5, W252} (see the Notes
section below)
DCB:00 for 30/360 (period-based calculation)
DCB:A0 for Actual/360 (period-based calculation)
DCB:A0D for Actual/360 (day-based calculation)
DCB:A25D for Actual/365.25 (day-based calculation)
DCB:A5 for Actual/365 (period-based calculation)
DCB:A5D for Actual/365 (day-based calculation)
DCB:AA for Actual/Actual (period-based calculation)
DCB:E0 for 30E/360 (period-based calculation)
DCB:JAP for Japanese (A5 or A5 + 1 day for first coupon)
DCB:NL0 for Actual No Leap/360
DCB:NL5 for Actual No Leap/365
DCB:W252 for Actual Working days/252
Default value: No

DELIV

Delivery date {DDMMMYY} (see the Notes section below)

DELIV:DDMMMYY where DDMMMYY is the delivery date if different from the expiry date
(such as for currency options)
Default value: The delivery date is equal to the expiry date

DILUTION

Dilution flag {YES, NO, i}

DILUTION: YES to take the dilution into account
DILUTION: NO to ignore it
DILUTION: i where i is the dilution factor as a percentage
Default value: NO

DIV

Dividend payment {DDMMMYY:i (where i is numeric)}

DIV:DDMMMYY:i to indicate that the underlying pays at the date DDMMMYY a dividend
payment equal to i
Default value: The underlying pays no discrete dividend

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OptionStructure

Keyword

Explanation

DIVTYPE

Dividend type {CONT, DISC, FIXED, PROP} (see the Notes section below)
DIVTYPE:CONT for continuous dividends
DIVTYPE:DISC for discounted dividends
DIVTYPE:FIXED for fixed dividends
DIVTYPE:PROP for proportional dividends
Default value: DIVTYPE:CONT

DMC

Date moving convention used when an expiry date or a dividend date falls on a
non-working day {F, FOL, M, MOD, N, NONE, P, PRE}
DMC:F or DMC:FOL to move the date to the following working day
DMC:M or DMC:MOD to move the date to the following working day unless it causes the
date to be pushed into the next month (in this latter case, the last working day of the
month is used)
DMC:N or DMC:NONE for no moving
DMC:P or DMC:PRE for moving the date to the preceding working day
Default value: DMC:NO

EXM

Exercise mode {A, AMER, AMERICAN, :DDMMMYY{:DDMMMYY{:i}} E, EUR, EURO} (see the
Notes section below)
EXM:A, EXM:AMER, or EXM:AMERICAN to specify a Vanilla option with an American mode
EXM:DDMMMYY or EXM:DDMMMYY:DDMMMYY to specify a Vanilla option with a Bermudan
mode
EXM:DDMMMYY:DDMMMYY:i to specify a Vanilla option or warrant with variable strike
price i
EXM:E, EXM:EUR, or EXM:EURO to specify a European option
Default value: EXM:EURO

NBSTOCK

Number of shares outstanding {i}

Default value: NBSTOCK:0

NBWARRANT Number of warrants {i}

Default value: NBWARRANT:0

PUT

356

Put option type flag {no value}

PUT to specify a put option
Default value: No standard option type (neither parameter CALL nor PUT) is defined

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OptionStructure

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Keyword

Explanation

RATEFRQ

Compounding frequency parameter {1, 12, 28D, 182D, 2, 28D, 182D, 364D, 4, 91D, M, Q,
S, Y, ZERO} (see the Notes section below)
RATEFRQ:1 or RATEFRQ:Y for yearly
RATEFRQ:12 or RATEFRQ:M for monthly
RATEFRQ:182D for compounding every 182 days
RATEFRQ:2 or RATEFRQ:S for semi-annual
RATEFRQ:28D for compounding every 28 days
RATEFRQ:182D for compounding every 182 days
RATEFRQ:364D for compounding every 364 days
RATEFRQ:4 or RATEFRQ:Q for quarterly
RATEFRQ:91D for compounding every 91 days
RATEFRQ:ZERO no compounding
Default value: RATEFRQ:YEARLY or RATEFRQ:1

RATETYPE

Yield type {CONT, DISC, MM, MMB, MMM, MMP, TRE, SIMPLEJAP, CMPJAP} (see the Notes
section below)
RATETYPE:CONT for continuous yield/rate
RATETYPE:DISC for discounted yield/rate
RATETYPE:MM for Money Market yield/rate
RATETYPE:MMB for Money Market Bullet
RATETYPE:MMM for Money Market Medium
RATETYPE:MMP for Money Market Proceed
RATETYPE:MMR for Money Market Direct Discounting
RATETYPE:TRE for US bills Treasury
RATETYPE:SIMPLEJAP for simple yield/rate
RATETYPE:CMPJAP for compounded yield/rate
Default value: RATETYPE:CONT

SPOT

Spot date {DDMMMYY} (see the Notes section below)

SPOT:DDMMMYY where DDMMMYY is the spot date if different from the trade date (such as
for currency options)
Default value: The spot date is equal to the calculation date

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ParseMode

Keyword

Explanation

UI

Underlying asset type {COM, CUR, FUT, SEC} (see the Notes section below)
UI:COM for an option on commodities
UI:CUR for an option on currencies
UI:FUT for an option on futures
UI:SEC for an option on securities (indexes, stocks, bonds)
Default value: UI:SEC

ParseMode
ParseMode is used as argument in functions of the Adfin Common module to define the parsing

mode.
ParseMode is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

358

Keyword

Explanation

FD

Fraction denominator {i with i as integer}

FD:i to convert a fraction expressed with a denominator equal to i to a decimal
number
Default value: FD:64 when a fraction is detected using PDT:BOND
FD:1 otherwise

LAY

Layout parameter for the array orientation {HOR, VER}

LAY:HOR for horizontal orientation
LAY:VER for vertical orientation
Default value: LAY:HOR

LEN

Number of characters of the substring to parse {i with i as integer}

LEN:i to use i characters of the data string for the parsing
Default value: Length of the data string

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RateMode

Example

Keyword

Explanation

PDF

Parsing data format when using PDT:FXSWP {AB, AUTO, BA, ONE}
PDF:AB to control that the data is displayed using the Ask/Bid format
PDF:AUTO to adapt the Bid/Ask formatted data to have Bid<Ask
PDF:BA to control that the data is displayed using the Bid/Ask format
PDF:ONE to control that there is a unique data
Default value: PDF:AUTO

PDT

Parsing data type {BOND, GEN, FXSWP}

PDT:BOND to parse a bond yield or price
PDT:GEN to parse a general money market rate
PDT:FXSWP to parse a currency swap point
Default value: PDT:BOND if FD is included
PDT:GEN otherwise

POS

Position of the first character of the substring to parse {i with i as integer}

POS:i to start parsing the data string from character #i
Default value: POS:1

PDF:AB PDT:FXSWP defines the data to parse as a currency swap point displayed in the Ask/Bid
format.

