TreasuryPrice.TbondPrice Method (Double, Double, DateTime, DateTime, Double[], DateTime[], String)

Evaluates the price of a Treasury bond where the coupons are assumed to be paid continuously.

Parameters

principleSum

The principle sum which will be repaid at expiry.

riskFreeRate

The continuously compounded annual risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01).

evaluationDate

The date of the evaluation of the price of the government backed bond.

maturityDate

The date when the bond matures.

coupons

An array where the first term corresponds to the amount paid by the next coupon payment and the second term corresponds to the amount paid by the coupon payment after that and so on.

dateOfCoupons

An array of dates where the first element corresponds to the date of the next coupon payment and the second term corresponds to the second coupon payment and so on.

businessCalendarName

The name of one of the implemented business calendars, "London" by default.

Remarks

The technique used here to evaluate the price is to discount the future cash flows in accordance with the risk free interest rate.

See Also

TreasuryPrice Class | BasicBonds Namespace | TreasuryPrice.TbondPrice Overload List