Reuters Pppro Function Reference

Reuters PowerPlus Pro 4.5.1 Function Reference GuideDocument Number 450531.3

4 August 2003

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Published by Reuters, 85 Fleet Street, London, EC4P 4AJ, UK.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 Document Number

Date 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 [email protected] 4 August 2003 3

Reuters PowerPlus Pro 4.5.1 Function Reference Guide4 4 August 2003 [email protected]

TABLE OF CONTENTS

Part I:IntroductionChapter 1 Introducing the Reuters PowerPlus Pro Function Reference Guide .......................................17

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

Part II:Reuters Adfin RealtimeChapter 2 Realtime Data Functions ......................................................................................................................23

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

Chapter 3 Historical Data Functions.....................................................................................................................29RtHistory .....................................................................................................................................................30RtHistoryInfo ...............................................................................................................................................30

Part III:[email protected] 4 August 2003 5

Reuters Adfin BondsChapter 4 Fixed Income Securities Functions ...................................................................................................35

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

Table of Contents Reuters PowerPlus Pro 4.5.1 Function Reference Guide

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

Chapter 5 Cash Flows Functions ..........................................................................................................................47CfAvgLife ....................................................................................................................................................48CfConv ........................................................................................................................................................48CfDur ..........................................................................................................................................................48CfPvbp ........................................................................................................................................................49CfPx ............................................................................................................................................................49CfPxCrv ......................................................................................................................................................50CfRepo ........................................................................................................................................................50CfVol ...........................................................................................................................................................52CfYld ...........................................................................................................................................................53

Chapter 6 Convertible Bond Functions ...............................................................................................................55AdConvBdDeriv ..........................................................................................................................................56AdConvCalcCpn .........................................................................................................................................56AdConvCashFlows .....................................................................................................................................57AdConvImpliedVol ......................................................................................................................................57AdConvOpDeriv ..........................................................................................................................................58AdConvPrice ...............................................................................................................................................59AdConvRatios .............................................................................................................................................60AdConvYield ...............................................................................................................................................60

Chapter 7 Floating Rate Notes Functions ...........................................................................................................63FrnCalcCpn .................................................................................................................................................64FrnCashFlows .............................................................................................................................................64FrnMargin ...................................................................................................................................................656 4 August 2003 [email protected]

FrnPx ..........................................................................................................................................................65

Reuters PowerPlus Pro 4.5.1 Function Reference Guide Table of Contents

Chapter 8 Index Linked Bonds Functions...........................................................................................................67IlbCalcCpn ..................................................................................................................................................68IlbCashFlows ..............................................................................................................................................68IlbPx ............................................................................................................................................................69IlbYld ...........................................................................................................................................................69

Part IV:Reuters Adfin CreditChapter 9 Credit Functions .....................................................................................................................................73

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

Part V:Reuters Adfin Foreign Exchange and Money MarketsChapter 10 Forex & MM Functions ..........................................................................................................................85

AdDepToFra ................................................................................................................................................86AdDepToFraBA ...........................................................................................................................................86AdZcToFraBA .............................................................................................................................................87FxCalcPeriod ..............................................................................................................................................87FxCross ......................................................................................................................................................87FxCrossA ....................................................................................................................................................88FxCrossD ....................................................................................................................................................88FxDepToSwpD ............................................................................................................................................89FxDepToSwpP ............................................................................................................................................90FxGenCalc ..................................................................................................................................................91FxGenParse ................................................................................................................................................92FxSwpToDepD ............................................................................................................................................92FxSwpToDepP ............................................................................................................................................93FxSwpToOut ...............................................................................................................................................94rfs-doc@reuters.com 4 August 2003 7

FxSwpToSwp ..............................................................................................................................................94


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

Part VI:Reuters Adfin OptionsChapter 11 Options and Warrants Functions .......................................................................................................99

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

Chapter 12 Bond Options Functions ....................................................................................................................103Bond Options ............................................................................................................................................104AdBondOptionDeriv ..................................................................................................................................104AdBondOptionPremium ............................................................................................................................105

Chapter 13 Vanilla Caps, Floor, and Collars Functions ...................................................................................107AdCapFloorCaplets ..................................................................................................................................108AdCapFloorDeriv ......................................................................................................................................108AdCapFloorImpliedVol ..............................................................................................................................109AdCapFloorPremium ................................................................................................................................ 110