RateMode
RateMode is used as argument in functions of the Adfin TermStructure module to customize returned

values.
RateMode is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

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RateMode

Structure

360

Keyword

Explanation

BWB

Bid with bid calculation for AdDepToFraBA {NO, YES}

BWB:NO to use an arbitrage method which mixes the bid and ask rates for the FRA
calculation
BWB:YES to work separately on the bid and ask rates for the FRA calculation
Default value: BWB:NO

FROM

Type of the input rate for AdRateConv {00, A0, A0D, A25D, A5, A5D, AA, CONT, DAYA0,
DAYA5, DISCA0, DISCA5, DF, E0, IAM, MMA0, MMA5}
FROM:00 for 30/360
FROM:A0 for Actual/360
FROM:A0D for Actual/360 (daily compounding)
FROM:A25D for Actual/365.25 (daily compounding)
FROM:A5 for Actual/365
FROM:A5D for Actual/365 (daily compounding)
FROM:AA for Actual/Actual
FROM:CONT for continuous
FROM:DAYA0 for daily Actual/360
FROM:DAYA5 for daily Actual/365
FROM:DISCA0 for discount Actual/360
FROM:DISCA5 for discount Actual/365
FROM:DF for discount factor
FROM:E0 for 30E/360 ISMA
FROM:IAM for interest at maturity
FROM:MMA0 for money market Actual/360
FROM:MMA5 for money market Actual/365
Default value: No default value is defined, mandatory keyword

LAY

Layout parameter for the array orientation {HOR, VER}

LAY:HOR for horizontal orientation
LAY:VER for vertical orientation
Default value: The value of the LAY keyword of the "YC" category

OFFSET

Offset to add to FRA prices for AdDepToFraBA {i, with i as integer}

OFFSET:i to add an offset of i basis points (1 basis point = 0.01%) to both bid and ask
rates
Default value: No offset is applied

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RateMode

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Keyword

Explanation

R1

Type of the first rate for AdDepToFra or AdDepToFraBA {00, A0, A0D, A25D, A5, A5D, AA,
CONT, DAYA0, DAYA5, DISCA0, DISCA5, DF, E0,IAM, MMA0, MMA5}
R1:00 for 30/360
R1:A0 for Actual/360
R1:A0D for Actual/360 (daily compounding)
R1:A25D for Actual/365.25 (daily compounding)
R1:A5 for Actual/365
R1:A5D for Actual/365 (daily compounding)
R1:AA for Actual/Actual
R1:CONT for continuous
R1:DAYA0 for daily Actual/360
R1:DAYA5 for daily Actual/365
R1:DISCA0 for discount Actual/360
R1:DISCA5 for discount Actual/365
R1:DF for discount factor
R1:E0 for 30E/360 ISMA
R1:IAM for interest at maturity
R1:MMA0 for money market Actual/360
R1:MMA5 for money market Actual/365
Default value: No default value is defined

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RateMode

362

Keyword

Explanation

R2

Type of the calculated rate for AdDepToFra or AdDepToFraBA {00, A0, A0D, A25D, A5,
A5D, AA, CONT, DAYA0, DAYA5, DISCA0, DISCA5, DF, E0, IAM, MMA0, MMA5}
R2:00 for 30/360
R2:A0 for Actual/360
R2:A0D for Actual/360 (daily compounding)
R2:A25D for Actual/365.25 (daily compounding)
R2:A5 for Actual/365
R2:A5D for Actual/365 (daily compounding)
R2:AA for Actual/Actual
R2:CONT for continuous
R2:DAYA0 for daily Actual/360
R2:DAYA5 for daily Actual/365
R2:DISCA0 for discount Actual/360
R2:DISCA5 for discount Actual/365
R2:DF for discount factor
R2:E0 for 30E/360 ISMA
R2:IAM for interest at maturity
R2:MMA0 for money market Actual/360
R2:MMA5 for money market Actual/365
Default value: No default value is defined

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RateMode

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Keyword

Explanation

R3

Type of the second rate for AdDepToFra or AdDepToFraBA {00, A0, A0D, A25D, A5, A5D,
AA, CONT, DAYA0, DAYA5, DISCA0, DISCA5, DF, E0, IAM, MMA0, MMA5}
R3:00 for 30/360
R3:A0 for Actual/360
R3:A0D for Actual/360 (daily compounding)
R3:A25D for Actual/365.25 (daily compounding)
R3:A5 for Actual/365
R3:A5D for Actual/365 (daily compounding)
R3:AA for Actual/Actual
R3:CONT for continuous
R3:DAYA0 for daily Actual/360
R3:DAYA5 for daily Actual/365
R3:DISCA0 for discount Actual/360
R3:DISCA5 for discount Actual/365
R3:DF for discount factor
R3:E0 for 30E/360 ISMA
R3:IAM for interest at maturity
R3:MMA0 for money market Actual/360
R3:MMA5 for money market Actual/365
Default value: No default value is defined

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RateMode

364

Keyword

Explanation

RATES

Type of all rates for AdDepToFra or AdDepToFraBA {00, A0, A0D, A25D, A5, A5D, AA, CONT,
DAYA0, DAYA5, DISCA0, DISCA5, DF, E0, IAM, MMA0, MMA5}
RATES:00 for 30/360
RATES:A0 for Actual/360
RATES:A0D for Actual/360 (daily compounding)
RATES:A25D for Actual/365.25 (daily compounding)
RATES:A5 for Actual/365
RATES:A5D for Actual/365 (daily compounding)
RATES:AA for Actual/Actual
RATES:CONT for continuous
RATES:DAYA0 for daily Actual/360
RATES:DAYA5 for daily Actual/365
RATES:DISCA0 for discount Actual/360
RATES:DISCA5 for discount Actual/365
RATES:DF for discount factor
RATES:E0 for 30E/360 ISMA
RATES:IAM for interest at maturity
RATES:MMA0 for money market Actual/360
RATES:MMA5 for money market Actual/365
Default value: No default value is defined

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Appendix A Extended Arguments

RateStructure

Keyword

Explanation

TO

Type of the output rate for AdRateConv {00, A0, A0D, A25D, A5, A5D, AA, CONT, DAYA0,
DAYA5, DISCA0, DISCA5, DF, E0, IAM, MMA0, MMA5}
TO:00 for 30/360
TO:A0 for Actual/360
TO:A0D for Actual/360 (daily compounding)
TO:A25D for Actual/365.25 (daily compounding)
TO:A5 for Actual/365
TO:A5D for Actual/365 (daily compounding)
TO:AA for Actual/Actual
TO:CONT for continuous
TO:DAYA0 for daily Actual/360
TO:DAYA5 for daily Actual/365
TO:DISCA0 for discount Actual/360
TO:DISCA5 for discount Actual/365
TO:DF for discount factor
TO:E0 for 30E/360 ISMA
TO:IAM for interest at maturity
TO:MMA0 for money market Actual/360
TO:MMA5 for money market Actual/365
Default value: No default value is defined, mandatory keyword

RateStructure
RateMode is used as argument in Adfin Analytics functions to define the rate model for pricing
instruments.
RateMode is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

