Reuters PowerPlus Pro 4.5.1 Function Reference Guide...

Reuters PowerPlus Pro 4.5.1 Function Reference GuideDocument Number 450531.3

4 August 2003

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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 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 file.

[email protected] 4 August 2003 3

Reuters PowerPlus Pro 4.5.1 Function Reference Guide

4 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: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 ...................................................................................................................................................65FrnPx ..........................................................................................................................................................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 ...............................................................................................................................................94FxSwpToSwp ..............................................................................................................................................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: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 .........................................................................................................................163OpExLookbackPremium ...........................................................................................................................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 ...............................................................................................................................................198AdTermStructure .......................................................................................................................................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 .............................................................................................................................................222DfIsWD .....................................................................................................................................................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 ..........................................................................................................................................309FormatMode .............................................................................................................................................315



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


PART I:INTRODUCTION

Introduction Reuters PowerPlus Pro 4.5.1 Function Reference Guide


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 Help


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.


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

<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


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 4510506


PART II:REUTERS ADFIN

REALTIME

Reuters Adfin Realtime Reuters PowerPlus Pro 4.5.1 Function Reference Guide


CHAPTER 2 REALTIME DATA FUNCTIONS

Contents • RtChain• RtContribute• RtGet• RtNow• RtSeries• RtToday• RtUpdate


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)


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)


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

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 alias


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)


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


CHAPTER 3 HISTORICAL DATA FUNCTIONS

Contents • RtHistory• RtHistoryInfo


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 (see“HistoryMode”

on page 331)


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


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


PART III:REUTERS ADFIN

BONDS

Reuters Adfin Bonds Reuters PowerPlus Pro 4.5.1 Function Reference Guide


CHAPTER 4 FIXED INCOME SECURITIES FUNCTIONS

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


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.

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 argument.

Maturity Maturity date of the bond


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)



=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 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)


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 structure


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 dateMaturity Maturity date of the bond


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)


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".


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

Arguments forfuture valuecalculation

Arguments forpresent value

calculation

BdSettle

Purpose Calculates the settlement date using a bond structure.



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".


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)


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)


CHAPTER 5 CASH FLOWS FUNCTIONS

Contents • CfAvgLife• CfConv• CfDur• CfPvbp• CfPx• CfPxCrv• CfRepo• CfVol• CfYld


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)


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)


page 257)


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)

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".


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 dateYield 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

page 257)


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


CHAPTER 6 CONVERTIBLE BOND FUNCTIONS

Contents • AdConvBdDeriv• AdConvCalcCpn• AdConvCashFlows• AdConvImpliedVol• AdConvOpDeriv• AdConvPrice• AdConvRatios• AdConvYield


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 percentage


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”


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 percentage


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

EquityPrice Spot price of the underlying instrumentEquityDivArray Annual dividend rate or array of dividend dates and amountsSpotFX Spot rate for the cross currencySpread Credit spread of the issuer expressed in basis pointsConvStructure Extended argument defining the conversion structure (see

“ConvStructure” 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)

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


• single-factor models: single interest rate or zero-coupon array• two-factor model: a [dates/rates/rate volatilities/mean reversions]

arrayEquityPrice Spot price of the underlying instrumentEquityVolatility Volatility of the underlying instrumentEquityDivArray Annual dividend rate or array of dividend dates and amountsSpotFX Spot rate for the cross currency


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

AdConvPrice

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

Syntax

Arguments

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

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


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

page 237)

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


• single-factor models: single interest rate or zero-coupon array• two-factor model: a [dates/rates/rate volatilities/mean reversions] array

EquityPrice Spot price of the underlying instrumentEquityVolatility Volatility of the underlying instrumentEquityDivArray Annual dividend rate or array of dividend dates and amountsSpotFX Spot rate for the cross currencySpread Credit spread of the issuer expressed in basis pointsConvStructure Extended argument defining the conversion structure (see “ConvStructure”

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


on page 262)


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

AdConvRatios

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

Syntax

Arguments

AdConvYield

Purpose Calculates the yield of the underlying bond from the price of the convertible, using a conversion structure.

Syntax

Arguments


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

SettlementDate Settlement dateMaturity Maturity date of the convertible bondPrice Clean or gross price of the convertible bond expressed as a percentage of

the nominalEquityPrice Spot price of the underlying instrumentSpotFX Spot rate for the cross currencyConvStructure Extended argument defining the conversion structure (see “ConvStructure”


237)

=AdConvYield (SettlementDate, Maturity, Price,Coupon, ConvStructure, RateStructure)

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


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

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

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


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


CHAPTER 7 FLOATING RATE NOTES FUNCTIONS

Contents • FrnCalcCpn• FrnCashFlows• FrnMargin• FrnPx


Chapter 7 Floating Rate Notes Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideFrnCalcCpn

FrnCalcCpn

Purpose Returns all coupon features of a FRN in an array.

Syntax

Arguments

FrnCashFlows

Purpose Generates an array with the remaining cash flows of a floating rate instrument.

Syntax

Arguments

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

CalcDate Calculation dateStartDate Start date of the FRN (issue date)Maturity Maturity date of the FRNCurrentIndex Index rate for the current couponQuotedMargin Margin applied to the indexFrnStructure Extended argument defining the FRN structure (see “FrnStructure” on

page 320)FrnMode Extended argument customizing the return value (see “FrnMode” on

page 317)

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

CalcDate Calculation dateZcDates Array of zero-coupon datesZcRates Array of zero-coupon rates or discount factorsStartDate Start date of the FRN (issue date)Maturity: Maturity date of the FRN (expressed as a date or a code such as "1Y")QuotedMargin Margin applied to the indexFloatingRateArray Array of floating leg ratesFrnStructure Extended argument defining the FRN structure (see “FrnStructure” on

page 320)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 7 Floating Rate Notes FunctionsFrnMargin

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

FrnPx

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

Syntax

FrnMode Extended argument customizing the return value (see “FrnMode” on page 317)

=FrnMargin(CalcDate, StartDate, Maturity, Px, QuotedMargin, FloatingRateArray, FrnStructure, FrnMode)

CalcDate Calculation dateStartDate Start date of the FRN (issue date)Maturity Maturity date of the FRN (expressed as a date or a code such as

"1Y")Px Margin or yield expressed as a percentage or price expressed as a

percentage of the nominalQuotedMargin Margin applied to the indexFloatingRateArray Two-cell array defining the value of the current index and the value of

the projected index.FrnStructure Extended argument defining the FRN structure (see “FrnStructure”

on page 320)FrnMode Extended argument customizing the return value (see “FrnMode” on

page 317)

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


Chapter 7 Floating Rate Notes Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideFrnPx

Arguments CalcDate Calculation dateZcDates Array of zero-coupon datesZcRates Array of zero-coupon rates or discount factorsStartDate Start date of the FRN (issue date)Maturity Maturity date of the FRN (expressed as a date or a code such as "1Y")QuotedMargin Margin applied to the indexFloatingRateArray Array of floating leg ratesFrnStructure Extended argument defining the FRN structure (see “FrnStructure” on

page 320)FrnMode Extended argument customizing the return value (see “FrnMode” on page

317)


CHAPTER 8 INDEX LINKED BONDS FUNCTIONS

Contents • IlbCalcCpn• IlbCashFlows• IlbPx• IlbYld


Chapter 8 Index Linked Bonds Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideIlbCalcCpn

IlbCalcCpn

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

Syntax

Arguments

IlbCashFlows

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

Syntax

Arguments

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

CalcDate Calculation dateMaturity Maturity date of the bondCoupon Nominal coupon rate, expressed as a number or a percentInflationRateArray Array of anticipated inflation ratesIlbStructure Extended argument defining the index-linked bond structure (see

“IlbStructure” on page 337)IlbMode Extended argument customizing the return value (see “IlbMode” on page

335)

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

CalcDate Calculation dateMaturity Maturity date of the bondCoupon Nominal coupon rate, expressed as a number or a percentageInflationRateArray Array of anticipated inflation ratesIlbStructure Extended argument defining the index-linked bond structure (see

“IlbStructure” on page 337)IlbMode Extended argument customizing the return value (see “IlbMode” on

page 335)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 8 Index Linked Bonds FunctionsIlbPx

IlbPx

Purpose Calculates the price of an index-linked bond.

Syntax

Arguments

IlbYld

Purpose Calculates the yield of an index-linked bond.

Syntax

Arguments

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

CalcDate Calculation dateMaturity Maturity date of the bondCoupon Nominal coupon rate, expressed as a number or a percentageYield Yield to maturityInflationRateArray Array of anticipated inflation ratesIlbStructure Extended argument defining the index-linked bond structure (see

“IlbStructure” on page 337)IlbMode Extended argument customizing the return value (see “IlbMode” on

page 335)

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

CalcDate Calculation dateMaturity Maturity date of the bondCoupon Nominal coupon rate, expressed as a number or a percentagePrice Clean or gross price expressed as a percentage of the nominalInflationRateArray Array of anticipated inflation ratesIlbStructure Extended argument defining the index-linked bond structure (see

“IlbStructure” on page 337)IlbMode Extended argument customizing the return value (see “IlbMode” on page

335)


Chapter 8 Index Linked Bonds Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideIlbYld


PART IV:REUTERS ADFIN

CREDIT

Reuters Adfin Credit Reuters PowerPlus Pro 4.5.1 Function Reference Guide


CHAPTER 9 CREDIT FUNCTIONS

Contents • Credit Default Swaps Calculations• Functions to Build Credit Models• Functions to Use Credit Models


Chapter 9 Credit Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideCredit 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:• the Cox, Ingersoll, and Ross model• a credit event probability curve

Syntax

Arguments

AdCdsSpread

Purpose 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:

=AdCdsNpv(SettlementDate, StartDate, Maturity, Spread, RateArray, CreditArray, CdsStructure, CreditStructure, RateStructure)

SettlementDate Settlement dateStartDate Start date of the credit default swapMaturity Maturity of the credit default swap, expressed as a date or codeSpread Spread of the credit default swap, expressed as basis pointsRateArray Interest rate modelCreditArray Credit modelCdsStructure 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)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 9 Credit FunctionsAdFxCdsNpv

• the Cox, Ingersoll, and Ross model• a credit event probability curve

Syntax

Arguments

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:• the Cox, Ingersoll, and Ross model• a credit event probability curve

Syntax

Arguments

=AdCdsSpread(SettlementDate, StartDate, Maturity, Npv, RateArray, CreditArray, CdsStructure, CreditStructure, RateStructure)

SettlementDate Settlement dateStartDate Start date of the credit default swapMaturity Maturity of the credit default swap, expressed as a date or codeNpv Net present value of the credit default swapRateArray Interest rate modelCreditArray Credit modelCdsStructure 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)

=AdFxCdsNpv(SettlementDate, StartDate, Maturity, Spread, PaidRate, ReceivedRate, FxArray, CreditArray, CdsStructure, CreditStructure, RateStructure)

SettlementDate Settlement dateStartDate Start date of the credit default swapMaturity Maturity of the credit default swap, expressed as a date or codeSpread Spread of the credit default swap, expressed as basis pointsPaidRate Interest rate model of the paid leg


Chapter 9 Credit Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdFxCdsSpread

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:• the Cox, Ingersoll, and Ross model• a credit event probability curve

Syntax

Arguments

ReceivedRate Interest rate model of the received legFxArray Array of dates and swap pointsCreditArray Credit modelCdsStructure 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


page 365)

=AdFxCdsSpread(SettlementDate, StartDate, Maturity, Npv, PaidRate, ReceivedRate, FxArray, CreditArray, CdsStructure, CreditStructure, RateStructure)

SettlementDate Settlement dateStartDate Start date of the credit default swapMaturity Maturity of the credit default swap, expressed as a date or codeNpv Net present value of the credit default swapPaidRate Interest rate model of the paid legReceivedRate Interest rate model of the received legFxArray Array of dates and swap pointsCreditArray Credit modelCdsStructure 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)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 9 Credit FunctionsAdFxCdsSpread

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


Chapter 9 Credit Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideFunctions to Build Credit Models

Functions to Build Credit Models

• AdCreditStructure• AdJLTCreditStructure

AdCreditStructure

Purpose 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.

Syntax

Arguments

AdJLTCreditStructure

Purpose Calibrates a credit event probability curve from a rating transition matrix, using the Jarrow, Lando, and Turnbull model.