Chapter 14 Barrier Caps and Floors Functions ................................................................................................. 111AdBarrierCapFloorCaplets ........................................................................................................................ 112AdBarrierCapFloorDeriv ........................................................................................................................... 112AdBarrierCapFloorImpliedVol ................................................................................................................... 113AdBarrierCapFloorPremium ..................................................................................................................... 114

Chapter 15 Digital Caps, Floors, and Collars Functions ................................................................................. 117AdDigitalCapFloorCaplets ......................................................................................................................... 118AdDigitalCapFloorDeriv ............................................................................................................................ 118AdDigitalCapFloorImpliedVol .................................................................................................................... 119AdDigitalCapFloorPremium ......................................................................................................................120

Chapter 16 Swaptions Functions...........................................................................................................................121AdSwaptionPremium ................................................................................................................................122AdSwaptionDeriv ......................................................................................................................................122

Part VII:8 4 August 2003 [email protected]

Reuters Adfin Exotic Options


Chapter 17 Asian Options Functions ...................................................................................................................127Adfin Exotics .............................................................................................................................................128OpAsianDeriv ............................................................................................................................................128OpAsianImpliedVol ...................................................................................................................................129OpAsianPremium ......................................................................................................................................130

Chapter 18 Barrier Options Functions .................................................................................................................133OpBarrierDeriv ..........................................................................................................................................134OpBarrierImpliedVol ..................................................................................................................................134OpBarrierPremium ....................................................................................................................................135

Chapter 19 Basket Options Functions .................................................................................................................137OpBasketDeriv ..........................................................................................................................................138OpBasketPremium ....................................................................................................................................139

Chapter 20 Binary Options Functions ..................................................................................................................141OpBinaryDeriv ..........................................................................................................................................142OpBinaryImpliedVol ..................................................................................................................................142OpBinaryPremium ....................................................................................................................................143

Chapter 21 Chooser Options Functions ..............................................................................................................145OpChooserDeriv .......................................................................................................................................146OpChooserImpliedVol ...............................................................................................................................146OpChooserPremium .................................................................................................................................147

Chapter 22 Cliquet Options Functions .................................................................................................................149OpCliquetDeriv .........................................................................................................................................150OpCliquetImpliedVol .................................................................................................................................150OpCliquetPremium ...................................................................................................................................151

Chapter 23 Compound Options Functions .........................................................................................................153OpCompoundDeriv ...................................................................................................................................154OpCompoundImpliedVol ...........................................................................................................................154OpCompoundPremium .............................................................................................................................155

Chapter 24 Double Barrier Options Functions...................................................................................................157OpDoubleBarrierDeriv ..............................................................................................................................158OpDoubleBarrierImpliedVol ......................................................................................................................158OpDoubleBarrierPremium ........................................................................................................................159

Chapter 25 ExLookBack Options Functions ......................................................................................................161OpExLookbackDeriv .................................................................................................................................162OpExLookbackImpliedVol .........................................................................................................................163rfs-doc@reuters.com 4 August 2003 9

OpExLookbackPremium ...........................................................................................................................163


Chapter 26 FxLinked Options Functions .............................................................................................................165OpFxLinkedDeriv ......................................................................................................................................166OpFxLinkedImpliedVol ..............................................................................................................................167OpFxLinkedPremium ................................................................................................................................168

Chapter 27 Power Options Functions ..................................................................................................................169OpPowerDeriv ..........................................................................................................................................170OpPowerImpliedVol ..................................................................................................................................170OpPowerPremium ....................................................................................................................................171

Chapter 28 Rainbow Options Functions..............................................................................................................173OpRainbowDeriv .......................................................................................................................................174OpRainbowPremium .................................................................................................................................175

Part VIII:Reuters Adfin SwapsChapter 29 Interest Rate Swaps Functions.........................................................................................................179

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

Chapter 30 Currency Swaps Functions ...............................................................................................................185SwCsCashFlows .......................................................................................................................................186SwCsPx ....................................................................................................................................................186SwCsSolve ...............................................................................................................................................187SwSwpExtend ...........................................................................................................................................189

Part IX:Reuters Adfin Term StructureChapter 31 Rates Calculations Functions ...........................................................................................................193

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

Chapter 32 Term Structure Functions ..................................................................................................................197AdCalibrate ...............................................................................................................................................198AdFutCodes ..............................................................................................................................................198AdFutDates ...............................................................................................................................................19810 4 August 2003 [email protected]

AdTermStructure .......................................................................................................................................199


Part X:Reuters Adfin CommonChapter 33 Interpolation Functions ......................................................................................................................203