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RateStructure

Structure

Keyword

Explanation

CLDRADJ

Cash flow date adjustment according to a calendar {NO, NULL, WE, CLDR}
CLDRADJ:NO for analytic pricing (i.e. from the bond structure)
CLDRADJ:NULL for cash flow pricing using the calendar NULL
CLDRADJ:WEEKEND for cash flow pricing using the calendar WEEKEND
CLDRADJ:CLDR for cash flow pricing using the calendar defined by the keyword CLDR (if
no calendar is defined, CLDRADJ:WEEKEND is used)
Default value: The value of the CLDRADJ keyword of the "RATEMODEL" category

CURVESHIFT Specifies the shift value {i, where i is a float expressed as real value} (see the Notes

section below)
CURVESHIFT:i means that a shift of i applies to the yield curve

Default value: No shift is defined

DCB

366

Day count basis {00, 05, A0, A0D, A25D, A5, A5D, AA, E0, JAP, NL0, NL5, W252} (see the
Notes section below)
DCB:00 for 30/360 (period-based calculation)
DCB:05 for 30/365 (period-base calculation)
DCB:A0 for Actual/360 (period-based calculation)
DCB:A0D for Actual/360 (day-based calculation)
DCB:A25D for Actual/365.25 (day-based calculation)
DCB:A5 for Actual/365 (period-based calculation)
DCB:A5D for Actual/365 (day-based calculation)
DCB:AA for Actual/Actual (period-based calculation)
DCB:E0 for 30E/360 (period-based calculation)
DCB:JAP for Japanese (A5 or A5 + 1 day for first coupon)
DCB:NL0 for Actual No Leap/360
DCB:NL5 for Actual No Leap/365
DCB:W252 for Actual Working days/252
Default value: The value of the DCB keyword of the "RATEMODEL" category

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RateStructure

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Keyword

Explanation

EY

Equivalent yield parameter {1, 12, 180D5, 182D, 2, 28D, 364D, 4, 91D, M, Q, S, Y, FRQ}
EY:1 or EY:Y for yearly
EY:12 or EY:M for monthly
EY:180D5 for compounding every 180 days on a 365 year basis
EY:182D for compounding every 182 days
EY:2 or EY:S for semi-annual
EY:28D for compounding every 28 days
EY:364D for compounding every 364 days
EY:4 or EY:Q for quarterly
EY:91D for compounding every 91 days
EY:FRQ for compounding defined by the FRQ keyword in the BondStructure
Default value: The value of the EY keyword of the "RATEMODEL" category

IM

Interpolation method {CUBD, CUBR, LIN, LIX, LOG, VOL}

IM:CUBD for cubic spline discount factor interpolation
IM:CUBR for cubic spline rate interpolation
IM:LIN for linear interpolation without extrapolation
IM:LIX for linear interpolation with extrapolation
IM:LOG for loglinear interpolation
IM:VOL for linear interpolation on volatility curves
Default value: The value of the IM keyword of the "RATEMODEL" category

IMVOL

Interpolation method on volatility {CUBD, CUBR, LIN, LIX, LOG, VOL}

IM:CUBD for cubic spline discount factor interpolation
IM:CUBR for cubic spline rate interpolation
IM:LIN for linear interpolation without extrapolation
IM:LIX for linear interpolation with extrapolation
IM:LOG for loglinear interpolation
IM:VOL for linear interpolation on volatility curves
Default value: IMVOL:LIN

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Keyword

Explanation

LLP

Linear last periods parameter {00{:i}, A0{:i}, A5{:i}, AA{:i}, E0{:i}, NO, with i as
integer OR as EY {Y, M, 182D, S, 28D, 364D, Q, 91D}}
LLP:00 for 30/360 for the last period only
LLP:00:i for 30/360 for the i last periods
LLP:00:{Y, M, 182D, S, 28D, 364D, Q, 91D} for 30/360 for a last period of the specified
length
LLP:A0 for Actual/360 for the last period only
LLP:A0:i for Actual/360 for the i last periods
LLP:A0:{Y, M, 182D, S, 28D, 364D, Q, 91D} for Actual/360 for a last period of the
specified length
LLP:A5 for Actual/365 for the last period only
LLP:A5:i for Actual/365 for the i last periods
LLP:A5:{Y, M, 182D, S, 28D, 364D, Q, 91D} for Actual/360 for a last period of the
specified length
LLP:AA for Actual/Actual for the last period only
LLP:AA:i for Actual/Actual for the i last periods
LLP:AA:{Y, M, 182D, S, 28D, 364D, Q, 91D} for Actual/Actual for a last period of the
specified length
LLP:E0 for 30E/360 for the last period only
LLP:E0:i for 30E/360 for the i last periods
LLP:E0:{Y, M, 182D, S, 28D, 364D, Q, 91D} for 30E/360 a last period of the specified
length
LLP:NO for defining no special processing of the last period(s)
Default value: LLP:NO

MDWA

Specifies the type of minimization of residual errors in the Vasicek-Fong model and
basis-spline model, using AdTermStructure {YES, NO}
MDWA:YES to minimize errors between model and market prices weighted by the
inverse of the bond volatility
MDWA:NO to minimize errors between model and market prices
Default value: MDWA:NO

NBKNOT

Number of knots you can choose to build the yield curve when using the basis-spline
models (i with i as an integer)
NBKNOT:i, where 2<= i <= number of distinct input maturities
Default value: NBKNOT:(N/3)+2, where N is the number of distinct input maturities

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RateStructure

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Keyword

Explanation

ND

Null date processing {DIS, ERR}

ND:DIS to discard null dates from the date array
ND:ERR to generate error messages for a null date in the date array
Default value: The value of the ND keyword of the "RATEMODEL" category

OBC

Out of boundary interpolation check {no value, NO, YES}

OBC or OBC:YES to verify if the date to interpolate is within the range of the date array
used (otherwise an error is returned)
OBC:NO to perform no check (an extrapolated value is returned if the date is out of the
array boundaries)
Default value: The value of the OBC keyword of the "RATEMODEL" category

RATEFRQ

Compounding frequency parameter {1, 12, 28D, 2, 28D, 180D5, 182D, 364D, 4, 91D, M,
Q, S, Y, ZERO, EY, FRQ} (see the Notes section below)
RATEFRQ:1 or RATEFRQ:Y for yearly
RATEFRQ:12 or RATEFRQ:M for monthly
RATEFRQ:2 or RATEFRQ:S for semi-annual
RATEFRQ:28D for compounding every 28 days
RATEFRQ:180D5 for compounding every 180 days on a 365 year basis
RATEFRQ:182D for compounding every 182 days
RATEFRQ:364D for compounding every 364 days
RATEFRQ:4 or RATEFRQ:Q for quarterly
RATEFRQ:91D for compounding every 91 days
RATEFRQ:ZERO no compounding
RATEFRQ:EY for compounding defined by the EY keyword
RATEFRQ:FRQ for compounding defined by the FRQ keyword in the BondStructure
Default value: The value of the RATEFRQ keyword of the "RATEMODEL" category