Syntax

Arguments

=AdCreditStructure(RateArray, InstrumentArray, CreditStructure, RateStructure, AdMode)

RateArray Interest rate modelInstrumentArray Array of instrumentsCreditStructure Extended argument defining the credit model (see “CreditStructure” on page



237)

=AdJLTCreditStructure(RateArray, RiskyZcArray, TransitionArray, CreditStructure, RateStructure, AdMode)

RateArray Array of risk-free zero-coupon pricesRiskyZcArray Array of credit zero-coupon curves


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 9 Credit FunctionsAdJLTCreditStructure

TransitionArray Ratings transition matrixCreditStructure Extended argument defining the credit model (see “CreditStructure” on page



237)


Chapter 9 Credit Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideFunctions to Use Credit Models

Functions to Use Credit Models

AdCreditZcCurveAdDefaultProba

AdCreditZcCurve

Purpose Depending on the model specified by the RISKMODEL keyword, the function builds a credit zero-coupon curve, using:• the Cox, Ingersoll, and Ross model• the credit event probability curve

Syntax

Arguments

AdDefaultProba

Purpose 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.

Syntax

=AdCreditZcCurve(SettlementDate, RateArray, CreditArray, CreditStructure, RateStructure, AdMode)

SettlementDate Settlement dateRateArray Interest rate modelCreditArray Credit modelCreditStructure Extended argument defining the credit model (see “CreditStructure” on

page 276)RateStructure Extended argument defining the interest rate model (see “RateStructure”


237)

=AdDefaultProba(SettlementDate, DateArray, CreditArray, CreditStructure, AdMode)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 9 Credit FunctionsAdDefaultProba

Arguments SettlementDate Settlement dateDateArray Array of dates CreditArray Credit modelCreditStructure Extended argument defining the credit model (see “CreditStructure” on page

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


Chapter 9 Credit Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdDefaultProba


PART V:REUTERS ADFIN

FOREIGNEXCHANGE AND

MONEY MARKETS

Reuters Adfin Foreign Exchange and Money Markets Reuters PowerPlus Pro 4.5.1 Function Reference Guide


CHAPTER 10 FOREX & MM FUNCTIONS

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


Chapter 10 Forex & MM Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdDepToFra

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

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

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

Date1 First dateDate2 Second dateDate3 Third dateRateMode Extended argument defining the type of rates used (see “RateMode” on

page 359)Rate1 Rate applicable for the period from Date1 to Date2Rate3 Rate applicable for the period from Date1 to Date3

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

Date1 First dateDate2 Second dateDate3 Third dateRateMode Extended argument defining the type of rates used (see “RateMode” on

page 359)Rate1BA Rates applicable for the period from Date1 to Date2 (array Bid/Ask)Rate3BA Rates applicable for the period from Date1 to Date3 (array Bid/Ask)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 10 Forex & MM FunctionsAdZcToFraBA

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

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

FxCross

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

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

StirFutStructure Extended argument defining the STIR futures contractStartDate FRA start datePeriod FRA maturity date (expressed as a date or a code such as "1Y")ZcArray Array of zero-coupon dates and rates or discount factorsYcMode Extended argument customizing the return value (see “YcMode” on

page 389)

=FxCalcPeriod(CalcDate, Cur1Cur2, Period, FxMode)

CalcDate Calculation date (trading date or spot date)Cur1Cur2 Cross currency code (example: "EURGBP")Period Period code (example: "1M")FxMode Extended argument customizing the return value (see “FxMode” on

page 329)


Chapter 10 Forex & MM Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideFxCrossA

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

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

FxCrossD

Purpose 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.

=FxCross(Cur1Cur2, Spot1BA, Spot2BA, FxMode)

Cur1Cur2 Cross currency code (example: "EURGBP")Spot1BA Cur1 spot rates (array Bid/Ask)Spot2BA Cur2 spot rates (array Bid/Ask)FxMode Extended argument customizing the return value (see “FxMode” on

page 329)

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

CalcDate Calculation date (contract or trading date)Cur1Cur2 Cross currency code (example: "EURGBP")Spot1BA Cur1 spot rates (array Bid/Ask)Spot2BA Cur2 spot rates (array Bid/Ask)Dep1BA Cur1 deposit rates (in real value) for the shortest period (array Bid/Ask)Dep2BA Cur2 deposit rates (in real value) for the shortest period (array Bid/Ask)DepUsdBA USD deposit rates (in real value) for the shortest period (array Bid/Ask)FxMode Extended argument customizing the return value (see “FxMode” on page 329)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 10 Forex & MM FunctionsFxDepToSwpD

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

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 fortwo non-USD

currencies

I

=FxCrossD(SpotDate12, SpotDate1, SpotDate2, Cur1Cur2, Spot1BA, Spot2BA, Dep1BA, Dep2BA, DepUsdBA, FxMode)

SpotDate12 Spot value date of the cross currency Cur1Cur2SpotDate1 Spot value date of Cur1SpotDate2 Spot value date of Cur2Cur1Cur2 Cross currency code (example: "EURGBP")Spot1BA Cur1 spot rates (array Bid/Ask)Spot2BA Cur2 spot rates (array Bid/Ask)Dep1BA Cur1 deposit rates (in real value) for the shortest period (array Bid/Ask)Dep2BA Cur2 deposit rates (in real value) for the shortest period (array Bid/Ask)DepUsdBA USD deposit rates (in real value) for the shortest period (array Bid/Ask)FxMode Extended argument customizing the return value (see “FxMode” on page

329)

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

NbDays Number of days of Cur1Cur2 swap point periodCur1Cur2 Cross currency code (example : "EURGBP")Spot12BA Cur1Cur2 spot rates (array Bid/Ask)Dep1BA Cur1 deposit rates (in real value) for approximately NbDays (array Bid/Ask)


Chapter 10 Forex & MM Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideFxDepToSwpP

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

Arguments forone currencyagainst USD

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


currencies

Dep2BA Cur2 deposit rates (in real value) for approximately NbDays (array Bid/Ask)FxMode Extended argument customizing the return value (see “FxMode” on page 329)

NbDays Number of days of Currency swap point periodCur1Cur2 Currency ISO code (example : "EUR") referred to as CurrencySpot12BA Currency spot rates (array Bid/Ask)Dep1BA Currency deposit rates (in real value) for approximately NbDays (array Bid/Ask)Dep2BA USD deposit rates (in real value) for approximately NbDays (array Bid/Ask)FxMode Extended argument customizing the return value (see “FxMode” on page 329)

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

CalcDate Calculation date (contract or trading date)Period Period code (example : "1W")Cur1Cur2 Cross currency code (example: "EURGBP")Spot12BA Cur1Cur2 spot rates (array Bid/Ask)Dep1BA Cur1 deposit rates (in real value) for the period (array Bid/Ask)Dep2BA Cur2 deposit rates (in real value) for the period (array Bid/Ask)FxMode Extended argument customizing the return value (see “FxMode” on page

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


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 10 Forex & MM FunctionsFxGenCalc


FxGenCalc

Purpose 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.

Syntax

Arguments

CalcDate Calculation date (contract or trading date)Period Period code (example: "1W")Cur1Cur2 Currency ISO code (example: "EUR") referred to as CurrencySpot12BA Currency spot rates (array Bid/Ask)Dep1BA Currency deposit rates (in real value) for the period (array Bid/Ask)Dep2BA USD deposit rates (in real value) for the period (array Bid/Ask)FxMode Extended argument customizing the return value (see “FxMode” on page

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

=FxGenCalc(InstrumentCode, CurrencyList, CalcDate, Spot1BA, Spot2BA, Spot12BA, Swp1Array, Swp2Array, Dep1Array, Dep2Array, DepUsdArray, FxMode)

InstrumentCode Instrument code corresponding to the calculationCurrencyList List of the available currencies (string with the comma "," as separator)CalcDate Calculation date (contract or trading date)Spot1BA Cur1 spot rates (array Bid/Ask)Spot2BA Cur2 spot rates (array Bid/Ask)Spot12BA Cur1Cur2 spot rates (array Bid/Ask)Swp1Array Cur1 array of dates and swap pointsSwp2Array Cur2 array of dates and swap pointsDep1Array Cur1 array of dates and deposit ratesDep2Array Cur2 array of dates and deposit ratesDepUsdArray USD array of dates and deposit ratesFxMode Extended argument customizing the return value (see “FxMode” on

page 329)


Chapter 10 Forex & MM Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideFxGenParse

FxGenParse

Purpose 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.

Syntax

Arguments

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


currencies

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.

=FxGenParse(InstrumentCode, CurrencyList, FxMode)

InstrumentCode Instrument code corresponding to the calculationCurrencyList List of the available currencies (string with the comma "," as separator)FxMode Extended argument customizing the return value (see “FxMode” on page

329)

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

NbDays Number of days of Currency swap point periodCur1Cur2 Cross currency code (example: "EURGBP")Spot12BA Cur1Cur2 spot rates (array Bid/Ask)DepBA Cur1 or Cur2 deposit rates (in real value) for approximately NbDays (array Bid/Ask)Swp12BA Cur1Cur2 swap points (array Bid/Ask)FxMode Extended argument customizing the return value (see “FxMode” on page 329)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 10 Forex & MM FunctionsFxSwpToDepP


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


currencies

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.

NbDays Number of days of Currency swap point periodCur1Cur2 Currency ISO code (example: "EUR") referred to as CurrencySpot12BA Currency spot rates (array Bid/Ask)DepBA Currency or USD deposit rates (in real value) for approx. NbDays (array Bid/Ask)Swp12BA Currency swap points (array Bid/Ask)FxMode Extended argument customizing the return value (see “FxMode” on page 329)

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

CalcDate Calculation date (contract or trading date)Period Period code (example: "1W")Cur1Cur2 Cross currency code (example : "EURGBP")Spot12BA Cur1Cur2 spot rates (array Bid/Ask)DepBA Cur1 or Cur2 deposit rates (in real value) for the period (array Bid/Ask)Swp12BA Cur1Cur2 swap points (array Bid/Ask)FxMode Extended argument customizing the return value (see “FxMode” on

page 329)


Chapter 10 Forex & MM Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideFxSwpToOut


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

FxSwpToSwp

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

CalcDate Calculation date (contract or trading date)Period Period code (example: "1W")Cur1Cur2 Currency ISO code (example: "EUR") referred to as CurrencySpot12BA Currency spot rates (array Bid/Ask)DepBA Currency or USD deposit rates (in real value) for the period (array

Bid/Ask)Swp12BA Currency swap points (array Bid/Ask)FxMode Extended argument customizing the return value (see “FxMode” on

page 329)

=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)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 10 Forex & MM FunctionsFxSwpToSwpD

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

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

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

Cur1Cur2 Cross currency code (example: "EURGBP")Spot1BA Cur1 spot rates (array Bid/Ask)Spot2BA Cur2 spot rates (array Bid/Ask)Swp1BA Cur1 swap points (array Bid/Ask)Swp2BA Cur2 swap points (array Bid/Ask)FxMode Extended argument customizing the return value (see “FxMode” on

page 329)

=FxSwpToSwpD(NbDays12, NbDays1, NbDays2, Cur1Cur2, Spot1BA, Spot2BA, Swp1BA, Swp2BA, FxMode)

NbDays12 Number of days of Cur1Cur2 swap point period or an array of Start Dates and End Dates

NbDays1 Number of days of Cur1USD swap point period or an array of Start Dates and End Dates

NbDays2 Number of days of Cur2USD swap point period or an array of Start Dates and End Dates

Cur1Cur2 Cross currency code (example: "EURGBP")Spot1BA Cur1 spot rates (array Bid/Ask)


Chapter 10 Forex & MM Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideFxSwpToSwpP

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

Spot2BA Cur2 spot rates (array Bid/Ask)Swp1BA Cur1 swap points (array Bid/Ask)Swp2BA Cur2 swap points (array Bid/Ask)FxMode Extended argument customizing the return value (see “FxMode” on

page 329)

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

CalcDate Calculation date (contract or trading date)Period Period code (example: "1W")Cur1Cur2 Cross currency code (example: "EURGBP")Spot1BA Cur1 spot rates (array Bid/Ask)Spot2BA Cur2 spot rates (array Bid/Ask)Swp1BA Cur1 swap points (array Bid/Ask)Swp2BA Cur2 swap points (array Bid/Ask)FxMode Extended argument customizing the return value (see “FxMode” on

page 329)


PART VI:REUTERS ADFIN

OPTIONS

Reuters Adfin Options Reuters PowerPlus Pro 4.5.1 Function Reference Guide


CHAPTER 11 OPTIONS AND WARRANTS FUNCTIONS

Contents • NormalC• NormalS• OpCalcDeriv• OpHistVol• OpImpliedVol• OpPremium


Chapter 11 Options and Warrants Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideNormalC

NormalC

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

Syntax

Arguments

NormalS

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

Syntax

Arguments

OpCalcDeriv

Purpose 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.

Syntax

Arguments

=NormalC(Number)

Number x value

=NormalS(Number)

Number x value

=OpCalcDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Volatility, RiskFreeRateArray, ReturnArray, OptionStructure, RateStructure, CalcStructure, AdMode)

CalcDate Calculation date of the optionExpiryDate Expiry date of the optionSpotPrice Market or spot price of the underlying instrumentStrikePrice Strike price of the optionVolatility Volatility of the underlying instrumentRiskFreeRateArray Term structure arrayReturnArray Constant yield or dividend array (Date, Dividend)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 11 Options and Warrants FunctionsOpHistVol

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

OpImpliedVol

Purpose Calculates the implied volatility of an option on a security (index, stock), a future, a commodity, or a currency, from the option premium.