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

Chapter 34 Formatting and Parsing Functions..................................................................................................205AdFormat ..................................................................................................................................................206AdParse ....................................................................................................................................................206AdRound ...................................................................................................................................................206DfFormatDate ...........................................................................................................................................207DfIDNDate ................................................................................................................................................207

Chapter 35 Settings Management Functions .....................................................................................................209AdDefAttribute ..........................................................................................................................................210AdDefSet ..................................................................................................................................................210AdDefStructure .........................................................................................................................................210AdReadParam .......................................................................................................................................... 211AdWriteParam ........................................................................................................................................... 211

Chapter 36 Styles Management Functions .........................................................................................................213AdHistoryUpdate .......................................................................................................................................214AdHistoryValue .........................................................................................................................................214AdStyleAttribute ........................................................................................................................................214AdStyleDelete ...........................................................................................................................................215AdStyleName ............................................................................................................................................215AdStyleSet ................................................................................................................................................215AdStyleStructure .......................................................................................................................................216

Chapter 37 Dates Functions....................................................................................................................................217DfAddMonths ............................................................................................................................................218DfAddPeriod .............................................................................................................................................218DfAddWD ..................................................................................................................................................218DfAddYears ...............................................................................................................................................219DfCountDays ............................................................................................................................................219DfCountNonWD ........................................................................................................................................220DfCountWD ...............................................................................................................................................220DfCountYears ............................................................................................................................................220DfAdjustToWD ..........................................................................................................................................221DfFindDateD .............................................................................................................................................221DfFindDateM .............................................................................................................................................222rfs-doc@reuters.com 4 August 2003 11

DfIsWD .....................................................................................................................................................222


DfLastWD .................................................................................................................................................222DfListHolidays ...........................................................................................................................................223

Part XI:Reuters 3000 Data EngineChapter 38 Data Engine Functions........................................................................................................................227

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

Part XII:Reuters Adfin Extended ArgumentsAppendix A Extended Arguments ..........................................................................................................................235

Adfin Structures ........................................................................................................................................237AdMode ....................................................................................................................................................237BdMode ....................................................................................................................................................243BondFutStructure ......................................................................................................................................243BondStructure ...........................................................................................................................................247CalcMethod ...............................................................................................................................................257CalcStructure ............................................................................................................................................262CapFloorStructure .....................................................................................................................................264CdsStructure .............................................................................................................................................268ConvMode ................................................................................................................................................274ConvStructure ...........................................................................................................................................274CreditStructure ..........................................................................................................................................276CrossStructure ..........................................................................................................................................278CsStructure ...............................................................................................................................................280CurStructure ..............................................................................................................................................284DefStructure ..............................................................................................................................................285DeMode Argument for DeHistory ..............................................................................................................295DeMode Argument for DeList ...................................................................................................................299DeMode Argument for DeLookup .............................................................................................................301DeMode Argument for DeQuery ...............................................................................................................303DeMode Argument for DeUpdate .............................................................................................................305DfMode .....................................................................................................................................................308ExoticStructure ..........................................................................................................................................30912 4 August 2003 [email protected]

FormatMode .............................................................................................................................................315


FrnMode ...................................................................................................................................................317FrnStructure ..............................................................................................................................................320FxMode .....................................................................................................................................................329HistoryMode ..............................................................................................................................................331HistoryStructure ........................................................................................................................................333IlbMode .....................................................................................................................................................335IlbStructure ................................................................................................................................................337IndexHistoryStructure ...............................................................................................................................344InterpMode ................................................................................................................................................345IrsStructure ...............................................................................................................................................346OpMode ....................................................................................................................................................351OptionStructure .........................................................................................................................................354ParseMode ...............................................................................................................................................358RateMode .................................................................................................................................................359RateStructure ............................................................................................................................................365RepoMode ................................................................................................................................................371RoundMode ..............................................................................................................................................374RtMode .....................................................................................................................................................374StirFutStructure .........................................................................................................................................378StyleMode .................................................................................................................................................380SwapStructure ..........................................................................................................................................380SwMode ....................................................................................................................................................386YcMode .....................................................................................................................................................389rfs-doc@reuters.com 4 August 2003 13

Table of Contents Reuters PowerPlus Pro 4.5.1 Function Reference Guide14 4 August 2003 [email protected]

PART I:INTRODUCTION

Introduction Reuters PowerPlus Pro 4.5.1 Function Reference Guide16 4 August 2003 [email protected]

CHAPTER 1 INTRODUCING THE REUTERS POWERPLUS PRO FUNCTION REFERENCE GUIDE

Contents Using This Guide Conventions Used in This Guide Reuters PowerPlus Pro Guides and Online [email protected] 4 August 2003 17

Chapter 1 Introducing the Reuters PowerPlus Pro Function Reference Guide Reuters PowerPlus Pro 4.5.1 Function Reference GuideUsing This Guide

Using This Guide

What this guideexplains

The Reuters PowerPlus Pro 4.5.1 Function Reference Guide is a complete reference guide to Reuters PowerPlus Pro functions.