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370

Keyword

Explanation

RATETYPE

Yield type {CMP, CONT, DISC, MM, MMB, MMM, MMP, TRE, SIMPLEJAP, CMPJAP} (see the Notes
section below)
RATETYPE:CMP for Actual
RATETYPE:CONT for continuous yield/rate
RATETYPE:DISC for discounted yield/rate
RATETYPE:MM for Money Market yield/rate
RATETYPE:MMB specified when using the Money Market Bullet pricing method
RATETYPE:MMM specified when using the Money Market Medium pricing method
RATETYPE:MMP specified when using the Money Market Proceeds pricing method
RATETYPE:MMR specified when using the Money Market Direct Discounting pricing
method
RATETYPE:TRE for US Bills Treasury
RATETYPE:SIMPLEJAP for simple yield/rate
RATETYPE:CMPJAP for compounded yield/rate
Default value: RATETYPE:CMP

RM

Rate model {YC, YTA, YTB, YTW, YTM, HW, VF, BDT, BS, BSPLINE} (see the Notes section
below)
RM:YC for Yield Curve
RM:YTA to adapt the calculation of the yield to the bond structure
RM:YTB for Yield To Best
RM:YTW for Yield To Worst
RM:YTM for Yield To Maturity
RM:HW for Hull and White model
RM:VF for Vasicek-Fong model
RM:BDT for Black, Derman, and Toy model
RM:BS for Black and Scholes model
RM:BSPLINE for basis-spline models
Default value: RM:YTA

SMOOTH

Specifies the smoothing basis-spline model {NULL, STEP, CONT}

SMOOTH:NULL for McCulloch linear regression
SMOOTH:STEP for Waggoner smoothing spline model
SMOOTH:CONT for Anderson smoothing spline model
Default value: SMOOTH:NULL

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Appendix A Extended Arguments

RepoMode

Keyword

Explanation

VFALPHA

Alpha coefficient you can specify in the Vasicek-Fong model using AdTermStructure
{i (where i is a float)}
VFALPHA:i to specify the coefficient value
Default value: No default value

VOLTYPE

Volatility type used in the dynamic model {ZC, SR} (see the Notes section below)
VOLTYPE:ZC for Zero Coupon yield volatility
VOLTYPE:SR for short rates volatility
Default value: VOLTYPE:SR

ZCTYPE

Zero-coupon yield curve type {DF, RATE}

ZCTYPE:DF to use discount factors
ZCTYPE:RATE to use zero-coupon rates
Default value: The value of the ZCTYPE keyword of the "RATEMODEL" category

RepoMode
RepoMode is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

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Keyword

Explanation

CF

Specifies the repo cash flows adjustment {CLDR, NO, YES, WE}
CF:CLDR to correct cash flow dates using holidays from the calendar defined with
CLDR (if no calendar is defined, CLDR:WEEKEND is used)
CF:NO to perform the calculation using the bond structure only
CF:YES and CF:WE to correct cash flow dates using weekends
Default value: No default value is defined

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Keyword

Explanation

CIR

Intermediary coupons reinvestment rate {i:00, i:A0, i:A0D, i:A25D, i:A5, i:A5D,
i:AA, i:BFM, i:E0, i:MMBA0, i:MMBA5, i:MMMA0, i:MMMA5, i:MMPA0, i:MMPA5, where
i is numeric (1=100%)}
CIR:i:00 for a bond 30/360 rate equal to i
CIR:i:A0 for a bond Actual/360 rate equal to i
CIR:i:A0D for a bond Actual/360 (day-based) rate equal to i
CIR:i:A25D for a bond Actual/365.25 (day-based) rate equal to i
CIR:i:A5 for a bond Actual/365 rate equal to i
CIR:i:A5D for a bond Actual/365 (day-based) rate equal to i
CIR:i:AA for a bond Actual/Actual rate equal to i
CIR:i:BFM for a Braess/Fangmeyer rate equal to i
CIR:i:E0 for a bond 30E/360 ISMA rate equal to i
CIR:i:MMBA0 for a money market bullet Actual/360 rate equal to i
CIR:i:MMBA5 for a money market bullet Actual/365 rate equal to i
CIR:i:MMMA0 for a money market medium term CD Actual/360 rate equal to i
CIR:i:MMMA5 for a money market medium term CD Actual/365 rate equal to i
CIR:i:MMPA0 for a money market proceeds Actual/360 rate equal to i
CIR:i:MMPA5 for a money market proceeds Actual/365 rate equal to i
Default value: Intermediary coupons are reinvested at the repo rate

CLDR

Calendar parameter for all date adjustments {calendars}

CLDR:calendars to assign one or more calendars to a bond for settlement date and
true yield calculation
Default value: The value of CLDR defined in BondStructure Argument

FV

Future value mode {C, CLEAN, G, GROSS, Y, YIELD}

FV:C or FV:CLEAN to express the future value as a clean price
FV:G or FV:GROSS to express the future value as a gross price
FV:Y or FV:YIELD to express the future value as a yield
Default value: FV:C

NPV

Net Present value mode {C, CLEAN, G, GROSS, Y, YIELD}

NPV:C or NPV:CLEAN to express the present value as a clean price
NPV:G or NPV:GROSS to express the present value as a gross price
NPV:Y or NPV:YIELD to express the present value as a yield
Default value: NPV:C

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RepoMode

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Keyword

Explanation

RES

Expected result {FV, IMPRATE, NPV}

RES:FV to calculate the future value
RES:IMPRATE to calculate the implied repo rate
RES:NPV to calculate the present value
Default value: No expected result is defined

RPFV

Future value redemption ratio {i (where i is numeric) (1=100%)}

RPFV:i for a ratio equal to i
Default value: The value of RP defined in BondStructure Argument

RPNPV

Present value redemption ratio {i (where i is numeric) (1=100%)}

RPNPV:i for a ratio equal to i
Default value: The value of RP defined in BondStructure Argument

RR

Repo rate type {00, A0, A0D, A25D, A5, A5D, AA, E0, MMBA0, MMBA5, MMMA0, MMMA5,
MMPA0, MMPA5}
RR:00 for bond 30/360
RR:A0 for bond Actual/360
RR:A0D for bond Actual/360 (day-based)
RR:A25D for bond Actual/365.25 (day-based)
RR:A5 for bond Actual/365
RR:A5D for bond Actual/365 (day-based)
RR:AA for bond Actual/Actual
RR:E0 for bond 30E/360 ISMA
RR:MMBA0 for money market bullet Actual/360
RR:MMBA5 for money market bullet Actual/365
RR:MMMA0 for money market medium term CD Actual/360
RR:MMMA5 for money market medium term CD Actual/365
RR:MMPA0 for money market proceeds Actual/360
RR:MMPA5 for money market proceeds Actual/365
Default value: No default value is defined

XDFV

Future value ex-dividend calculation {no value, NO, YES}

XDFV or to force ex-dividend calculations (exclude the right to the next coupon)
XDFV:NO to force cum-dividend calculations (grant the right to the next coupon)
Default value: No default value is defined

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RoundMode

Keyword

Explanation

XDNPV

Present value ex-dividend calculation {no value, NO, YES}

XDNPV or XDNPV:YES to force ex-dividend calculations (exclude the right to the next
coupon)
XDNPV:NO to force cum-dividend calculations (grant the right to the next coupon)
Default value: No default value is defined

RoundMode
RoundMode is used as argument in functions of the Adfin Common module to define the rounding

mode.
RoundMode is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

Keyword

Explanation

DOWN

Down rounding method {no value}

DOWN to round the number down

NEAR

Nearest rounding method {no value}

NEAR to round the number to the nearest possible number (depends on the tick)
Default value: NEAR

UP

Up rounding method {no value}

UP to round the number up

RtMode
The RtMode argument is used in Adfin Real Time to define how real time data is retrieved or
contributed.
RtMode is a string made up of a series of parameters, each one consisting of a keyword, an optional

colon (":"), and the value of the parameter. Spaces are used to separate the parameters in the string.