Syntax

Argument

OptionStructure Extended argument defining the option structure (see “OptionStructure” on page 354)

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

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


=OpHistVol(PriceArray, OpMode)

PriceArray 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.

OpMode Extended argument customizing the return value (see “OpMode” on page 351)

=OpImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Premium, RiskFreeRateArray, ReturnArray, OptionStructure, RateStructure, CalcStructure)

CalcDate Calculation date of the optionExpiryDate Expiry date of the option


Chapter 11 Options and Warrants Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpPremium

OpPremium

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

Syntax

Arguments

SpotPrice Market or spot price of the underlying instrumentStrikePrice Strike price of the optionPremium Premium of the optionRiskFreeRateArray Term structure arrayReturnArray Constant yield or dividend array (Date, Dividend)OptionStructure Extended argument defining the option structure (see

“OptionStructure” on page 354)RateStructure Extended argument defining the interest rate model (see

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

“CalcStructure” on page 262)

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

CalcDate Calculation date of the optionExpiryDate Expiry date of the optionSpotPrice Market or spot price of the underlying instrumentStrikePrice Strike price of the optionVolatility Volatility of the underlying instrumentRiskFreeRateArray Term structure arrayReturnArray Constant yield or dividend array (Date, Dividend)OptionStructure Extended argument defining the option structure (see





CHAPTER 12 BOND OPTIONS FUNCTIONS

Contents • Bond Options• AdBondOptionDeriv• AdBondOptionPremium


Chapter 12 Bond Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideBond Options

Bond Options

The Bond Options functions include:AdBondOptionDerivAdBondOptionPremium

AdBondOptionDeriv

Purpose Returns an array of all the derivatives (delta, gamma, rho, theta, vega) of a bond option defined from a bond structure.

Syntax

Arguments

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

CalcDate Calculation dateRateArray Term structure arrayBondMaturity Maturity date of the bondCoupon CouponExpiryDate Expiry date of the optionStrikePrice Strike of the optionBondStructure Extended argument defining the bond structure (see

“BondFutStructure” on page 243)OptionStructure Extended argument defining the option structure (see



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

page 237)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 12 Bond Options FunctionsAdBondOptionPremium

AdBondOptionPremium

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

Syntax

Arguments

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

CalcDate Calculation dateRateArray Term structure arrayBondMaturity Maturity date of the bondCoupon CouponExpiryDate Expiry date of the optionStrikePrice Strike price of the optionBondStructure Extended argument defining the bond structure (see

“BondFutStructure” on page 243)OptionStructure Extended argument defining the option structure (see




page 237)


Chapter 12 Bond Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdBondOptionPremium


CHAPTER 13 VANILLA CAPS, FLOOR, AND COLLARS FUNCTIONS

Contents • AdCapFloorCaplets• AdCapFloorDeriv• AdCapFloorImpliedVol• AdCapFloorPremium


Chapter 13 Vanilla Caps, Floor, and Collars Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdCapFloorCaplets

AdCapFloorCaplets

Purpose Generates an array with the caplet or floorlet values of a Vanilla cap, floor, or collar.

Syntax

Arguments

AdCapFloorDeriv

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

Syntax

Arguments

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

SettlementDate Settlement dateRateArray Term structure arrayStartDate Start date of the cap, floor, or collarMaturity Maturity date of the cap, floor, or collarCapStrikePrice Exercise or strike price of the capFloorStrikePrice Exercise or strike price of the floorFirstRate Rate of the cap, floor, or collar for the current calculation period CapFloorStructure Extended argument defining the instrument (see “CapFloorStructure”

on page 264)RateStructure Extended argument defining the interest rate model (see



page 237)

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



Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 13 Vanilla Caps, Floor, and Collars FunctionsAdCapFloorImpliedVol

AdCapFloorImpliedVol

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

Syntax

Arguments

StartDate Start date of the cap, floor, or collarMaturity Maturity date of the cap, floor, or collarCapStrikePrice Exercise or strike price of the capFloorStrikePrice Exercise or strike price of the floorFirstRate Rate of the cap, floor, or collar for the current calculation period CapFloorStructure Extended argument defining the instrument (see “CapFloorStructure”




page 237)

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

SettlementDate Settlement dateRateArray Term structure arrayStartDate Start date of the cap, floor, or collarMaturity Maturity date of the cap, floor, or collarCapStrikePrice Exercise or strike price of the capFloorStrikePrice Exercise or strike price of the floorFirstRate Rate of the cap, floor, or collar for the current calculation periodPremium Market or spot price of the cap, floor, or collarCapFloorStructure Extended argument defining the instrument (see “CapFloorStructure”


“RateStructure” on page 365)


Chapter 13 Vanilla Caps, Floor, and Collars Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdCapFloorPremium

AdCapFloorPremium

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

Synatax

Arguments


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

SettlementDate Settlement dateRateArray Term structure arrayStartDate Start date of the cap, floor, or collarMaturity Maturity date of the cap, floor, or collarCapStrikePrice Exercise or strike price of the capFloorStrikePrice Exercise or strike price of the floorFirstRate Rate of the cap, floor, or collar for the current calculation periodCapFloorStructure Extended argument defining the instrument (see “CapFloorStructure”





CHAPTER 14 BARRIER CAPS AND FLOORS FUNCTIONS

Contents • AdBarrierCapFloorCaplets• AdBarrierCapFloorDeriv• AdBarrierCapFloorImpliedVol• AdBarrierCapFloorPremium


Chapter 14 Barrier Caps and Floors Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdBarrierCapFloorCaplets

AdBarrierCapFloorCaplets

Purpose Generates an array with the caplet or floorlet premiums of a Barrier cap or floor.

Syntax

Arguments

AdBarrierCapFloorDeriv

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

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

SettlementDate Settlement dateRateArray Term structure arrayStartDate Start date of the Barrier cap or floorMaturity Maturity date of the Barrier cap or floorCapStrikePrice Exercise or strike price of the Barrier capFloorStrikePrice Exercise or strike price of the Barrier floorFirstRate Rate of the Barrier cap or floor for the current calculation period UpperBarrier Upper barrier of the Barrier cap or floorLowerBarrier Lower barrier of the Barrier cap or floorUpperRebate Upper rebate of the Barrier cap or floorLowerRebate Lower rebate of the Barrier cap or floorCapFloorStructure Extended argument defining the instrument (see “CapFloorStructure”




page 237)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 14 Barrier Caps and Floors FunctionsAdBarrierCapFloorImpliedVol

Syntax

Arguments

AdBarrierCapFloorImpliedVol

Purpose Calculates the implied volatility of a Barrier cap or floor.

Syntax

Arguments

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

SettlementDate Settlement dateRateArray Term structure arrayStartDate Start date of the Barrier cap or floorMaturity Maturity date of the Barrier cap or floorCapStrikePrice Exercise or strike price of the Barrier capFloorStrikePrice Exercise or strike price of the Barrier floorFirstRate Rate of the Barrier cap or floor for the current calculation period UpperBarrier Upper barrier of the Barrier cap or floorLowerBarrier Lower barrier of the Barrier cap or floorUpperRebate Upper rebate of the Barrier cap or floorLowerRebate Lower rebate of the Barrier cap or floorCapFloorStructure Extended argument defining the instrument (see “CapFloorStructure”




page 237)

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

SettlementDate Settlement date


Chapter 14 Barrier Caps and Floors Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdBarrierCapFloorPremium

AdBarrierCapFloorPremium

Purpose Calculates the premium of a Barrier cap or floor.

Syntax

Arguments

RateArray Term structure arrayStartDate Start date of the Barrier cap or floorMaturity Maturity date of the Barrier cap or floorCapStrikePrice Exercise or strike price of the Barrier capFloorStrikePrice Exercise or strike price of the Barrier floorFirstRate Rate of the Barrier cap or floor for the current calculation period Premium Market or spot price of the Barrier cap or floorUpperBarrier Upper barrier of the Barrier cap or floorLowerBarrier Lower barrier of the Barrier cap or floorUpperRebate Upper rebate of the Barrier cap or floorLowerRebate Lower rebate of the Barrier cap or floorCapFloorStructure Extended argument defining the instrument (see “CapFloorStructure”




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

SettlementDate Settlement dateRateArray Term structure arrayStartDate Start date of the Barrier cap or floorMaturity Maturity date of the Barrier cap or floorCapStrikePrice Exercise or strike price of the Barrier capFloorStrikePrice Exercise or strike price of the Barrier floorFirstRate Rate of the Barrier cap or floor for the current calculation period UpperBarrier Upper barrier of the Barrier cap or floor


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 14 Barrier Caps and Floors FunctionsAdBarrierCapFloorPremium

LowerBarrier Lower barrier of the Barrier cap or floorUpperRebate Upper rebate of the Barrier cap or floorLowerRebate Lower rebate of the Barrier cap or floorCapFloorStructure Extended argument defining the instrument (see “CapFloorStructure”





Chapter 14 Barrier Caps and Floors Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdBarrierCapFloorPremium


CHAPTER 15 DIGITAL CAPS, FLOORS, AND COLLARS FUNCTIONS

Contents • AdDigitalCapFloorCaplets• AdDigitalCapFloorDeriv• AdDigitalCapFloorImpliedVol• AdDigitalCapFloorPremium


Chapter 15 Digital Caps, Floors, and Collars Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdDigitalCapFloorCaplets

AdDigitalCapFloorCaplets

Purpose Generates an array with the caplet or floorlet premiums of a Digital cap, floor, or collar.

Syntax

Arguments

AdDigitalCapFloorDeriv

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

Syntax

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

SettlementDate Settlement dateRateArray Term structure arrayStartDate Start date of the Digital cap, floor, or collarMaturity Maturity date of the Digital cap, floor, or collarCapStrikePrice Exercise or strike price of the Digital capFloorStrikePrice Exercise or strike price of the Digital floorFirstRate Rate of the Digital cap, floor, or collar for the current calculation period CapFixedAmount Rebate array of the Digital capFloorFixedAmount Rebate array of the Digital floorCapFloorStructure Extended argument defining the instrument (see “CapFloorStructure”




page 237)

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


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 15 Digital Caps, Floors, and Collars FunctionsAdDigitalCapFloorImpliedVol

Arguments

AdDigitalCapFloorImpliedVol

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

Syntax

Arguments





page 237)

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

SettlementDate Settlement dateRateArray Term structure arrayStartDate Start date of the Digital cap, floor, or collarMaturity Maturity date of the Digital cap, floor, or collarCapStrikePrice Exercise or strike price of the Digital capFloorStrikePrice Exercise or strike price of the Digital floorFirstRate Rate of the Digital cap, floor, or collar for the current calculation period Premium Market or spot price of the Digital cap, floor, or collar


Chapter 15 Digital Caps, Floors, and Collars Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdDigitalCapFloorPremium

AdDigitalCapFloorPremium

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

Syntax

Arguments

CapFixedAmount Rebate array of the Digital capFloorFixedAmount Rebate array of the Digital floorCapFloorStructure Extended argument defining the instrument (see “CapFloorStructure”




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






CHAPTER 16 SWAPTIONS FUNCTIONS

Contents • AdSwaptionPremium• AdSwaptionDeriv


Chapter 16 Swaptions Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdSwaptionPremium

AdSwaptionPremium

Purpose Calculates the premium of a swaption.

Syntax

Arguments

AdSwaptionDeriv

Purpose Returns in an array all derivatives (delta, gamma, theta, vega) of an option on a swap.

Syntax

Arguments

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

CalcDate Settlement dateRateArray Term structure array SwapStartDate Start date of the swapSwapMaturity Maturity date of the swapExpiryDate Expiry date of the optionSpotPrice Spot market rate of the swapStrikePrice Exercise or strike rate of the swapSwapStructure Extended argument defining the swap (see “SwapStructure” on page

380)OptionStructure Extended argument defining the option (see “OptionStructure” on

page 354)RateStructure Extended argument defining the interest rate model (see



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

CalcDate Settlement dateRateArray Term structure array


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 16 Swaptions FunctionsAdSwaptionDeriv

SwapStartDate Start date of the swapSwapMaturity Maturity date of the swapExpiryDate Expiry date of the optionSpotPrice Spot market rate of the swapStrikePrice Exercise or strike rate of the swapSwapStructure Extended argument defining the swap (see “SwapStructure” on page

380)OptionStructure Extended argument defining the option (see “OptionStructure” on

page 354)RateStructure Extended argument defining the interest rate model (see



page 237)


Chapter 16 Swaptions Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdSwaptionDeriv


PART VII:REUTERS ADFIN

EXOTIC OPTIONS

Reuters Adfin Exotic Options Reuters PowerPlus Pro 4.5.1 Function Reference Guide


CHAPTER 17 ASIAN OPTIONS FUNCTIONS

Contents • Adfin Exotics• OpAsianDeriv• OpAsianImpliedVol• OpAsianPremium


Chapter 17 Asian Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdfin Exotics

Adfin Exotics

The Exotics functions include:

Asian Options FunctionsBarrier Options FunctionsBasket Options FunctionsBinary Options FunctionsChooser Options FunctionsCliquet Options FunctionsCompound Options FunctionsDouble Barrier Options FunctionsExLookBack Options FunctionsFxLinked Options FunctionsPower Options FunctionsRainbow Options Functions

OpAsianDeriv

Purpose 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.