Intendedaudience

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.

Assumedknowledge

The Reuters PowerPlus Pro 4.5.1 Function Reference Guide assumes that you are familiar with: Windows operating systems Microsoft Excel markets and finance

How this guide isorganized

The Reuters PowerPlus Pro 4.5.1 Function Reference Guide is organized in chapters representing the different categories of Adfin functions

How to use thisguide

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.18 4 August 2003 [email protected]

Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 1 Introducing the Reuters PowerPlus Pro Function Reference GuideConventions Used in This Guide

Conventions Used in This Guide

Text

Terminology

Convention Explanation

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

Text in quotation marks References to chapters or sections Messages displayed

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

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 [email protected] 4 August 2003 19

Chapter 1 Introducing the Reuters PowerPlus Pro Function Reference Guide Reuters PowerPlus Pro 4.5.1 Function Reference GuideReuters PowerPlus Pro Guides and Online Help

Reuters PowerPlus Pro Guides and Online Help

PDF files 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).

ReutersPowerPlus Pro

and Reuters3000 Data

Engine guides

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

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 451050620 4 August 2003 [email protected]

PART II:REUTERS ADFIN

REALTIME

Reuters Adfin Realtime Reuters PowerPlus Pro 4.5.1 Function Reference Guide22 4 August 2003 [email protected]

CHAPTER 2 REALTIME DATA FUNCTIONS

Contents RtChain RtContribute RtGet RtNow RtSeries RtToday [email protected] 4 August 2003 23

Chapter 2 Realtime Data Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideRtChain

RtChain

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

Syntax

Note The previous =RtChain(SourceAlias, InstrumentCode, DestinationCell, RtMode) function is still available in Reuters PowerPlus Pro 4.5.

Arguments

RtContribute

Purpose RtContribute contributes a record: 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

Syntax

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

Arguments

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

SourceAlias Source aliasInstrumentCode Instrument codeDestinationCell Cell reference of the upper left corner of the destination arrayMacroName Name of the macro to runRtMode Extended argument defining the operation (see RtMode on page

374)

=RtContribute(SourceAlias, InstrumentCode, FieldNameArray, FieldValueArray, RtMode)

SourceAlias Source aliasInstrumentCode Instrument codeFieldNameArray One-dimensional array of field names or numbersFieldValueArray Array of field valuesRtMode Extended argument defining the operation (see RtMode on page

374)24 4 August 2003 [email protected]

Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 2 Realtime Data FunctionsRtGet

RtGet

Purpose Retrieves real time data from a data source.

Syntax

Note Use the non-volatile RtGet function if you have installed Microsoft Excel 2002.

Arguments

RtNow

Purpose 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.

Syntax

Note You can only use RtNow in RTD mode.

Argument

RtSeries

Purpose 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.

=RtGet(SourceAlias, InstrumentCode, FieldNames, RtMode)

SourceAlias Source aliasInstrumentCode Instrument codeFieldName One-dimensional field names or numbersRtMode Extended argument defining the operation (see RtMode on page

374)

=RtNow(RtMode)

RtMode Extended argument defining the operation (see RtMode on page 374)[email protected] 4 August 2003 25

Chapter 2 Realtime Data Functions Reuters PowerPlus Pro 4.5.1 Function Reference Guide

RtToday

Syntax

Arguments

RtToday

Purpose 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.

Syntax

Note You can only use RtNow in RTD mode.

Arguments This function does not require arguments.

RtUpdate

Purpose 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.