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RtMode

Structure

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Keyword

Explanation

CTU

Specifies the cells to update {ALL, CHANGED}

CTU:ALL to update all cells within the result array
CTU:CHANGED to update only the cells which have changed in the result array
Default value: CTU:CHANGED

FORMAT

Specifies the format applied to numeric data contributed to a page or a field {i} or
{i:j with i and j as integer}
FORMAT:i for a string of i characters
FORMAT:i:j for a string of i characters and a decimal precision of j digits (1 <= i
<= 325 and 0 <= j <= 15)
Default value: No format is applied

FRQ

Defines the maximum update frequency {iH, iM, iS, with i as integer}
FRQ:iH for i hours
FRQ:iM for i minutes
FRQ:iS for i seconds (minimum is 1S)
Default value: FRQ:30S for RtUpdate
No default value for RtContribute and RtSeries

FTC

Defines the field values to contribute simultaneously {ALL, CHANGED, i-j,k with i,
j and k as integer}
FTC:ALL to contribute all fields each time the function is recalculated
FTC:CHANGED to contribute only the fields that have changed since the last time the
function was recalculated
FTC:i-j,k to contribute fields numbered from i to j and k as well as the field that
changed when the function is recalculated
Default value: FTC:ALL

IGNE

Specifies whether empty records retrieved by #RtChain are ignored {NO, YES}
IGNE:NO to display empty records
IGNE:YES to skip empty records
Default value: IGNE:NO

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Keyword

Explanation

LAY

Specifies the orientation of the result array of #RtChain, RtSeries, and

RtUpdate {HOR, VER}
LAY:HOR means that instrument codes and fields are returned in a row
LAY:VER means that instrument codes and fields are returned in a column
Default value: LAY:HOR for RtUpdate and RtSeries (all fields for one
instrument displayed across one row)
LAY:VER for RtChain (constituents are displayed in a column)

LIFETIME

Specifies the contribution lifetime for local contributions {ALWAYS, iH, iM, iS, with i
as integer}
LIFETIME:ALWAYS for no limitation
LIFETIME:iH for i hours
LIFETIME:iM for i minutes
LIFETIME:iS for i seconds
Default value: The value defined as Local Contribution Lifetime in Settings

LIVE

Specifies whether the data is maintained in real time, following initial retrieval with
RtUpdate function {NO, YES}
LIVE:NO to get a single snapshot of the data
LIVE:YES to maintain subscriptions open and receive further updates
Default value: LIVE:NO

ONTIME

Specifies the date and time of the snap event {HHMM, DDMMMYY:HHMM}
ONTIME:HHMM indicates that the snap occurs on any date at the time HH:MM
ONTIME:DDMMMYY:HHMM indicates that the snap occurs on the date DDMMMYY at the
time HHMM
Default value: No default value is defined

POS

Specifies the position of the first contributed character for IDN row contribution {i
with i as integer}
POS:i to write the value to the row starting at position i
Default value: POS:1

RET

Specifies the size of the return array of #RtChain and RtSeries {Ai with i as
integer}
RET:Ai to get an array of i rows
Default value: No array size is defined (the output of #RtChain may be
corrupted or may overwrite other data)

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RtMode

Keyword

Explanation

SCOPE

Specifies the contribution scope {L, LOCAL, S, SERVER}

SCOPE:L or SCOPE:LOCAL for local contribution that means the contributed data is
sent to all open spreadsheets
SCOPE:S or SCOPE:SERVER for server contribution that means the contributed data
is sent to the selected source server
Default value: The value defined as Contribution Type in Settings

SKIP

Specifies which records retrieved by #RtChain are ignored {i-j,k with i, j and k
as integer}
SKIP:i-j, k to ignore the records numbered from i to j and k, generally used to
avoid displaying the first ones, which do not describe actual instruments
Default value: No record is skipped

SORT

List sorting order of the time series for RtHistory and RtSeries {ASC, DESC}
SORT:ASC means that the oldest is the first of the list
SORT:DESC means that the most recent is the first of the list
Default value: SORT:DESC

START

Specifies the start date of the snap process {HH:MM, DD/MMM/YY-HH:MM}

START:HH:MM to start the snap process on the current day at HH:MM
START:DD/MMM/YY-HH:MM to start the snap process at the specified date and time
Default value: The current date and time.

TRIM

Specifies the space trimming for string data retrieved by RtGet and RtUpdate
{BOTH, LEFT, RIGHT}
TRIM:BOTH to remove spaces at the beginning and at the end of the text string
TRIM:LEFT to only remove spaces at the beginning of the text string

TRIM:RIGHT to only remove spaces at the end of the text string

Default value: No trimming is done
TSPOS

Specifies the place of the timestamp field {LEFT, NONE, RIGHT}

TSPOS:LEFT means that the timestamp column is the first column
TSPOS:NONE means that the timestamp field is not returned
TSPOS:RIGHT means that the timestamps column is the last column
Default value: TSPOS:LEFT

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StirFutStructure

Keyword
TYPE

Explanation
Specifies the type of data retrieved with RtGet and RtUpdate {DATE, LOCAL,
NUM, STRING, TIME}
TYPE:DATE for date
TYPE:LOCAL for data in your local format
TYPE:NUM for numeric
TYPE:STRING for string
TYPE:TIME for time

Default value: The default value depends on the real time platform. In most cases
Adfin Real Time returns the data in the proper type automatically
UPDATE

Defines the condition to trigger the update event {ALWAYS, CHANGED, SNAP,
STOP}
UPDATE:ALWAYS: With RtUpdate: to update the data and/or run the macro

regardless of data updates

With RtContribute: to contribute the data whenever the function is invoked
UPDATE:CHANGED: With RtUpdate: to update the data and/or run the macro only if
the data changes
With RtContribute: to contribute the data only if the data to contribute has changed
UPDATE:SNAP: With RtUpdate: to update the data on snap
UPDATE:STOP: With RtUpdate and RtContribute: to stop all actions
Default value: UPDATE:CHANGED
UWC

Specifies the update condition with #RtChain {NO, YES}

UWC:NO to update the result array for the first time as data arrives
UWC:YES to update the result array upon complete retrieval
Default value: UWC:YES

StirFutStructure
StirFutStructure is used as argument in functions of the Adfin Common module to define the

structure of a STIR interest rate futures contract.