Syntax

Arguments

=OpAsianDeriv(CalcDate, FirstFixingDate, ExpiryDate, SpotPrice, StrikePrice, AveragePrice, NbFixing, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure, AdMode)

CalcDate Calculation dateFirstFixingDate Date of the first fixing for the average calculationExpiryDate Expiry date of the optionSpotPrice Market or spot price of the underlying instrument


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 17 Asian Options FunctionsOpAsianImpliedVol

OpAsianImpliedVol

Purpose 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.

Syntax

Arguments

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

AveragePrice Average of the underlying prices from the first fixing date to the calculation date

NbFixing Number of fixings used to calculate the averageVolatility Anticipated volatility of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see

“ExoticStructure” on page 309)RateStructure Extended argument defining the structure of the interest rate model

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


page 237)

=OpAsianImpliedVol(CalcDate, FirstFixingDate, ExpiryDate, SpotPrice, StrikePrice, AveragePrice, NbFixing, Premium, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateFirstFixingDate Date of the first fixing for the average calculationExpiryDate Expiry date of the optionSpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike price of the option, ignored for average strike optionsAveragePrice Average of the underlying prices from the first fixing date to the

calculation dateNbFixing Number of fixings used to calculate the average


Chapter 17 Asian Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpAsianPremium

OpAsianPremium

Purpose 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.

Syntax

Arguments

Premium Premium of the optionRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see

“ExoticStructure” on page 309)RateStructure Extended argument defining the structure of the interest rate model (see


on page 262)

=OpAsianPremium(CalcDate, FirstFixingDate, ExpiryDate, SpotPrice, StrikePrice, AveragePrice, NbFixing, Volatility, RiskFreeRateArray, ReturnArray, ExoticStructure, RateStructure, CalcStructure)

CalcDate Calculation dateFirstFixingDate Date of the first fixing for the average calculationExpiryDate Expiry date of the optionSpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike price of the option, ignored for average strike

optionsAveragePrice Average of the underlying prices from the first fixing date to the

calculation dateNbFixing Number of fixings used to calculate the averageVolatility Anticipated volatility of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see

“ExoticStructure” on page 309)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 17 Asian Options FunctionsOpAsianPremium

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



Chapter 17 Asian Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpAsianPremium


CHAPTER 18 BARRIER OPTIONS FUNCTIONS

Contents • OpBarrierDeriv• OpBarrierImpliedVol• OpBarrierPremium


Chapter 18 Barrier Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpBarrierDeriv

OpBarrierDeriv

Purpose 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.

Syntax

Arguments

OpBarrierImpliedVol

Purpose 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.

=OpBarrierDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePrice, BarrierPrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure, AdMode)

CalcDate Calculation dateExpiryDate Expiry date of the optionSpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike price of the optionBarrierPrice Price of the barrier of the optionVolatility Anticipated volatility of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




page 237)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 18 Barrier Options FunctionsOpBarrierPremium

Syntax

Arguments

OpBarrierPremium

Purpose 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.

Syntax

Arguments

=OpBarrierImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice, BarrierPrice, Premium, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateExpiryDate Expiry date of the optionSpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike price of the optionBarrierPrice Price of the barrier of the optionPremium Premium of the optionRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




=OpBarrierPremium(CalcDate, ExpiryDate, SpotPrice, StrikePrice, BarrierPrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateExpiryDate Expiry date of the optionSpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike price of the optionBarrierPrice Price of the barrier of the option


Chapter 18 Barrier Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpBarrierPremium

Volatility Anticipated volatility of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see





CHAPTER 19 BASKET OPTIONS FUNCTIONS

Contents • OpBasketDeriv• OpBasketPremium


Chapter 19 Basket Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpBasketDeriv

OpBasketDeriv

Purpose 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.

Syntax

Arguments

=OpBasketDeriv(CalcDate, ExpiryDate, SpotPriceArray, StrikePrice, CorrelationArray, RiskFreeRateArray, ReturnArray, NbSharesArray, ExoticStucture, RateStructure, CalcStructure, AdMode)

CalcDate Calculation dateExpiryDate Expiry date of the optionSpotPriceArray Array containing the spot prices of the underlying instrumentsStrikePrice Strike price of the optionCorrelationArray Array containing the volatilities of the assets on the diagonal and the

correlation coefficientsRiskFreeRateArray Array of data depending on the rate model chosen:

• constant risk free rate• zero-coupon curve

ReturnArray Array containing the annualized dividend rates of the underlying instruments

NbSharesArray Specifies the number of shares for each assetExoticStructure Extended argument defining the exotic option structure (see

“ExoticStructure” on page 309)RateStructure Extended argument defining the interest rate model (see



page 237)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 19 Basket Options FunctionsOpBasketPremium

OpBasketPremium

Purpose 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.

Syntax

Arguments

=OpBasketPremium(CalcDate, ExpiryDate, SpotPriceArray, StrikePrice, CorrelationArray, RiskFreeRateArray, ReturnArray, NbSharesArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateExpiryDate Expiry date of the optionSpotPriceArray Array containing the spot prices of the underlying instrumentsStrikePrice Strike price of the optionCorrelationArray Array containing the volatilities of the assets on the diagonal and the

correlation coefficientsRiskFreeRateArray Array of data depending on the rate model chosen:



NbSharesArray Specifies the number of shares for each assetExoticStructure Extended argument defining the exotic option structure (see





Chapter 19 Basket Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpBasketPremium


CHAPTER 20 BINARY OPTIONS FUNCTIONS

Contents • OpBinaryDeriv• OpBinaryImpliedVol• OpBinaryPremium


Chapter 20 Binary Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpBinaryDeriv

OpBinaryDeriv

Purpose 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.

Syntax

Arguments

OpBinaryImpliedVol

Purpose 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.

=OpBinaryDeriv(CalcDate, ExpiryDate, SpotPrice, BarrierPrice, StrikePrice, CashAmount, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure, AdMode)

CalcDate Calculation dateExpiryDate Expiry date of the optionSpotPrice Market or spot price of the underlying instrumentBarrierPrice Price of the barrier of the optionStrikePrice Exercise or strike price of the optionCashAmount Fixed amount of cash paid if applicableVolatility Anticipated volatility of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




page 237)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 20 Binary Options FunctionsOpBinaryPremium

Syntax

Arguments

OpBinaryPremium

Purpose 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.

Syntax

Arguments

=OpBinaryImpliedVol(CalcDate, ExpiryDate, SpotPrice, BarrierPrice, StrikePrice, CashAmount, Premium, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateExpiryDate Expiry date of the optionSpotPrice Market or spot price of the underlying instrumentBarrierPrice Price of the barrier of the optionStrikePrice Exercise or strike price of the optionCashAmount Fixed amount of cash paid if applicablePremium Premium of the optionRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




=OpBinaryPremium(CalcDate, ExpiryDate, SpotPrice, BarrierPrice, StrikePrice, CashAmount, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateExpiryDate Expiry date of the optionSpotPrice Market or spot price of the underlying instrumentBarrierPrice Price of the barrier of the optionStrikePrice Exercise or strike price of the option


Chapter 20 Binary Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpBinaryPremium

CashAmount Fixed amount of cash paid if applicableVolatility Anticipated volatility of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see





CHAPTER 21 CHOOSER OPTIONS FUNCTIONS

Contents • OpChooserDeriv• OpChooserImpliedVol• OpChooserPremium


Chapter 21 Chooser Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpChooserDeriv

OpChooserDeriv

Purpose 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.

Syntax

Arguments

OpChooserImpliedVol

Purpose 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.

=OpChooserDeriv(CalcDate, ExpiryDate, PutExpiryDate, CallExpiryDate, SpotPrice, PutStrikePrice, CallStrikePrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure, AdMode)

CalcDate Calculation dateExpiryDate Maturity date of the optionPutExpiryDate Expiry date of the underlying put optionCallExpiryDate Expiry date of the underlying call optionSpotPrice Market or spot price of the underlying stockPutStrikePrice Exercise or strike price of the underlying put optionCallStrikePrice Exercise or strike price of the underlying call optionVolatility Anticipated volatility of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




page 237)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 21 Chooser Options FunctionsOpChooserPremium

Syntax

Arguments

OpChooserPremium

Purpose 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.

Syntax

Arguments

=OpChooserImpliedVol(CalcDate, ExpiryDate, PutExpiryDate, CallExpiryDate, SpotPrice, PutStrikePrice, CallStrikePrice, Premium, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateExpiryDate Maturity date of the optionPutExpiryDate Expiry date of the underlying put optionCallExpiryDate Expiry date of the underlying call optionSpotPrice Market or spot price of the underlying stockPutStrikePrice Exercise or strike price of the underlying put optionCallStrikePrice Exercise or strike price of the underlying call optionPremium Premium of the optionRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




=OpChooserPremium(CalcDate, ExpiryDate, PutExpiryDate, CallExpiryDate, SpotPrice, PutStrikePrice, CallStrikePrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateExpiryDate Expiry date of the optionPutExpiryDate Expiry date of the underlying put option


Chapter 21 Chooser Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpChooserPremium

CallExpiryDate Expiry date of the underlying call optionSpotPrice Market or spot price of the underlying instrumentPutStrikePrice Exercise or strike price of the underlying put optionCallStrikePrice Exercise or strike price of the underlying call optionVolatility Anticipated volatility of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see





CHAPTER 22 CLIQUET OPTIONS FUNCTIONS

Contents • OpCliquetDeriv• OpCliquetImpliedVol• OpCliquetPremium


Chapter 22 Cliquet Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpCliquetDeriv

OpCliquetDeriv

Purpose 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.

Syntax

Arguments

OpCliquetImpliedVol

Purpose 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.

=OpCliquetDeriv(CalcDate, StartDateArray, ExpiryDateArray, SpotPrice, StrikePrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure, AdMode)

CalcDate Calculation dateStartDateArray Array of start dates of each Forward-Start optionExpiryDateArray Array of expiry dates of each Forward-Start optionSpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike price of the optionVolatility Anticipated volatility of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




page 237)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 22 Cliquet Options FunctionsOpCliquetPremium

Syntax

Arguments

OpCliquetPremium

Purpose 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.

Syntax

Arguments

=OpCliquetImpliedVol(CalcDate, StartDateArray, ExpiryDateArray, SpotPrice, StrikePrice, Premium, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateStartDateArray Array of start dates of each Forward-Start optionExpiryDateArray Array of expiry dates of each Forward-Start optionSpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike price of the optionPremium Premium of the optionRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




=OpCliquetPremium(CalcDate, StartDateArray, ExpiryDateArray, SpotPrice, StrikePrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateStartDateArray Array of start dates of each Forward-Start optionExpiryDateArray Array of expiry dates of each Forward-Start optionSpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike price of the option


Chapter 22 Cliquet Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpCliquetPremium

Volatility Anticipated volatility of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see





CHAPTER 23 COMPOUND OPTIONS FUNCTIONS

Contents • OpCompoundDeriv• OpCompoundImpliedVol• OpCompoundPremium


Chapter 23 Compound Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpCompoundDeriv

OpCompoundDeriv

Purpose 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.

Syntax

Arguments

OpCompoundImpliedVol

Purpose 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.

=OpCompoundDeriv(CalcDate, ExpiryDate, CmpExpiryDate, SpotPrice, StrikePrice, CmpStrikePrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStructure, RateStructure, CalcStructure, AdMode)

CalcDate Calculation dateExpiryDate Expiry date of the optionCmpExpiryDate Expiry date of the Compound optionSpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike price of the optionCmpStrikePrice Strike price of the Compound optionVolatility Anticipated volatility of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




page 237)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 23 Compound Options FunctionsOpCompoundPremium

Syntax

Arguments

OpCompoundPremium

Purpose 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.