Syntax

Arguments

=RtSeries(SourceAlias, InstrumentCode, FieldNameArray, DestinationCell, MacroName, RtMode)

SourceAlias Source aliasInstrumentCode Instrument codeFieldNameArray One-dimensional array of field names or numbersDestinationCell Cell reference of the upper left corner of the destination arrayMacroName Name of the macro to runRtMode Extended argument defining the operation (see RtMode on page

374)

=RtToday()

=RtUpdate(SourceAlias, InstrumentArray, FieldNameArray, DestinationCell, MacroName, RtMode)

SourceAlias Source alias26 4 August 2003 [email protected]

Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 2 Realtime Data FunctionsRtUpdate

InstrumentArray One-dimensional array of instrument codesFieldNameArray One-dimensional array of field names or numbersDestinationCell Cell reference of the upper left corner of the destination arrayMacroName Name of the macro to runRtMode Extended argument defining the operation (see RtMode on page

374)[email protected] 4 August 2003 27

Chapter 2 Realtime Data Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideRtUpdate28 4 August 2003 [email protected]

CHAPTER 3 HISTORICAL DATA FUNCTIONS

Contents RtHistory [email protected] 4 August 2003 29

Chapter 3 Historical Data Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideRtHistory

RtHistory

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

Syntax

Arguments

RtHistoryInfo

Purpose 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.

Syntax

Arguments

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

SourceAlias Source aliasInstrumentCode Instrument codesFieldNames String of field names separated by a comma or 1-dimensional array of field

names or numbersDestinationCell Cell reference of the upper left corner of the destination arrayHistoryStructure Extended argument defining the range of dates, between which data is

retrieved (see HistoryStructure on page 333)HistoryMode Extended argument customizing the format of the retrieved data (see

HistoryMode on page 331)

=RtHistoryInfo(SourceAlias, InstrumentCode, HistoryMode)

SourceAlias Source aliasInstrumentCode Instrument codesHistoryMode Extended argument customizing the return array (seeHistoryMode

on page 331)30 4 August 2003 [email protected]

Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 3 Historical Data [email protected] 4 August 2003 31

Chapter 3 Historical Data Functions Reuters PowerPlus Pro 4.5.1 Function Reference Guide

RtHistoryInfo32 4 August 2003 [email protected]

PART III:REUTERS ADFIN

BONDS

Reuters Adfin Bonds Reuters PowerPlus Pro 4.5.1 Function Reference Guide34 4 August 2003 [email protected]

CHAPTER 4 FIXED INCOME SECURITIES FUNCTIONS

Contents Accrued AdBondDeriv AdBondPrice AdBondSpread AdBondYield BdCalcCpn BdCashFlows BdConvFactor BdCpnCrv BdCpnValue BdIrsStructure BdPvbpCrv BdRepo BdSettle BdSettleLock CpnNext CpnNumber [email protected] 4 August 2003 35

Chapter 4 Fixed Income Securities Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAccrued

Accrued

Purpose Calculates the accrued interest using a bond structure.

Syntax

Arguments

AdBondDeriv

Purpose Calculates the derivatives of a bond using a bond structure.

Syntax

Arguments

=Accrued (CalcDate, Maturity, Coupon, BondStructure)

CalcDate Calculation dateMaturity Maturity date of the bondCoupon Nominal coupon rate, expressed as a percentageBondStructure Extended argument defining the bond structure (see BondStructure

on page 247)

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

SettlementDate Settlement dateRateArray 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.36 4 August 2003 [email protected]

Maturity Maturity date of the bond

Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 4 Fixed Income Securities FunctionsAdBondPrice

AdBondPrice

Purpose Calculates the price of a bond using a bond structure.

Syntax

Arguments

Coupon Nominal coupon rate, expressed as a percentageSpread 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).

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

RateStructure Extended argument defining the rate model (see RateStructure on page 365)

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

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

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


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


depending on the orientation of the array specified by the LAY keyword), and the values for the rates if a ZCCurve is used


- The model used is specified by the keyword RM (Rate Model) in the RateStructure [email protected] 4 August 2003 37


Chapter 4 Fixed Income Securities Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdBondSpread

AdBondSpread

Purpose Calculates the spread of a bond using a bond structure.

Syntax

Arguments

Coupon Nominal coupon rate, expressed as a percentageSpread 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).


RateStructure Extended argument defining the rate model (see RateStructure on page 365)

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


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


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


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


The model used is specified by the keyword RM (Rate Model) in the 38 4 August 2003 [email protected]

RateStructure argument.Price Clean or gross price expressed as a percentage of the nominal

Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 4 Fixed Income Securities FunctionsAdBondYield

AdBondYield

Purpose Calculates the Yield To Maturity of non optionable bonds. Calculates the yields at call/put dates of optionable bonds.