StirFutStructure is a string consisting of a series of parameters. Each set of parameters consists
of a keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

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StirFutStructure

Structure

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Keyword

Explanation

CLDR

Calendar for holiday management {calendar}

CLDR:calendar to assign the corresponding calendar style to the currency
Default value: CLDR:NULL (no date adjustment is made)

CRD

Contract reference date calculation method {2NDFRI, 3RDWED, NBB}

CRD:2NDFRI to set the second Friday of the delivery month
CRD:3RDWED to set the date to the third Wednesday day of the delivery month
CRD:NBB to set the date to the third Wednesday after the ninth day of the contact
month (specific to the NZ Bank Bill Future Contracts)
Default value: CRD:3RDWED

CUR

Underlying currency {currency}

CUR:currency to define the contract underlying currency
Default value: No currency is defined

DTM

Number of working days from trade date to MM spot date {0, 1, 2, 3, 4, 5}

DTM:0 for 0 working day
DTM:1 for 1 working day
DTM:2 for 2 working days
DTM:3 for 3 working days
DTM:4 for 4 working days
DTM:5 for 5 working days
Default value: DTM:2

NBMC

Number of monthly contracts {i with i as integer}

NBMC:i to specify that i monthly contracts (odd maturities) are quoted
Default value: NBMC:0

NBMONTH

Number of months covered by the contract {1, 3, 6, 12}

NBMONTH:1 for 1 month
NBMONTH:3 for 3 months
NBMONTH:6 for 6 months
NBMONTH:12 for 12 months
Default value: NBMONTH:3

NBQC

Number of quarterly contracts {i with i as integer}

NBQC:i to specify that i quarterly contracts (standard maturities) are quoted
Default value: NBQC:8

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StyleMode

StyleMode
StyleMode is used as argument in functions of the Adfin Common odule to define how a new style is

created or modified. It is also used to retrieve the latest value of an index history style.
StyleMode is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

Keyword

Explanation

LAY

Layout parameter for the input array orientation {H, HOR, V, VER}
LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: LAY

RET

Return value parameter to shorten or lengthen the array of data returned by array
functions {Ai, i with i as integer}
RET:Ai with i from 1 to ArraySize to get the array of the i first elements (values
only)
RET:i with i from 1 to ArraySize to get the i-th element only

SwapStructure
SwapStructure is used as argument in the AdSwaptionDeriv and AdSwaptionPremium functions to
define the structure of a swap.
SwapStructure is a string consisting of a series of parameters. Each set of parameters consists of a
keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

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SwapStructure

Structure

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Keyword

Explanation

ACC

Accrued interest calculation method {{00, A0, A5, AA, BB00, BBA5, BBW252, E0, IT, IT2,
JAP, MMA0, MMA5, MMNL5, NL0, NL5, W252}
ACC:00 for 30/360
ACC:A0 for Actual/360
ACC:A5 for Actual/365
ACC:AA for Actual/Actual
ACC:BB00 for Brazilian 30/360
ACC:BBA5 for Brazilian Actual/365
ACC:BBW252 for Brazilian Actual Working days/252
ACC:E0 for 30E/360
ACC:IT for Italian (from last coupon date to settlement date in E0 + 1 day)
ACC:IT2 for Italian modified (from last coupon date to settlement date + 1 day in E0)
ACC:JAP for Japanese (A5 or A5 + 1 day for first coupon)
ACC:MMA0 for money market Actual/360
ACC:MMA5 for money market Actual/365
ACC:MMNL5 for money market Actual No Leap/365
ACC:NL0 for Actual No Leap/360
ACC:NL5 for Actual No Leap/365
ACC:W252 for Actual Working days/252
Default value: ACC:AA

AMORT

Notional principal amortization pattern for amortizing swaps {DDMMMYY:i (where i is

numeric)}
Default value: The notional principal amount is fixed during the swap life

ARND

Rounding mode of the accrued interest {NO} or {i (where i is numeric) : {UP, DOWN,
NEAR}}
ARND:NO if no rounding is requested
ARND:i:{UP,DOWN,NEAR} for rounding to the precision defined by i
Default value: ARND:NO if no rounding is specified
ARND:i:NEAR if i is specified

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SwapStructure

382

Keyword

Explanation

CCM

Coupon calculation method {BB00, BBA0, BBA5, BBAA, BBE0, MM00, MMA0, MMA5, MMAA,
MME0, MMNL0, MMNL5, 00D, A0D, A5D, E0D, 00, A0, A5, AA, E0} (see the Notes section
below)
CCM:BB00 for bond 30/360
CCM:BBA0 for bond Actual/360
CCM:BBA5 for bond Actual/365
CCM:BBAA for bond Actual/Actual
CCM:BBE0 for bond 30E/360 ISMA
CCM:MM00 for money market 00/360
CCM:MMA5 for money market Actual/365
CCM:MMA0 for money market Actual/360
CCM:MMAA for money market Actual/Actual
CCM:MME0 for money market 30E/360
CCM:MMNL0 for money market Actual No Leap/360
CCM:MMNL5 for money market Actual No Leap/365
CCM:00D for effective 30/360 (day-based)
CCM:A0D for effective Actual/360 (day-based)
CCM:A5D for effective Actual/365 (day-based)
CCM:E0D for effective 30E/360 (day-based)
CCM:00 for effective 30/360 (period-based)
CCM:A0 for effective Actual/360 (period-based)
CCM:A5 for effective Actual/365 (period-based)
CCM:AA for effective Actual/Actual (period-based)
CCM:E0 for effective 30E/360 (period-based)
Default value: CCM:BBAA

CFADJ

Cash Flow (Value) Adjustment {YES, NO}

CFADJ:YES for adjusting the cash flow value with the payment date
CFADJ:NO for not adjusting the cash flow values
Default value: CFADJ:NO

CLDR

Calendar for holiday management {calendar}

CLDR:calendar to assign the corresponding calendar style to the currency
Default value: CLDR:NULL (no date adjustment is made)

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SwapStructure

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Keyword

Explanation

CRND

Coupon rounding tick size {i (where i is numeric) (0.001=10E-3)}

CRND:i for rounding to the precision defined by i
Default value: CRND:NO

DATED

Dated date {DDMMMYY}

DATED:DDMMMYY where DDMMMYY is the accrual start date for irregular coupons
Default value: No dated date is defined

DMC

Date moving convention used when an expiry date or a dividend date falls on a non
working day {F, FOL, M, MOD, N, NONE, P, PRE}
DMC:F or DMC:FOL for moving the date to the following working day
DMC:M or DMC:MOD for moving the date to the following working day unless it causes
the date to be pushed into the next month (in this latter case, the last working day of
the month is used)
DMC:N or DMC:NONE for no moving date
DMC:P or DMC:PRE for moving the date to the preceding working day
Default value: The value of the DMC keyword of the "IRS" category

EMC

End-of-month convention used when the maturity date falls on the last day of a month
{D, DEF, L, LAST, S, SAME, L28}
EMC:D or EMC:DEF for the value in Default Settings
EMC:L or EMC:LAST for last
EMC:S or EMC:SAME for same
EMC:L28 to match Hong Kong bond requirements: They ignore the 29th of February
for cash flow payment. This affects semi-annual bonds maturing on the 31st of
August. Coupons are paid every 31st of August and every 28th of February. In case of
a leap year the cash flow is still paid the 28th and not the 29th
Default value: The value of the EMC keyword of the "IRS" category