Syntax

Arguments

=OpCompoundImpliedVol(CalcDate, ExpiryDate, CompoundExpiryDate, SpotPrice, StrikePrice, CompoundStrikePrice, Premium, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateExpiryDate Expiry date of the optionCmpExpiryDate Expiry date of the Compound optionSpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike price of the optionCmpStrikePrice Strike price of the Compound optionPremium Premium of the optionRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




=OpCompoundPremium(CalcDate, ExpiryDate, CmpExpiryDate, SpotPrice, StrikePrice, CmpStrikePrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateExpiryDate Expiry date of the optionCmpExpiryDate Expiry date of the Compound optionSpotPrice Market or spot price of the underlying instrument


Chapter 23 Compound Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpCompoundPremium

StrikePrice Exercise or strike price of the optionCmpdStrikePrice Strike price of the Compound optionVolatility Anticipated volatility of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see





CHAPTER 24 DOUBLE BARRIER OPTIONS FUNCTIONS

Contents • OpDoubleBarrierDeriv• OpDoubleBarrierImpliedVol• OpDoubleBarrierPremium


Chapter 24 Double Barrier Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpDoubleBarrierDeriv

OpDoubleBarrierDeriv

Purpose 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.

Syntax

Arguments

OpDoubleBarrierImpliedVol

Purpose 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.

=OpDoubleBarrierDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePrice, LowerBarrierPrice, UpperBarrierPrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure, AdMode)

CalcDate Calculation dateExpiryDate Expiry date of the option (also date of the last fixing)SpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike price of the optionLowerBarrierPrice Price of the lower barrier of the optionUpperBarrierPrice Price of the upper barrier of the optionVolatility Anticipated volatility of the underlyingRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




page 237)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 24 Double Barrier Options FunctionsOpDoubleBarrierPremium

Syntax

Arguments

OpDoubleBarrierPremium

Purpose 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.

Syntax

Arguments

=OpDoubleBarrierImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice, LowerBarrierPrice, UpperBarrierPrice, Premium, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateExpiryDate Expiry date of the option (also date of the last fixing)SpotPrice Market or spot price of the underlying instrumentStrikePrice Strike price of the optionLowerBarrierPrice Price of the lower barrier of the optionUpperBarrierPrice Price of the upper barrier of the optionPremium Premium of the optionRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




=OpDoubleBarrierPremium(CalcDate, ExpiryDate, SpotPrice, StrikePrice, LowerBarrierPrice, UpperBarrierPrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

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


Chapter 24 Double Barrier Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpDoubleBarrierPremium

StrikePrice Exercise or strike price of the optionLowerBarrierPrice Price of the lower barrier of the optionUpperBarrierPrice Price of the upper barrier of the optionVolatility Anticipated volatility of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see





CHAPTER 25 EXLOOKBACK OPTIONS FUNCTIONS

Contents • OpExLookbackDeriv• OpExLookbackImpliedVol• OpExLookbackPremium


Chapter 25 ExLookBack Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpExLookbackDeriv

OpExLookbackDeriv

Purpose 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.

Syntax

Arguments

=OpExLookbackDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Min/Max, VolatilityArray, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure, AdMode)

CalcDate Calculation dateExpiryDate Expiry date of the option (also date of the last fixing)SpotPrice Exercise or spot price of the underlying instrumentStrikePrice Strike price of the option, ignored for Lookback Strike optionsMin/Max • 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 optionsVolatilityArray Array of anticipated volatilities of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




page 237)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 25 ExLookBack Options FunctionsOpExLookbackImpliedVol

OpExLookbackImpliedVol

Purpose 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.

Syntax

Arguments

OpExLookbackPremium

Purpose 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.

=OpExLookbackImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Min/Max, Premium, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateExpiryDate Expiry date of the option (also date of the last fixing)SpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike of the option, ignored for Lookback Strike optionsMin/Max • Lowest price for a call or highest price for a put achieved so far for


Lookback Spot optionsPremium Market or spot price of the optionRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see





Chapter 25 ExLookBack Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpExLookbackPremium

Syntax

Arguments

=OpExLookbackPremium(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Min/Max, VolatilityArray, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateExpiryDate Expiry date of the option (also date of the last fixing)SpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike of the option, ignored for Lookback Strike optionsMin/Max • Lowest price for a call or highest price for a put achieved so far for


Lookback Spot optionsVolatilityArray Array of anticipated volatilities of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see





CHAPTER 26 FXLINKED OPTIONS FUNCTIONS

Contents • OpFxLinkedDeriv• OpFxLinkedImpliedVol• OpFxLinkedPremium


Chapter 26 FxLinked Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpFxLinkedDeriv

OpFxLinkedDeriv

Purpose 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.

Syntax

Arguments

=OpFxLinkedDeriv(CalcDate, ExpiryDate, ExchangeRate, SpotPrice, StrikePrice, ERVolatility, Volatility, Correlation, RiskFreeRateArray, ForeignRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure, AdMode)

CalcDate Calculation dateExpiryDate Expiry date of the optionExchangeRate Spot exchange rate specified in units of the domestic currency per unit

of the foreign currencySpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike price of the optionERVolatility Anticipated volatility of the exchange rateVolatility Anticipated volatility of the underlying instrumentCorrelation Correlation between asset and domestic exchange rateRiskFreeRateArray Array of data depending on the rate model chosenForeignRateArray Yearly rate of the foreign market for an equivalent risk-free investmentReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




page 237)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 26 FxLinked Options FunctionsOpFxLinkedImpliedVol

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 arrayQuanto (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)


of the foreign currencySpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike price of the optionPremium Premium of the option

ERVolatility Anticipated volatility of the exchange rate if applicableCorrelation Correlation between asset and domestic exchange rate if applicableRiskFreeRateArray Array of data depending on the rate model chosenForeignRateArray Yearly rate of the foreign market for an equivalent risk-free investmentReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see





Chapter 26 FxLinked Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpFxLinkedPremium

OpFxLinkedPremium

Purpose 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.

Syntax

Arguments

=OpFxLinkedPremium(CalcDate, ExpiryDate, ExchangeRate, SpotPrice, StrikePrice, ERVolatility, Volatility, Correlation, RiskFreeRateArray, ForeignRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)


of the foreign currencySpotPrice Market or spot price of the underlying instrumentStrikePrice Exercise or strike price of the optionERVolatility Anticipated volatility of the exchange rateVolatility Anticipated volatility of the underlying instrumentCorrelation Correlation between asset and domestic exchange rateRiskFreeRateArray Array of data depending on the rate model chosenForeignRateArray Yearly rate of the foreign market for an equivalent risk-free investmentReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see





CHAPTER 27 POWER OPTIONS FUNCTIONS

Contents • OpPowerDeriv• OpPowerImpliedVol• OpPowerPremium


Chapter 27 Power Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpPowerDeriv

OpPowerDeriv

Purpose Returns in an array all derivatives (delta, gamma, rho, theta, and vega) of an asymmetric Power option where the payoff is expressed as:

Syntax

Arguments

OpPowerImpliedVol

Purpose Calculates the implied volatility 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 Calculation dateExpiryDate Expiry date of the optionSpotPrice Spot price of the underlying stock (S)StrikePrice Strike price of the option (X)Alpha Polynomial coefficient (α)Power Power coefficient (v)Volatility Anticipated volatility of the underlying instrumentRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




page 237)

max αSυ X– 0,( )


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 27 Power Options FunctionsOpPowerPremium

Syntax

Arguments

OpPowerPremium

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

Syntax

Arguments

=OpPowerImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Alpha, Power, Premium, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateExpiryDate Expiry date of the optionSpotPrice Market or spot price of the underlying instrument (S)StrikePrice Strike price of the option (X)Alpha Polynomial coefficient (α)Power Power coefficient (v)Premium Market or spot price of the optionRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see




max αSυ X– 0,( )

=OpPowerPremium(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Alpha, Power, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateExpiryDate Expiry date of the option


Chapter 27 Power Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpPowerPremium

SpotPrice Market or spot price of the underlying stock (S)StrikePrice Exercise or strike price of the option (X)Alpha Polynomial coefficient (α)Power Power coefficient (v)Volatility Anticipated volatility of the underlyingRiskFreeRateArray Array of data depending on the rate model chosenReturnArray Array of annualized dividend ratesExoticStructure Extended argument defining the exotic option structure (see

“ExoticStructure” on page 309)RateStructure Extended argument defining the interest rate model (see “RateStructure”

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

on page 262)


CHAPTER 28 RAINBOW OPTIONS FUNCTIONS

Contents • OpRainbowDeriv• OpRainbowPremium


Chapter 28 Rainbow Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpRainbowDeriv

OpRainbowDeriv

Purpose 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.

Syntax

Arguments

=OpRainbowDeriv(CalcDate, ExpiryDate, SpotPriceArray, StrikePriceArray, CorrelationArray, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure, AdMode)

CalcDate Calculation dateExpiryDate Expiry date of the optionSpotPriceArray Spot prices of the underlying instrumentsStrikePriceArray Strike price, and second strike price of a Dual-Strike optionCorrelationArray Array containing the volatilities of the assets on the diagonal and the

correlation coefficientRiskFreeRateArray Array of data depending on the rate model chosen:



ExoticStructure Extended argument defining the exotic option structure (see “ExoticStructure” on page 309)





Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 28 Rainbow Options FunctionsOpRainbowPremium

OpRainbowPremium

Purpose 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.

Syntax

Arguments

=OpRainbowPremium(CalcDate, ExpiryDate, SpotPriceArray, StrikePriceArray, CorrelationArray, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

CalcDate Calculation dateExpiryDate Expiry date of the optionSpotPriceArray Spot prices of the underlying instrumentsStrikePriceArray Strike of the option. Can be a table in the case of a Dual-Strike optionCorrelationArray Array containing the volatilities of the assets on the diagonal and the

correlation coefficientRiskFreeRateArray Array of data depending on the rate model chosen:



ExoticStructure Extended argument defining the exotic option structure (see “ExoticStructure” on page 309)




Chapter 28 Rainbow Options Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpRainbowPremium


PART VIII:REUTERS ADFIN

SWAPS

Reuters Adfin Swaps Reuters PowerPlus Pro 4.5.1 Function Reference Guide


CHAPTER 29 INTEREST RATE SWAPS FUNCTIONS

Contents • SwIrsCashFlows• SwIrsCpnDates• SwIrsPvbpCrv• SwIrsPx• SwIrsSolve• SwZcToIrs


Chapter 29 Interest Rate Swaps Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideSwIrsCashFlows

SwIrsCashFlows

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

Syntax

Arguments

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

=SwIrsCashFlows(CalcDate, ZcDates, ZcRates, StartDate, Maturity, FixedRate, CurFloatingRate, IrsStructure, SwMode)

CalcDate Calculation dateZcDates Array of zero-coupon datesZcRates Array of zero-coupon rates or discount factorsStartDate Start date of the interest rate swap (effective date)Maturity Maturity date of the interest rate swap (expressed as a date or a code

such as "1Y")FixedRate Rate of the swap fixed legCurFloatingRate Rate of the swap floating leg for the current calculation periodIrsStructure Extended argument defining the interest rate swap (see “IrsStructure”

on page 346)SwMode Extended argument customizing the return value (see “SwMode” on

page 386)

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

CalcDate Calculation dateStartDate Start date of the interest rate swap (effective date)Maturity Maturity date of the interest rate swap (expressed as a date or a code

such as "1Y")IrsStructure Extended argument defining the interest rate swap (see “IrsStructure”

on page 346)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 29 Interest Rate Swaps FunctionsSwIrsPvbpCrv

SwIrsPvbpCrv

Purpose Calculates the price variation per basis point of a swap or one of its legs for each point of a zero-coupon yield curve.

Syntax

Arguments

SwIrsPx

Purpose Calculates the net present value of an interest rate swap or one of its legs.

Syntax

Arguments

SwMode Extended argument customizing the return value (see “SwMode” on page 386)

=SwIrsPvbpCrv(CalcDate, ZcDates, ZcRates, StartDate, Maturity, FixedRate, CurFloatingRate, IrsStructure, SwMode)

CalcDate Calculation dateZcDates Array of zero-coupon datesZcRates Array of zero-coupon rates or discount factorsStartDate Start date of the interest rate swap (effective date)Maturity Maturity date of the interest rate swap (expressed as a date or a code

such as "1Y")FixedRate Rate of the swap fixed legCurFloatingRate Rate of the swap floating leg for the current calculation periodIrsStructure Extended argument defining the interest rate Swap (see “IrsStructure”


page 386)

=SwIrsPx(CalcDate, ZcDates, ZcRates, StartDate, Maturity, FixedRate, CurFloatingRate, IrsStructure, SwMode)

CalcDate Calculation dateZcDates Array of zero-coupon dates


Chapter 29 Interest Rate Swaps Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideSwIrsSolve

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

ZcRates Array of zero-coupon rates or discount factorsStartDate Start date of the interest rate swap (effective date)Maturity Maturity date of the interest rate swap (expressed as a date or a code

such as "1Y")FixedRate Rate of the swap fixed legCurFloatingRate Rate of the swap floating leg for the current calculation periodIrsStructure Extended argument defining the interest rate swap (see “IrsStructure”


page 386)

=SwIrsSolve(CalcDate, ZcDates, ZcRates, StartDate, Maturity, FixedRate, CurFloatingRate, NetPresentValue, IrsStructure, SwMode)

CalcDate Calculation dateZcDates Array of zero-coupon datesZcRates Array of zero-coupon rates or discount factorsStartDate Start date of the interest rate swap (effective date)Maturity Maturity date of the interest rate swap (expressed as a date or a code such

as "1Y")FixedRate Rate of the swap fixed legCurFloatingRate Rate of the swap floating leg for the current calculation periodNetPresentValue Present value of the swap or one of its legsIrsStructure Extended argument defining the interest rate swap (see “IrsStructure” on

page 346)SwMode Extended argument customizing the return value (see “SwMode” on page

386)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 29 Interest Rate Swaps FunctionsSwZcToIrs

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 Previous versions of Adfin Swaps include the SwZcToIrs function.