Syntax

Arguments

BdCalcCpn

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

Maturity Maturity date of the bondCoupon Nominal coupon rate, expressed as a percentageBondStructure Extended argument defining the bond structure (see BondStructure on

page 247)RateStructure Extended argument defining the rate model (see RateStructure on page

365)CalcStructure Extended argument defining the calculation method (see CalcStructure

on page 262)AdMode Extended argument customizing the return value (see AdMode on page

237)

=AdBondYield(SettlementDate, HorizonDate, Maturity, Coupon, BondStructure, RateStructure, AdMode)

SettlementDate Settlement datePrice (Market) Price of the bondMaturity Maturity date of the bondCoupon Nominal coupon rate, expressed as a percentageBondstructure Extended argument defining the bond structure (see BondStructure

on page 247)RateStructure Extended argument defining the rate model (see RateStructure on

page 365)AdMode Extended argument customizing the return value (see AdMode on

page 237)[email protected] 4 August 2003 39

Chapter 4 Fixed Income Securities Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideBdCashFlows

Syntax

Arguments

BdCashFlows

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

Syntax

Arguments

BdConvFactor

Purpose Calculates the conversion factor of a bond.

Syntax

Arguments

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

CalcDate Calculation dateMaturity Maturity date of the bondCoupon Nominal coupon rate, expressed as a percentageBondstructure Extended argument defining the bond structure (see BondStructure

on page 247)BdMode Extended argument customizing the return value (see BdMode on

page 243)

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

CalcDate Calculation dateMaturity Maturity date of the bondCoupon Nominal coupon rate, expressed as a percentageBondstructure Extended argument defining the bond structure (see BondStructure

on page 247)BdMode Extended argument customizing the return value (see BdMode on

page 243)

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

BondFutStructure Extended argument defining the bond futures structure40 4 August 2003 [email protected]

Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 4 Fixed Income Securities FunctionsBdCpnCrv

BdCpnCrv

Purpose Calculates the nominal coupon rate from the bond price and a zero-coupon yield curve.

Syntax

Arguments

BdCpnValue

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

Syntax

Arguments

MaturityCode Code defining the futures contract maturityMaturity Maturity date of the bondCoupon Nominal coupon rate, expressed as a percentageConvMode Extended argument defining deliverable bond oddities (see ConvMode

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

243)

=BdCpnCrv(CalcDate, HorizonDate, DateArray, RateArray, Maturity, BondStructure, CalcMethod)

CalcDate Calculation datePrice Clean or gross price expressed as a percentage of the nominalDateArray Array of zero-coupon datesRateArray Array of zero-coupon rates or discount factorsMaturity Maturity date of the bondBondstructure Extended argument defining the bond structure (see BondStructure

on page 247)Calcmethod Extended argument defining the calculation method (see

CalcMethod on page 257)

=BdCpnValue (CalcDate, Maturity, Coupon, BondStructure)

CalcDate Calculation [email protected] 4 August 2003 41


Chapter 4 Fixed Income Securities Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideBdIrsStructure

BdIrsStructure

Purpose Returns the interest rate swap structure corresponding to a swap in which fixed cash flows match the bond ones.

Syntax

Arguments

BdPvbpCrv

Purpose Calculates the price variation per basis point for each point of a zero-coupon yield curve.

Syntax

Arguments

Coupon Nominal coupon rate, expressed as a percentageBondstructure Extended argument defining the bond structure (see BondStructure

on page 247)

=BdIrsStructure (BondStructure)


=BdPvbpCrv(CalcDate, HorizonDate, DateArray, RateArray, Maturity, Coupon, BondStructure, CalcMethod, BdMode)

CalcDate Calculation datePrice Clean or gross price expressed as a percentage of the nominalDateArray Array of zero-coupon datesRateArray Array of zero-coupon rates or discount factorsMaturity Maturity date of the bondCoupon Nominal coupon rate, expressed as a percentageBondstructure Extended argument defining the bond structure (see BondStructure

on page 247)Calcmethod Extended argument defining the calculation method (see

CalcMethod on page 257)Bdmode Extended argument customizing the return value (see BdMode on

page 243)42 4 August 2003 [email protected]

Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 4 Fixed Income Securities FunctionsBdRepo

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 forimplied repo rate

calculation

=BdRepo(CalcDate, HorizonDate, NPV, FV, RepoRate, Maturity, Coupon, BondStructure, RepoMode)

CalcDate Calculation dateHorizonDate Horizon date of the repoNpv 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)

Fv 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)

RepoRate # not used - enter 0 #Maturity Maturity date of the bondCoupon Nominal coupon rate of the bond, expressed as a percentageBondStructure Extended argument defining the bond structure (see BondStructure

on page 247)RepoMode Extended argument defining the calculation (see RepoMode on page