FAD

First amortization date {DDMMMYY}

FAD:DDMMMYY where DDMMMYY is the first amortization date
Default value: No first amortization date defined

FCV

First coupon nominal value {i (where i is numeric)}

FCV:i where i is the first coupon nominal rate for irregular coupons
Default value: All coupons are regular so FCV has no meaning

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384

Keyword

Explanation

FRCD

First Regular Coupon Date for odd first coupon {DDMMMYY}

FRCD:DDMMMYY where DDMMMYY is the first regular coupon date
Default value: No first regular coupon date defined

FRQ

Frequency of the coupon payments {i {28D, 91D, 182D,364D, 1, 2, 4, 12}} (see the
Notes section below)
FRQ:28D to define a coupon payment every 28 days from the maturity date
FRQ:91D to define a coupon payment every 91 days from the maturity date
FRQ:182D to define a coupon payment every 182 days from the maturity date
FRQ:364D to define a coupon payment every 364 days from the maturity date
FRQ:1 to define an annual coupon payment from the maturity date
FRQ:2 to define a semi-annual coupon payment from the maturity date
FRQ:4 to define a quarterly coupon payment from the maturity date
FRQ:12 to define a monthly coupon payment from the maturity date
FRQ:DDMMMYY:i to define a frequency of i from date DDMMMYY
Default value: FRQ:1

IC

Irregular first coupon type for asset swaps combined with bonds with an irregular first
coupon {L1, L1R, S1, S1P, S1R, NBC}
(the bond issue date must also be specified using DATED)
IC:L1 for long first coupon (first coupon date equal to second anniversary date)
IC:L1R for long first coupon with regular nominal value and starting accrued date
equal to first anniversary date (SPGB)
IC:S1 for short first coupon (first coupon date equal to first anniversary date)
IC:S1P for short first coupon with proportional value (BTAN)
IC:S1R for short first coupon with regular nominal value
IC:NBC for NBC fist coupon
Default value: IC:S1

IDX

Underlying index style {index history style}

IDX:index to assign an index history style to the bond
Default value: No default value is defined

LBOTH

Swap attribute specification flag {no value}

LBOTH to specify that the following keywords apply to both legs
Default value: No default value is defined

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SwapStructure

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Keyword

Explanation

LPAID

Paid leg attribute flag {no value}

LPAID to specify that the following keywords apply to the paid leg only
Default value: No default value is defined

LRCD

Last regular coupon date for odd last coupon {DDMMMYY, JGB}
LRCD:DDMMMYY where DDMMMYY is the last regular coupon date
LRCD:JGB to handle odd last coupons for JGBs automatically
Default value: All coupons are regular so LRCD has no meaning

LRECEIVED

Received leg attribute flag {no value}

LRECEIVED to specify that the following keywords apply to the received leg only
Default value: No default value is defined

LTYPE

Type of the current leg {FIXED, FLOAT}

LTYPE:FIXED to define that the current leg is a fixed leg
LTYPE:FLOAT to define that the current leg is a floating leg
Default value: No leg type is defined (mandatory keyword for both legs)

MDADJ

Maturity date adjustment {F, M, N, P}

MDADJ:F for Following
MDADJ:M for Modified Following
MDADJ:N for No maturity date adjustment
MDADJ:P for Preceding
Default value: MDADJ:N

NOTIONAL

Notional principal amount used for interest payments {i (where i is numeric)}

NOTIONAL:i for a notional principal equal to i units of currency
Default value: NOTIONAL:1

PDELAY

Payment delay {i, with i as integer}

PDELAY:i to apply a payment delay of i working days after the calculation period end
date
Default value: PDELAY:0

PPMT

Partial payment for swaps {DDMMMYY:i with i<=1}

PPMT:DDMMMYY:i to indicate that i are paid at the date DDMMMYY
Default value: The swap is completely paid at the issue date

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SwMode

Keyword

Explanation

REFDATE

Reference date in cash flow dates generation {MATURITY, ISSUE}

REFDATE:ISSUE to use the issue date as reference date
REFDATE:MATURITY to use the maturity date as reference date
Default value: REFDATE:MATURITY

RND

Coupon rounding for accrued calculation {2, 3, 4, 5, 6, NO}

For backward compatibility reasons, this keyword is still supported
RND:2 for 2-decimal rounding
RND:3 for 3-decimal rounding
RND:4 for 4-decimal rounding
RND:5 for 5-decimal rounding
RND:6 for 6-decimal rounding
RND:NO for no rounding
Default value: RND:NO

RP

Redemption price ratio {i (where i is numeric) (1=100%)}

RP:i for a ratio equal to i
Default value: RP:1 (for 100%)

RT

Reimbursement type {B, C{:i}, Sj{:i} where i is numeric (1=100%) and j from 1 to 8}
RT:B for bullet or in fine
RT:C for constant payments
RT:C:i for constant payments equal to i except for the last cash flow which is
adjusted
RT:Sj for j series
RT:Sj:i for j series and constant payments equal to i except for the last cash flow
which is adjusted
Default value: RT:B

SPREAD

Credit spread flag {no value, NO, YES}

SPREAD or SPREAD:YES to enable the credit spread in the calculation
SPREAD:NO to disable the credit spread in the calculation
Default value: SPREAD:0

SwMode
SwMode is used as argument in functions of the Adfin Swaps module to define:

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Appendix A Extended Arguments

SwMode

the attributes of the zero-coupon yield curves used or calculated in Adfin Swaps (keywords
CURVESHIFT, DCB, IM, LAY, ND, OBC, SHIFT, and ZCTYPE)
the types of some input arguments and to select or customize returned values (keywords
MATRANGE, PXT, RES and RET)
how the prices are specified in input and output for currency swaps (keyword DC)

SwMode is a string consisting of a series of parameters. Each set of parameters consists of a

keyword, a colon (:), and the value of the keyword. The parameter sets are separated by a blank
space. However, certain keywords are used on their own and do not require a value. A keyword can
also have several values, all separated by colons.