Syntax

Arguments

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

CalcDate Calculation dateZcDates Array of zero-coupon datesZcRates Array of zero-coupon rates or discount factorsIrsStructure Extended argument defining the interest rate swap (see “IrsStructure”


page 386)


Chapter 29 Interest Rate Swaps Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideSwZcToIrs


CHAPTER 30 CURRENCY SWAPS FUNCTIONS

Contents • SwCsCashFlows• SwCsPx• SwCsSolve• SwSwpExtend


Chapter 30 Currency Swaps Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideSwCsCashFlows

SwCsCashFlows

Purpose Generates an array with the remaining cash flows of the currency swap.

Syntax

Arguments

SwCsPx

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

=SwCsCashFlows(CalcDate, StartDate, Maturity, PaidRate, CurPaidRate, ReceivedRate, CurReceivedRate, ZcPaidArray, ZcReceivedArray, FxArray, CsStructure, SwMode)

CalcDate Calculation dateStartDate Start date of the currency swap (effective date)Maturity Maturity date of the currency swap (expressed as a date or a code such as

"1Y")PaidRate Fixed rate if the paid leg is fixed, floating rate spread as a percentage if the

paid leg is floatingCurPaidRate Floating rate of the paid leg for the current calculation period if applicableReceivedRate Fixed rate if the received leg is fixed, floating rate spread as a percentage if

the received leg is floatingCurReceivedRate Floating rate of the received leg for the current calculation period if applicableZcPaidArray Array of zero-coupon dates and rates or discount factors for the paid legZcReceivedArray Array of zero-coupon dates and rates or discount factors for the received legFxArray 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.

CsStructure Extended argument defining the currency swap structure (see “CsStructure” on page 280)



Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 30 Currency Swaps FunctionsSwCsSolve

Syntax

Arguments

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").

=SwCsPx(CalcDate, StartDate, Maturity, PaidRate, CurPaidRate, ReceivedRate, CurReceivedRate, ZcPaidArray, ZcReceivedArray, FxArray, CsStructure, SwMode)

CalcDate Calculation dateStartDate Start date of the currency swap (effective date)Maturity Maturity date of the currency swap (expressed as a date or a code such as

"1Y")PaidRate Fixed rate if the paid leg is fixed, floating rate spread as a percentage if the

paid leg is floatingCurPaidRate Floating rate of the paid leg for the current calculation period if applicableReceivedRate Fixed rate if the received leg is fixed, floating rate spread as a percentage if

the received leg is floatingCurReceivedRate Floating rate of the received leg for the current calculation period if

applicableZcPaidArray Array of zero-coupon dates and rates or discount factors for the paid legZcReceivedArray Array of zero-coupon dates and rates or discount factors for the received legFxArray 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.




Chapter 30 Currency Swaps Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideSwCsSolve

Syntax

Arguments

=SwCsSolve(CalcDate, StartDate, Maturity, PaidRate, CurPaidRate, ReceivedRate, CurReceivedRate, ZcPaidArray, ZcReceivedArray, FxArray, NetPresentValue, CsStructure, SwMode)

CalcDate Calculation dateStartDate Start date of the currency swap (effective date)Maturity Maturity date of the currency swap (expressed as a date or a code

such as "1Y")PaidRate Fixed rate iff the paid leg is fixed, floating rate spread as a percentage

if the paid leg is floatingCurPaidRate Floating rate of the paid leg for the current calculation period if

applicableReceivedRate Fixed rate if the received leg is fixed, floating rate spread as a

percentage if the received leg is floatingCurReceivedRate Floating rate of the received leg for the current calculation period if

applicableZcPaidArray Array of zero-coupon dates and rates or discount factors for the paid

legZcReceivedArray Array of zero-coupon dates and rates or discount factors for the

received legFxArray 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

NetPresentValue Present value of the currency swap or one of its legs in the discount currency




Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 30 Currency Swaps FunctionsSwSwpExtend

SwSwpExtend

Purpose Calculates the swap point at maturity date equivalent to a spread/fixed rate and to a predefined net present value.

Syntax

Arguments

=SwSwpExtend(CalcDate, StartDate, Maturity, PaidRate, CurPaidRate, ReceivedRate, CurReceivedRate, ZcPaidArray, ZcReceivedArray, FxArray, NetPresentValue, CsStructure, SwMode)

CalcDate Calculation dateStartDate Start date of the currency swap (effective date)Maturity Maturity date of the currency swap (expressed as a date or a code

such as "1Y")PaidRate Fixed rate if the paid leg is fixed, floating rate spread as a percentage

if the paid leg is floatingCurPaidRate Floating rate of the paid leg for the current calculation period if

applicableReceivedRate Fixed rate if the received leg is fixed, floating rate spread as a

percentage if the received leg is floatingCurReceivedRate Floating rate of the received leg for the current calculation period if

applicableZcPaidArray Array of zero-coupon dates and rates or discount factors for the paid

legZcReceivedArray Array of zero-coupon dates and rates or discount factors for the

received legFxArray 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

NetPresentValue Present value of the currency swap or one of its legs in the discount currency



Chapter 30 Currency Swaps Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideSwSwpExtend



PART IX:REUTERS ADFIN

TERM STRUCTURE

Reuters Adfin Term Structure Reuters PowerPlus Pro 4.5.1 Function Reference Guide


CHAPTER 31 RATES CALCULATIONS FUNCTIONS

Contents • AdRate• AdRateConv


Chapter 31 Rates Calculations Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdRate

AdRate

Purpose Calculates the discount factors for an array of dates, using one of the following term structure models:• Vasicek-Fong model• standard bootstrapping model• basis-spline models• Black, Derman, and Toy model• Hull and White model• yield-to-maturity model

Syntax

Arguments

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

=AdRate(CalcDate, DateArray, RateArray, RateStructure, AdMode)

CalcDate Calculation date of the yield curveDateArray Input array of datesRateArray Term structure arrayRateStructure Extended argument defining the interest rate model (see “RateStructure” on


237)

=AdRateConv(StartDate, EndDate, RateMode, Rate)

StartDate Start date of the periodEndDate End date of the periodRateMode Extended argument defining the type of conversion (see “RateMode” on page

359)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 31 Rates Calculations FunctionsAdRateConv

Rate Rate to be converted


Chapter 31 Rates Calculations Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdRateConv


CHAPTER 32 TERM STRUCTURE FUNCTIONS

Contents • AdCalibrate• AdFutCodes• AdFutDates• AdTermStructure


Chapter 32 Term Structure Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdCalibrate

AdCalibrate

Purpose Calculates the model parameters (dates, rates and volatility curve or dates, rates, volatility plus mean-reversion curve) from an array of instruments.

Syntax

Arguments

AdFutCodes

Purpose Calculates the next maturity codes for a STIR futures contract.

Syntax

Arguments

AdFutDates

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

=AdCalibrate(InputArray, ZCArray, StartOutputArray, RateArray, CalcStructure, AdMode)

InputArray Array of instruments as described laterZCArray (Date, Zero-coupon yield) array describing the zero coupon curveStartOutputArray Start points of the output parametersRateStructure Extended argument defining the interest rate model (see



page 237)

=AdFutCodes(CalcDate, StirFutStructure, YcMode)

CalcDate Calculation dateStirFutStructure Extended argument defining the STIR futures contractYcMode Extended argument customizing the return value (see “YcMode” on

page 389)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 32 Term Structure FunctionsAdTermStructure

Syntax

Arguments

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:• Vasicek-Fong model• standard bootstrapping model• regression or smoothing basis-spline models

Syntax

Arguments

‘

=AdFutDates(StirFutStructure, MaturityCode, YcMode)

StirFutStructure Extended argument defining the STIR futures contractMaturityCode 2-character string defining the contract maturity (example: "Z6" , codes

can be obtained using AdFutCodes)YcMode Extended argument customizing the return value (see “YcMode” on page

389)

=AdTermStructure(InstrumentArray, RateStructure, AdMode)

InstrumentArray Array of instrumentsRateStructure Extended argument defining the structure of the interest rate structure (see

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

237)


Chapter 32 Term Structure Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdTermStructure


PART X:REUTERS ADFIN

COMMON

Reuters Adfin Common Reuters PowerPlus Pro 4.5.1 Function Reference Guide


CHAPTER 33 INTERPOLATION FUNCTIONS

Contents • AdInterp


Chapter 33 Interpolation Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdInterp

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=AdInterp(X, XArray, YArray, InterpMode)


CHAPTER 34 FORMATTING AND PARSING FUNCTIONS

Contents • AdFormat• AdParse• AdRound• DfFormatDate• DfIDNDate


Chapter 34 Formatting and Parsing Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdFormat

AdFormat

Purpose Converts a decimal number to a fraction or displays a bid/ask array as a string using the bid/ask format.

Syntax

Arguments

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

AdRound

Purpose Rounds a number to the nearest tick.

Syntax

Arguments

=AdFormat(Data, BidDecimals, AskDigits, FormatMode)

Data Decimal number or array of bid and ask values to formatBidDecimals Number of decimals of the fractional component (for fraction formatting) or of the

bid side (for bid/ask formatting)AskDigits Number of last digits of the ask side (applicable for bid/ask formatting only)FormatMode Extended argument customizing the return value (see “FormatMode” on page

315)

=AdParse(DataString, ParseMode)

DataString Data stringParseMode Extended argument defining the parsing mode (see “ParseMode” on

page 358)

=AdRound(Value, Tick, RoundMode)

Value Number to be rounded


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 34 Formatting and Parsing FunctionsDfFormatDate

DfFormatDate

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

Syntax

Arguments

DfIDNDate

Purpose 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.

Syntax

Arguments

Tick Rounding tickRoundMode: Extended argument defining the type of the rounding (see

“RoundMode” on page 374)

=DfFormatDate(CalcDate)

CalcDate Calculation date

=DfIDNDate(DateStr)

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


Chapter 34 Formatting and Parsing Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideDfIDNDate


CHAPTER 35 SETTINGS MANAGEMENT FUNCTIONS

Contents • AdDefAttribute• AdDefSet• AdDefStructure• AdReadParam• AdWriteParam


Chapter 35 Settings Management Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdDefAttribute

AdDefAttribute

Purpose Returns the value of a default setting.

Syntax

Arguments

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

AdDefStructure

Purpose Returns all default settings for a default settings category.

Syntax

Arguments

=AdDefAttribute(DefCategory, DefAttribute)

DefCategory String argument defining the default settings categoryDefAttribute Keyword of DefStructure corresponding to the default setting (see

“DefStructure” on page 285)

=AdDefSet(DefCategory, DefStructure)

DefCategory String argument defining the default settings categoryDefStructure Extended argument defining the default settings (see “DefStructure”

on page 285)

=AdDefStructure(DefCategory)

DefCategory String argument defining the default settings category


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 35 Settings Management FunctionsAdReadParam

AdReadParam

Purpose Reads information from the Adfin data file m_excel.dat.

Syntax

Arguments

AdWriteParam

Purpose Writes information into the Adfin data file m_excel.dat.

Syntax

Arguments

=AdReadParam(Section, Entry)

Section Section nameEntry Entry name

=AdWriteParam(Section, Entry, Value)

Section Section nameEntry Entry nameValue Value of entry as a string


Chapter 35 Settings Management Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdWriteParam


CHAPTER 36 STYLES MANAGEMENT FUNCTIONS

Contents • AdHistoryUpdate• AdHistoryValue• AdStyleAttribute• AdStyleDelete• AdStyleName• AdStyleSet• AdStyleStructure


Chapter 36 Styles Management Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdHistoryUpdate

AdHistoryUpdate

Purpose Adds new values to the index history database.

Syntax

Arguments

AdHistoryValue

Purpose Retrieves the latest historical value available in the database for an index history style.

Syntax

Arguments

AdStyleAttribute

Purpose Returns the value of a style attribute.

Syntax

Arguments

=AdHistoryUpdate(IndexName, DateArray, ValueArray)

IndexName Index history style nameDateArray Array of datesValueArray Array of historical values

=AdHistoryValue(IndexName, StyleMode)

IndexName Index history style nameStyleMode Extended argument customizing the return value (see “StyleMode” on

page 380)

=AdStyleAttribute(StyleTable, StyleCode, StyleAttribute)

StyleTable String argument defining the style tableStyleCode Style codeStyleAttribute Keyword corresponding to the style attribute


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 36 Styles Management FunctionsAdStyleDelete

AdStyleDelete

Purpose Deletes an existing style from a style table.