371)If calculating the implied repo rate, RepoMode should include the argument "RES:IMPRATE"[email protected] 4 August 2003 43

Chapter 4 Fixed Income Securities Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideBdSettle

Arguments forfuture valuecalculation

Arguments forpresent value

calculation

BdSettle



Fv # not used - enter 0 #RepoRate Repo rateMaturity Maturity date of the bondCoupon Nominal coupon rate of the bond, expressed as a percentageBondStructure Extended argument defining the bond structure (see BondStructure

on page 247)RepoMode Extended argument defining the calculation (see BondStructure on

page 247)If calculating the future value, RepoMode should include the argument "RES:FV".

CalcDate Calculation dateHorizonDate Horizon date of the repoNpv # not used - enter 0 #Fv 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)

RepoRate Repo rateMaturity Maturity date of the bondCoupon Nominal coupon rate, expressed as a percentageBondstructure Extended argument defining the bond structure (see BondStructure

on page 247)RepoMode Extended argument defining the calculation (see RepoMode on page

371)If calculating the present value, RepoMode should include the argument "RES:NPV".44 4 August 2003 [email protected]

Purpose Calculates the settlement date using a bond structure.

Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 4 Fixed Income Securities FunctionsBdSettleLock

Syntax

Arguments

Return Value The bond settlement date.

BdSettleLock

Purpose Calculates the settlement date for bonds with lockout periods using a bond structure.

Syntax

Arguments

CpnNext

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

Syntax

Arguments

=BdSettle(CalcDate, BondStructure)

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

=BdSettleLock (CalcDate, Maturity, BondStructure)

CalcDate Calculation dateMaturity Maturity date of the bondBondStructure Extended argument defining the bond structure (see BondStructure

on page 247)

=CpnNext(CalcDate, Maturity, BondStructure)


on page 247)[email protected] 4 August 2003 45

Chapter 4 Fixed Income Securities Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideCpnNumber

CpnNumber

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

Syntax

Arguments

CpnPrev

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

Syntax

Arguments

=CpnNumber(CalcDate, Maturity, BondStructure)


on page 247)

=CpnPrev(CalcDate, Maturity, BondStructure)


on page 247)46 4 August 2003 [email protected]

CHAPTER 5 CASH FLOWS FUNCTIONS

Contents CfAvgLife CfConv CfDur CfPvbp CfPx CfPxCrv CfRepo CfVol [email protected] 4 August 2003 47

Chapter 5 Cash Flows Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideCfAvgLife

CfAvgLife

Purpose Calculates the average life of a bond using cash flows.

Syntax

Arguments

CfConv

Purpose Calculates the convexity of a bond using cash flows.

Syntax

Arguments

CfDur

Purpose Calculates the duration of the bond using cash flows.

Syntax

=CfAvgLife(CalcDate, CfDates, Cf, CalcMethod)

CalcDate Calculation dateCfDates Array of cash flow dates corresponding to the bond principal reimbursementCf Array of cash flow values corresponding to the bond principal reimbursementCalcMethod Extended argument defining the calculation method (see CalcMethod on page

257)

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

CalcDate Calculation dateYield Yield to maturityCfDates Array of cash flow dates corresponding to the bond reimbursementCf Array of cash flow values corresponding to the bond reimbursementCalcMethod Extended argument defining the calculation method (see CalcMethod on

page 257)

=CfDur(CalcDate, Yield, CfDates, Cf, CalcMethod)48 4 August 2003 [email protected]

Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 5 Cash Flows FunctionsCfPvbp

Arguments

CfPvbp

Purpose Calculates the price variation per basis point (PVBP) using cash flows.

Syntax

Arguments

CfPx

Purpose Calculates the price from yield using cash flows.

Syntax

Arguments


page 257)

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


page 257)

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



Chapter 5 Cash Flows Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideCfPxCrv

CfPxCrv

Purpose Calculates the price from a zero-coupon yield curve using cash flows.