Structure

Keyword

Explanation

CURVESHIFT Specifies the shift value {i, where i is a float expressed as real value} (see the Notes

section below)
CURVESHIFT:i means that a parallel shift of i applies to the yield curve
Default value: No shift is defined

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DC

Discount currency parameter for currency swaps {currencies}

DC:currency to define the currency used for discounting both legs
Default value: The currency of the paid leg

DCB

Day count basisused for zero-coupon calculations {00, A0, A0D, A25D, A5, A5D, AA, E0}
DCB:00 for 30/360 (period-based calculation)
DCB:A0 for Actual/360 (period-based calculation)
DCB:A0D for Actual/360 (day-based calculation)
DCB:A25D for Actual/365.25 (day-based calculation)
DCB:A5 for Actual/365 (period-based calculation)
DCB:A5D for Actual/365 (day-based calculation)
DCB:AA for Actual/Actual (period-based calculation)
DCB:E0 for 30E/360 ISMA (period-based calculation)
Default value: The value of the DCB keyword of the "RATEMODEL" category

IM

Interpolation method {CUBD, CUBR, LIN}

IM:CUBD for cubic spline discount factor interpolation
IM:CUBR for cubic spline rate interpolation
IM:LIN for linear interpolation without extrapolation
Default value: The value of the IM keyword of the "RATEMODEL" category

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SwMode

388

Keyword

Explanation

LAY

Layout parameter for the array orientation {H, HOR, V, VER}

LAY:H or LAY:HOR for horizontal orientation
LAY:V or LAY:VER for vertical orientation
Default value: The value of the LAY keyword of the "XLMODE" category

MATRANGE

Range parameter describing the maturities included in an input swap rate curve
{iY,jY, iY-jY with i and j as integer}
MATRANGE:iY,jY to specify a curve with maturities of i years and j years
MATRANGE:iY-jY to specify a curve with maturities ranging from i years to j years
Default value: MATRANGE: 1,2,3,6,9, or undefined

ND

Null date processing {DIS, ERR}

ND:DIS to discard null dates from the date array
ND:ERR to generate error messages for a null date in the date array
Default value: The value of the ND keyword of the "RATEMODEL" category

OBC

Out of boundary interpolation check {NO, YES}

OBC:NO to perform no check (an extrapolated value is returned if the date is out of the
array boundaries)
OBC:YES to verify if the date to interpolate is within the range of the date array used
(otherwise an error is returned)
Default value: The value of the OBC keyword of the "RATEMODEL" category

PXT

Input price type {BOTH, FIXED, FLOAT, PAID, RECEIVED}

PXT:BOTH for the price of both legs
PXT:FIXED for the price of the fixed leg
PXT:FLOAT for the price of the floating leg
PXT:PAID for the price of the paid leg
PXT:RECEIVED for the price of the received leg
Default value: PXT:BOTH

RES

Expected result {FIXED, FLOAT, PAID, RECEIVED}

RES:FIXED for fixed leg pricing
RES:FLOAT for floating leg spread pricing
RES:PAID for the fixed rate or floating rate spread of the paid leg
RES:RECEIVED for the fixed rate or floating rate spread of the received leg
Default value: No

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Appendix A Extended Arguments

YcMode

Keyword

Explanation

RET

Return value parameter to shorten or lengthen the array of data returned by array
functions {Ai{:ABCDE}, i with i as integer}
RET:Ai with i from 1 to ArraySize to get the i first rows of the default array
RET:Ai:ABCDE with i from 1 to ArraySize to get the i first rows of an array containing
the selected columns (see supported configurations)
Default value: No

SHIFT

Net present value change value {i (where i is numeric)}

SHIFT:i for a NPV change equal to i
Default value: SHIFT:0.0001

ZCTYPE

Input zero-coupon yield curve type {DF, RATE}

ZCTYPE:DF for a discount factor yield curve
ZCTYPE:RATE for a zero-coupon rate yield curve
Default value: The value of the ZCTYPE keyword of the "RATEMODEL" category

YcMode
YcMode is used as argument functions of the Adfin TermStructure module to customize
returned values.
YcMode is a string consisting of a series of parameters. Each set of parameters consists of
a keyword, a colon (:), and the value of the keyword. The parameter sets are separated by
a blank space. However, certain keywords are used on their own and do not require a
value. A keyword can also have several values, all separated by colons.

Structure

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Keyword

Explanation

BWB

Bid with bid calculation {NO, YES}

BWB:NO to use an arbitrage method which mixes the bid and ask curves for the FRA
calculation
BWB:YES to work separately on the bid and ask curves for the FRA calculation
Default value: BWB:NO

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YcMode

Keyword

Explanation

DCB

Day count basis {00, A0, A0D, A25D, A5, A5D, AA, E0}
DCB:00 for 30/360 (period-based calculation)
DCB:A0 for Actual/360 (period-based calculation)
DCB:A0D for Actual/360 (day-based calculation)
DCB:A25D for Actual/365.25 (day-based calculation)
DCB:A5 for Actual/365 (period-based calculation)
DCB:A5D for Actual/365 (day-based calculation)
DCB:AA for Actual/Actual (period-based calculation)
DCB:E0 for 30E/360 ISMA (period-based calculation)
Default value: DCB:AA

DCP

Current payment parameter for Adfin Swaps {NO, YES}

DCP:NO to keep the current caplet/floorlet
DCP:YES to skip the current caplet/floorlet
Default value: DCP:NO

IM

Interpolation method {CUBD, CUBR, LIN, LIX, LOG, VOL}

IM:CUBD for cubic spline discount factor interpolation
IM:CUBR for cubic spline rate interpolation
IM:LIN for linear interpolation without extrapolation
IM:LIX for linear interpolation with extrapolation
IM:LOG for loglinear interpolation
IM:VOL for linear interpolation on volatility curves

Default value: IM:LIN

390

LAY

Layout parameter for the array orientation {HOR, VER}

LAY:HOR for horizontal orientation
LAY:VER for vertical orientation
Default value: LAY:H

ND

Null date processing {DIS, ERR}

ND:DIS to discard null dates from the date array
ND:ERR to generate error messages for a null date in the date array
Default value: ND:NO

NFVP

Next fixing validity period {i, with i as integer}

NFVP:i to use the next fixing for a period of i days before the fixing date
Default value: NFVP:0

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Appendix A Extended Arguments

YcMode

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Keyword

Explanation

OBC

Out of boundary interpolation check {NO, YES}

OBC:NO to perform no check (an extrapolated value is returned if the date is out of the
array boundaries)
OBC:YES to verify if the date to interpolate is within the range of the date array used
(otherwise an error is returned)
Default value: OBC:NO

ODD

Odd contracts parameter {NO, YES}

ODD:NO to skip odd contract codes
ODD:YES to list odd contract codes
Default value: ODD:YES

OFFSET

Offset to add to FRA prices {i, with i as integer}

OFFSET:i to add an offset of i basis points (1 basis point = 0.01%) to both bid and ask
rates
Default value: No offset is applied

PFVP

Previous fixing validity period {i, with i as integer}

PFVP:i to use the previous fixing for a period of i days after the fixing date
Default value: PFVP:0

RET

Return value parameter to shorten the data returned by array functions {Ai, i with i
as integer}
RET:Ai with i from 1 to ArraySize to get the i first elements
RET:i with i from 1 to ArraySize to get the i-th element only
Default value: BWB

ROLL

Rollover parameter {NO, YES}

ROLL:NO to list next contract code
ROLL:YES to skip next contract code
Default value: ROLL:NO

SPREAD

Spread to apply to FRA prices {i, with i as integer}

SPREAD:i to force a spread of i basis points (1 basis point = 0.01%) between bid and
ask rates
Default value: The spread is not forced

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Keyword

Explanation

ZCTYPE

Zero-coupon yield curve type {DF, RATE}

ZCTYPE:DF to use discount factors
ZCTYPE:RATE to use zero-coupon rates
Default value: ZCTYPE:RATE

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