Syntax

Arguments

AdStyleName

Purpose Returns the name of a style.

Syntax

Arguments

AdStyleSet

Purpose Creates or modifies a style in a style table.

Syntax

Arguments

=AdStyleDelete(StyleTable, StyleCode)

StyleTable String argument defining the style tableStyleCode Style code

=AdStyleName(StyleTable, StyleCode)


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

StyleTable String argument defining the style tableStyleCode Style codeStyleName Style nameStyleStructure Extended argument defining the style structure StyleMode Extended argument defining the operation (see “StyleMode” on page

380)


Chapter 36 Styles Management Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdStyleStructure

AdStyleStructure

Purpose Returns the structure of a style.

Syntax

Arguments

=AdStyleStructure(StyleTable, StyleCode)



CHAPTER 37 DATES FUNCTIONS

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


Chapter 37 Dates Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideDfAddMonths

DfAddMonths

Purpose Adds a number of months to a date.

Syntax

Arguments

DfAddPeriod

Purpose Adds a period (number of calendar days, working days, weeks, months or years) to a date.

Syntax

Arguments

DfAddWD

Purpose Adds a number of working days to a date.

=DfAddMonths(Calendars, CalcDate, NbMonths, DfMode)

Calendars String of calendar codes (example: "FRA,UKG")CalcDate Calculation dateNbMonths Number of monthsDfMode Extended argument customizing the return value (see “DfMode” on

page 308)

=DfAddPeriod(Calendars, CalcDate, Period, DfMode)

Calendars String of calendar codes (example: "FRA,UKG")CalcDate Calculation datePeriod 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

DfMode Extended argument customizing the return value (see “DfMode” on page 308)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 37 Dates FunctionsDfAddYears

Syntax

Arguments

DfAddYears

Purpose Adds a number of years to a date.

Syntax

Arguments

DfCountDays

Purpose Calculates the number of days between two dates according to the day count basis specified in DfMode with the keyword DCB.

Syntax

Arguments

=DfAddWD(Calendars, CalcDate, NbDays, DfMode)

Calendars String of calendar codes (example: "FRA,UKG")CalcDate Calculation dateNbDays Number of working days (from -366 to 366)DfMode # not currently used - leave blank # (see “DfMode” on page 308)

=DfAddYears(Calendars, CalcDate, NbYears, DfMode)

Calendars String of calendar codes (example: "FRA,UKG")CalcDate Calculation dateNbYears Number of yearsDfMode Extended argument customizing the return value (see “DfMode” on

page 308)

=DfCountDays(StartDate, EndDate, DfMode)

StartDate Period start dateEndDate Period end dateDfMode Extended argument customizing the return value (see “DfMode” on

page 308)


Chapter 37 Dates Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideDfCountNonWD

DfCountNonWD

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

Syntax

Arguments

DfCountWD

Purpose Calculates the number of working days between two dates.

Syntax

Arguments

DfCountYears

Purpose Calculates the number of years between two dates according to the day count basis specified in DfMode with the keyword DCB.

Syntax

Arguments

=DfCountNonWD(Calendars, StartDate, EndDate, DfMode)

Calendars String of calendar codes (example: "FRA,UKG")StartDate Period start dateEndDate Period end dateDfMode # not currently used - leave blank # (see “DfMode” on page 308)

=DfCountWD(Calendars, StartDate, EndDate, DfMode)

Calendars String of calendar codes (example: "FRA,UKG")StartDate Period start dateEndDate Period end dateDfMode # not currently used - leave blank # (see “DfMode” on page 308)

=DfCountYears(StartDate, EndDate, DfMode)

StartDate Period start dateEndDate Period end date


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 37 Dates FunctionsDfAdjustToWD

DfAdjustToWD

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

Syntax

Arguments

DfFindDateD

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

Syntax

Arguments


=DfAdjustToWD(Calendars, CalcDate, AdjMode, DfMode)

Calendars String of calendar codes (example: "FRA,UKG")CalcDate Calculation dateAdjMode 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


=DfFindDateD(Number, Day, Direction, RefDate)

Number Integer representing the number of days or given day of the weekDay String representing the day {Day, Monday, Tuesday, Wednesday,

Thursday, Friday, Saturday, Sunday}Direction String representing the direction {Of, Before, After}RefDate Reference date


Chapter 37 Dates Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideDfFindDateM

DfFindDateM

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

Syntax

Arguments

DfIsWD

Purpose Indicates whether a date is a working day.

Syntax

Arguments

DfLastWD

Purpose Calculates the last working day of a month.

Syntax

Arguments

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

Number Integer representing the number of days or given day of the weekDay String representing the day {Day, Monday, Tuesday, Wednesday,

Thursday, Friday, Saturday, Sunday}Direction String representing the direction {Of, Before, After}RefMonth String representing the month {January, February, March, April, May,

June, July, August, September, October, November, December}Year Year

=DfIsWD(Calendars, CalcDate, DfMode)

Calendars String of calendar codes (example: "FRA,UKG")CalcDate Calculation dateDfMode Extended argument customizing the return value (see “DfMode” on

page 308)

=DfLastWD(Calendars, CalcDate, DfMode)

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


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 37 Dates FunctionsDfListHolidays

DfListHolidays

Purpose Lists one or several calendars holidays between two dates.

Syntax

Arguments

CalcDate Calculation dateDfMode # not currently used - leave blank # (see “DfMode” on page 308)

=DfListHolidays(Calendars, StartDate, EndDate, DfMode)

Calendars: String of calendar codes (example: "FRA,UKG")StartDate Period start dateEndDate Period end dateDfMode Extended argument customizing the return value (see “DfMode” on

page 308)


Chapter 37 Dates Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideDfListHolidays


PART XI:REUTERS 3000

DATA ENGINE

Reuters 3000 Data Engine Reuters PowerPlus Pro 4.5.1 Function Reference Guide


CHAPTER 38 DATA ENGINE FUNCTIONS

Contents • DeHistory• DeList• DeLookup• DeQuery• DeUpdate


Chapter 38 Data Engine Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideDeHistory

DeHistory

Purpose Retrieves historical data for:• one single instrument, from a specified table in Securities 3000 and Treasury 3000 databases• several instruments, from the DBU server

Syntax

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

Arguments

DeList

Purpose 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.

Note This function can also retrieve lists of RICs, clearing codes, rating sources, and price sources for a bond, from the Reuters Treasury 3000 database.

Syntax

=DeHistory(Code, TableName, FieldList, DestinationCell, MacroName, Conditions, DeMode)

Code Instrument names, separated by commas.TableName 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.

FieldList Array of fields to retrieve. FieldList is mandatory for Security data.DestinationCell Cell reference specifying the top-left corner of the destination cell.MacroName Excel macro, called when the result table is updated.Conditions Any extra information required to retrieve data, depending on the provider

and the kind of request you make.DeMode 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(Code, TableName, FieldList, DestinationCell, MacroName, Conditions, DeMode)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 38 Data Engine FunctionsDeLookup

Arguments

DeLookup

Purpose Retrieves issues and quotations associated with an organization name from the Securities 3000 database.

Syntax

Arguments

Code Identifies the instrument name for which to retrieve data.TableName 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.

FieldList Array of fields to retrieve. This argument is mandatory for EQUITY source.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.

=DeLookup(LookupString, DestinationCell, MacroName, DeMode)

LookupString 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.


Chapter 38 Data Engine Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideDeQuery

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

DeUpdate

Purpose 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.

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

RequestString 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.



Reuters PowerPlus Pro 4.5.1 Function Reference Guide Chapter 38 Data Engine FunctionsDeUpdate

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 Array of instrument codes for which the function returns data.FieldList Array of fields to retrieve.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.



http://rde.session.rservices.com/3000xtra

Chapter 38 Data Engine Functions Reuters PowerPlus Pro 4.5.1 Function Reference GuideDeUpdate


PART XII:REUTERS ADFIN

EXTENDEDARGUMENTS

Reuters Adfin Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference Guide


APPENDIX A EXTENDED ARGUMENTS

Contents • 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


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference Guide

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


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsAdfin Structures

Adfin Structures

Use of StructureArguments withAdfin 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.

ExtendedArguments

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:Value3Reuters 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.


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideAdMode

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

Keyword Explanation

LAY Layout parameter for the array orientation {H, HOR, V, VER}LAY:H or LAY:HOR for horizontal orientationLAY:V or LAY:VER for vertical orientationDefault 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 arrayDefault value: RET:A


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsAdMode

Keywords used in AdMode for Adfin Bonds functions:

Keyword Explanation

RES 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}



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 priceRES:CBPRICE to calculate the convertible bond priceRES:CV to calculate the conversion valueRES:CVPRICE to calculate the conversion priceRES:OPTIONFREEPRICE to calculate the option free priceRES:PARITY to calculate the parityof the convertible bondRES:EQPREMIUM to calculate the equity premium RES:OPTPREMIUM to calculate the option premium RES:PREMIUM to calculate the total premiumRES: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 DateRES:PREV to calculate the previous coupon dateRES:NEXT to calculate the next coupon date RES:EXDIV to calculate the ex dividend dateRES:ACCDAYS to calculate the accrued daysRES:ACC to calculate the accrued interest RES:NXCPN to calculate the next coupon value

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsAdMode

Keywords used in AdMode for Adfin Options functions:

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 floorsRES: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



Keywords used in AdMode for Adfin Exotics functions:

Example

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

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


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsBdMode

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

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.

Keyword Explanation

IAC Cash flows calculation split up into interest and principal {no value}IAC to display interest cash flows and principal cash flowsDefault 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 orientationLAY:V or LAY:VER for vertical orientationDefault 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 onlyDefault value: RET:A


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideBondFutStructure

Structure 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 dateDefault 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 dateDefault value: No bond futures style is defined

BOND Underlying bond {bond}BOND:bond to define the contract underlying bondDefault 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 monthCDADJ:C:Q to adjust to the closest quarterCDADJ:F:M to adjust to the following monthCDADJ:F:Q to adjust to the following quarterCDADJ:N for NoneCDADJ:P:M to adjust to the preceding monthCDADJ:P:Q to adjust to the preceding quarterDefault value: CDADJ:N

CFD Conversion factor date calculation method {iWD with i as integer}CFD:iWD for i working days from the reference dateDefault value: CFD:0WD

CLDR Calendar for holiday management {calendar}CLDR:calendar to assign the corresponding calendar style to the currencyDefault value: CLDR:NULL (no date adjustment is made)


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsBondFutStructure

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 monthCRD:10C to set the date to the 10th calendar day of the delivery monthCRD:15C to set the first calendar day of the delivery monthCRD:20C to set the date to the 20th calendar day of the delivery monthCRD:2NDFRI to set the second Friday of the delivery monthCRD:3RDWED to set the date to the third Wednesday day of the delivery monthCRD: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 currencyDefault 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 truncatingDEC:RND:i to round the calculated value to i decimalsDEC:TRUNC:i to trunc the calculated value to i decimalsDefault 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 monthEDD:iWD for i working days from the reference dateDefault value: EDD:0WD

MDADJ Maturity date adjustment {F, M, N, P}MDADJ:F for FollowingMDADJ:M for Modified FollowingMDADJ:N for NoneMDADJ:P for PrecedingDefault value: MDADJ:N

QM Quotation mode {100, 32, 256}QM:100 for prices quoted in decimalsQM:32 for prices quoted in 32ndQM:256 for prices quoted in 256thDefault value: QM:100

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideBondFutStructure

RATE Nominal rate {i (where i is numeric)}RATE:i where i is the rate of the contractDefault 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 30/360RRTYPE:A0 for Actual/360RRTYPE:A0D for Actual/360 (day-based)RRTYPE:A25D for Actual/365.25 (day-based)RRTYPE:A5 for Actual/365RRTYPE:A5D for Actual/365 (day-based)RRTYPE:AA for Actual/ActualRRTYPE:BFM for Braess/FangmeyerRRTYPE:DISCA0 for discount Actual/360RRTYPE:DISCA5 for discount Actual/365RRTYPE:E0 for 30E/360 ISMARRTYPE:JAP for JapaneseRRTYPE:MMBA0 for money market bullet Actual/360RRTYPE:MMBA5 for money market bullet Actual/365RRTYPE:MMDA0 for money market direct discounting Actual/360RRTYPE:MMDA5 for money market direct discounting Actual/365RRTYPE:MMMA0 for money market medium term CD Actual/360RRTYPE:MMMA5 for money market medium term CD Actual/365RRTYPE:MMPA0 for money market proceeds Actual/360RRTYPE:MMPA5 for money market proceeds Actual/365RRTYPE:MOOS for MoosmüllerRRTYPE:TRE for TreasuriesDefault value: No rate type is defined

SDD 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 monthSDD:iWD for i working days from the reference dateDefault value: SDD:0WD

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsBondStructure

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.