Syntax

Arguments

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 forimplied repo rate

calculation

=CfPxCrv(CalcDate, DateArray, RateArray, CfDates, Cf, CalcMethod)

CalcDate Calculation dateDateArray Array of zero-coupon datesRateArray Array of zero-coupon rates or discount factorsCfDates Array of cash flow dates corresponding to the bond reimbursementCf Array of cash flow values corresponding to the bond reimbursementCalcMethod Extended argument defining the calculation method (see CalcMethod on

page 257)

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



Fv 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)50 4 August 2003 [email protected]

RepoRate # not used - enter 0 #

Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 5 Cash Flows FunctionsCfRepo

CfDates Array of cash flow dates corresponding to the bond reimbursementCf Array of cash flow values corresponding to the bond reimbursementRepoMode Extended argument defining the calculation (see RepoMode on page 371)

If calculating the implied repo rate, RepoMode should include the argument "RES:IMPRATE"[email protected] 4 August 2003 51

Chapter 5 Cash Flows Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideCfVol

Arguments forfuture valuecalculation

Arguments forpresent value

calculation

CfVol

Purpose Calculates the volatility of the bond or the modified duration using cash flows.

Syntax

Arguments



Fv # not used - enter 0 #RepoRate Repo rateCfDates Array of cash flow dates corresponding to the bond reimbursementCf Array of cash flow values corresponding to the bond reimbursementRepoMode Extended argument defining the calculation (see RepoMode on page 371)

If calculating the future value, RepoMode should include the argument "RES:FV".

CalcDate Calculation dateHorizonDate Horizon date of the repoNpv # not used - enter 0 #Fv 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)

RepoRate Repo rateCfDates Array of cash flow dates corresponding to the bond reimbursementCf Array of cash flow values corresponding to the bond reimbursementRepoMode Extended argument defining the calculation (see RepoMode on page 371)

If calculating the present value, RepoMode should include the argument "RES:NPV".

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

CalcDate Calculation date52 4 August 2003 [email protected]

Yield Yield to maturity

Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 5 Cash Flows FunctionsCfYld

CfYld

Purpose Calculates the yield from price using cash flows.

Syntax

Arguments

CfDates Array of cash flow dates corresponding to the bond reimbursementCf Array of cash flow values corresponding to the bond reimbursementCalcMethod Extended argument defining the calculation method (see CalcMethod on

page 257)

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

CalcDate Calculation dateGrossPrice Clean price plus accrued interest expressed in the same unit as cash flowsCfDates Array of cash flow dates corresponding to the bond reimbursementCf Array of cash flow values corresponding to the bond reimbursementCalcMethod Extended argument defining the calculation method (see CalcMethod on


Chapter 5 Cash Flows Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideCfYld54 4 August 2003 [email protected]

CHAPTER 6 CONVERTIBLE BOND FUNCTIONS

Contents AdConvBdDeriv AdConvCalcCpn AdConvCashFlows AdConvImpliedVol AdConvOpDeriv AdConvPrice AdConvRatios [email protected] 4 August 2003 55

Chapter 6 Convertible Bond Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdConvBdDeriv

AdConvBdDeriv

Purpose Returns all derivatives of the underlying bond in an array from the price of the convertible, using a conversion structure.

Syntax

Arguments

AdConvCalcCpn

Purpose Returns all coupon features of a convertible bond in an array using a conversion structure.

Syntax

Arguments

=AdConvBdDeriv(SettlementDate, Maturity, Coupon, RateArray, Spread, ConvStructure, RateStructure, CalcStructure, AdMode)

SettlementDate Settlement dateMaturity Maturity date of the convertible bondCoupon Coupon rate, expressed as a percentageRateArray 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

Spread Credit spread of the issuer expressed in basis pointsConvStructure Extended argument defining the conversion structure (see ConvMode on

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

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

page 262)AdMode Extended argument customizing the return value (see AdMode on page

237)

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

SettlementDate Settlement dateMaturity Maturity date of the convertible bondCoupon Coupon rate, expressed as a percentage56 4 August 2003 [email protected]

Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 6 Convertible Bond FunctionsAdConvCashFlows

AdConvCashFlows

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

Syntax

Arguments

AdConvImpliedVol

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

Syntax

Arguments

ConvStructure Extended argument defining the conversion structure (see ConvStructure on page 274)


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

SettlementDate Settlement dateMaturity Maturity date of the convertible bondCoupon Coupon rate, expressed as a percentageConvStructure Extended argument defining the conversion structure (see ConvStructure

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

237)

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

SettlementDate Settlement dateMaturity Maturity date of the convertible bondPrice Clean or gross price of the convertible bond expressed in the current

currency.Coupon Coupon rate, expressed as a [email protected] 4 August 2003 57

Chapter 6 Convertible Bond Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdConvOpDeriv

AdConvOpDeriv

Purpose Returns an array of all derivatives (Delta, Gamma, Rho, Theta, Vega) of the optional part of the bond.

Syntax

Arguments

RateArray 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

Reuters Pppro Function Reference

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