SIZE Contract size {i (where i is numeric)}SIZE:i where i is the size of the contractDefault value: SIZE:0

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideBondStructure


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 30/360ACC:A0 for Actual/360ACC:A5 for Actual/365ACC:AA for Actual/ActualACC:BB00 for Brazilian bonds with 30/360ACC:BBA5 for Brazilian bonds with Actual/365ACC:BBW252 for Brazilian bonds with Actual Working days/252ACC: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/360ACC:MMA5 for money market Actual/365ACC:MMNL5 for money market Actual No Leap/365ACC:NL0 for Actual No Leap/360ACC:NL5 for Actual No Leap/365ACC:W252 for Actual Working days/252ACC: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 valueALIMIT:NEXT to adjust the coupon subtracting the exceeding number of daysALIMIT:NO to allow the accrued interest to exceed the regular coupon valueDefault 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 DDMMMYYDefault value: No amortization pattern defined



ARND Rounding mode of the accrued interest {NO} or {i (where i is numeric) : {UP, DOWN, NEAR}}ARND:NO if no rounding is requestedARND:i:{UP, DOWN, NEAR} for rounding to the precision defined by iDefault value: ARND:NO if no rounding is requestedARND: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 iCALL:DDMMMYY:DDMMMYY:i to indicate that the bond holds an American call option between DDMMMYY and DDMMMYY and whose strike clean price is iDefault value: The bond is not callable

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 30/360CCM:BBA0 for bond Actual/360CCM:BBA5 for bond Actual/365CCM:BBAA for bond Actual/ActualCCM:BBE0 for bond 30E/360 ISMACCM:MM00 for money market 00/360CCM:MMA5 for money market Actual/365CCM:MMA0 for money market Actual/360CCM:MMAA for money market Actual/ActualCCM:MME0 for money market 30E/360CCM:MMNL0 for money market Actual No Leap/360CCM:MMNL5 for money market Actual No Leap/365CCM: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 dateCFADJ:NO for not adjusting the cash flow valuesDefault 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 adjustmentsDefault value: CLDR:NULL (no date adjustment is made)

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 iDefault value: CRND:NO

DATED Dated date {DDMMMYY}DATED:DDMMMYY where DDMMMYY is the accrual start date for irregular couponsDefault 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 dayDMC: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 movingDMC:P or DMC:PRE for moving the date to the preceding working dayDefault 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 LastEMC:S or EMC:SAME for SameEMC: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 29thDefault value: EMC:LAST

FAD First amortization date {DDMMMYY}FAD:DDMMMYY where DDMMMYY is the first amortization dateDefault 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

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 dateFRQ:91D to define a coupon payment every 91 days from the maturity dateFRQ:182D to define a coupon payment every 182 days from the maturity dateFRQ:364D to define a coupon payment every 364 days from the maturity dateFRQ:1 to define an annual coupon payment from the maturity dateFRQ:2 to define a semi-annual coupon payment from the maturity dateFRQ:4 to define a quarterly coupon payment from the maturity dateFRQ:12 to define a monthly coupon payment from the maturity dateFRQ:DDMMMYY:i to define a frequency of i from date DDMMMYYIC

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 dateFRQ:91D to define a coupon payment every 91 days from the maturity dateFRQ:182D to define a coupon payment every 182 days from the maturity dateFRQ:364D to define a coupon payment every 364 days from the maturity dateFRQ:1 to define an annual coupon payment from the maturity dateFRQ:2 to define a semi-annual coupon payment from the maturity dateFRQ:4 to define a quarterly coupon payment from the maturity dateFRQ:12 to define a monthly coupon payment from the maturity dateFRQ:DDMMMYY:i to define a frequency of i from date DDMMMYYIC

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

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 valueIC:NBC for NBC first couponDefault value: IC:S1

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 capitalizedINTCAP:DDMMYYYY:DDMMYYYY:i to set the start date, end date and capitalization rateDefault value: No capitalization rate is defined

ISSUE Issue date {DDMMMYY}ISSUE:DDMMMYY where DDMMMYY is the bond issue date for irregular couponsDefault 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 dateLRCD:JGB to handle automatically odd last coupons for JGBs

MDADJ Maturity date adjustment {F, M, N, P}MDADJ:F for FollowingMDADJ:M for Modified FollowingMDADJ:N for NoneMDADJ:P for Preceding

NC Normalization of the capital {YES, NO}YES for the use of the remaining capitalNO for the use of the initial capitalDefault value: NC:NO

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 iDefault value: NOTIONAL:1

PPMT Partial payment for partly paid bond {DDMMMYY:i with i<=1}PPMT:DDMMMYY:i to indicate that i are paid at the date DDMMMYYDefault 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 iPUT:DDMMMYY:DDMMMYY:i to indicate that the bond holds an American put option between DDMMMYY and DDMMMYY and whose strike clean price is iDefault value: The bond is not puttable

PX Price type parameter {C, G}PX:C for clean pricePX:G for gross priceDefault 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 iDefault value: PXRND:NO if no rounding is requestedPXRND: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 dateDefault value: REFDATE:MATURITY

RP Redemption price {i (where i is numeric) (1=100%)}RP:i for a ratio equal to i

Keyword Explanation



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 fineRT:C for constant paymentsRT:C:i for constant payments equal to i except for the last cash flow which is adjustedRT:Sj for j seriesRT:Sj:i for j series and constant payments equal to i except for the last cash flow which is adjustedRT: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 conventionSETTLE:iDF for i calendar days and the following date moving conventionSETTLE:iDM for i calendar days and the modified following date moving conventionSETTLE:iDN for i calendar days and no date moving conventionSETTLE:iDP for i calendar days and the preceding date moving conventionSETTLE: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 creditTC:YES to adjust the redemption price with the tax credit

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 daysXD:iWD for an ex-dividend period of i working daysXD:AUT for the Austrian ex-dividend periodXD: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)

Keyword Explanation

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.


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsCalcMethod

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


4.0

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

.

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.

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%.

Is NOTIONAL used? Are AMORT and PPMT used?

RT has the value NC has the value

YES NO B NO

YES – Unique value YES B NO

NO YES B YES for sinking fundsNO for LATAM bonds

NO NO C or S YES


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideCalcMethod


CF 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 NULLCF:WE for cash flow pricing using the calendar WEEKENDCF:YES for cash flow pricing using the calendar defined in Default Settings Default value: Calculation with cash flows



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 30/360CM:A0 for Actual/360CM:A0D for Actual/360 (day-based)CM:A25D for Actual/365.25 (day-based)CM:A5 for Actual/365CM:A5D for Actual/365 (day-based)CM:AA for Actual/ActualCM:BFM for Braess/FangmeyerCM:DISCA0 for discount Actual/360CM:DISCA5 for discount Actual/365CM:E0 for 30E/360 ISMACM:JAP for JapaneseCM: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/360CM:MMDA5 for money market direct discounting Actual/365CM:MMMA0 for money market medium term CD Actual/360CM:MMMA5 for money market medium term CD Actual/365CM:MMPA0 for money market proceeds Actual/360CM:MMPA5 for money market proceeds Actual/365CM:MOOS for MoosmüllerCM:TRE for TreasuriesCM:UDI for UdibonosCM:W252 for Actual Working days/252Default 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 keywordCMP:FRQ for using the frequency defined by the FRQ keywordCMP:YEARLY for a yearly frequencyDefault value: CMP:YEARLY

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideCalcMethod

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/252Default 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 yearlyEY:12 or EY:M for monthlyEY:182D for a compounding every 182 daysEY:2 or EY:S for semi-annualEY:28D for a compounding every 28 daysEY:364D for a compounding every 364 daysEY:4 or EY:Q for quarterlyEY:91D for a compounding every 91 daysDefault 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 interpolationIM:CUBR for cubic spline rate interpolationIM:LIN for linear interpolation without extrapolationIM:LIX for linear interpolation with extrapolationIM:LOG for loglinear interpolationIM:VOL for linear interpolation on volatility curvesDefault value: The value of the IM keyword of the "RATEMODEL" category

Keyword Explanation



LAY Layout parameter for the array orientation {H, HOR, V, VER}LAY:H or LAY:HOR for horizontal orientationLAY: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 onlyLLP:00:i for 30/360 for the i last periodsLLP:A0 for Actual/360 for the last period onlyLLP:A0:i for Actual/360 for the i last periodsLLP:A5 for Actual/365 for the last period onlyLLP:A5:i for Actual/365 for the i last periodsLLP:AA for Actual/Actual for the last period onlyLLP:AA:i for Actual/Actual for the i last periodsLLP:E0 for 30E/360 for the last period onlyLLP:E0:i for 30E/360 for the i last periodsLLP: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 arrayND:ERR to generate error messages for a null date in the date arrayDefault 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 pricePX:G for gross priceDefault value: PX:G

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideCalcStructure

CalcStructure

CalcStructure is used as argument in Adfin Analytics functions to define the calculation methods available for pricing instruments.

SHIFT Yield change value {i (where i is numeric)}SHIFT:i for a yield change equal to iDefault value: SHIFT:0.0001

SPREAD Credit spread flag {no value, NO, YES}SPREAD or SPREAD:YES to enable the credit spread in the calculationSPREAD:NO to disable the credit spread in the calculationDefault 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 daysXD:iWD for an ex-dividend period of i working daysXD: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 bestYTM:MATURITY to force the calculation of the yield to maturityYTM:WORST to force the calculation of the yield to worstDefault value: YTM:AUTO

ZCTYPE Zero-coupon yield curve {DF, RATE}ZCTYPE:DF to use discount factorsZCTYPE:RATE to use zero-coupon ratesDefault value: The value of the ZCTYPE keyword of the "RATEMODEL" category

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsCalcStructure

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.


ANP Avoiding negative probabilities in the evaluation model {NO, YES}ANP:NO to use the standard modelANP:YES to use the modified version of the model avoiding negative probabilitiesDefault 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 methodCMT:FORM for model using a formulaDefault 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 coefficientDefault value: COR:0

DCP Current payment parameter for cap, or floor functions {NO, YES}DCP:NO to keep the current caplet, or floorletDCP:YES to skip the current caplet, or floorletDefault 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:FORMFT:CEV to use the Constant Elasticity of Variance Model if CMT:FORMFT:WHALEY to use the Whaley Model if CMT:FORMDefault value: FT:BS


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideCapFloorStructure

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.

NBBRANCH Number of branches in the tree {2, 3}NBBRANCH:2 if CMT:TREENBBRANCH:3 if CMT:TREEDefault 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 factorNBFACTOR:2 if CMT:TREE for two factorsDefault 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 methodSOLVER:RIDDER to use the Ridder methodSOLVER:DICHO to use the dichotomy methodDefault 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 stepsDefault 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 valueDefault value: VOLAT:0.1

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsCapFloorStructure

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

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 30/360CCM:A0 for Actual/360CCM:A0D for Actual/360 (daily compounding)CCM:A25D for Actual/365.25 (daily compounding)CCM:A5 for Actual/365CCM:A5D for bond Actual/365 (daily compounding)CCM:AA for Actual/ActualCCM:CONT for continuousCCM:DAYA0 for daily Actual/360CCM:DAYA5 for daily Actual/365CCM:DISCA0 for discount Actual/360CCM:DISCA5 for discount Actual/365CCM:DF for discount factorCCM:E0 for 30E/360 ISMACCM:IAM for interest at maturityCCM:MM00 for money market 00/360CCM:MMA5 for money market Actual/365CCM:MMA0 for money market Actual/360CCM:MMAA for money market Actual/ActualCCM:MME0 for money market 30E/360CCM:MMNL0 for money market Actual No Leap/360CCM:MMNL5 for money market Actual No Leap/365Default value: CCM:MMA0


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideCapFloorStructure

CFADJ Cash Flow (Value) Adjustment {YES, NO}CFADJ:YES to specify that the cash flow values are adjusted with the payment dateCFADJ:NO to specify that the cash flow values are not adjustedDefault 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 daysDefault 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 adjustmentCONVBIAS:NO not to make the adjustmentDefault 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 dayDMC: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 movingDMC:P or DMC:PRE for moving the date to the preceding working dayDefault value: DMC:F


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 optionDefault value: FIXING:0

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsCapFloorStructure

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 annualFRQ:12 or FRQ:M for monthlyFRQ:4 or FRQ:Q for quarterlyFRQ:2 or FRQ:S for semi-annualDefault value: FRQ:4

KI Knock in barrier flag {no value}KI to specify a knock in or double knock in Barrier cap or floorDefault value: No barrier is defined

KO Knockout barrier flag {no value}KO to specify a knockout or double knockout Barrier cap or floorDefault 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 periodPAYMENT:END to specify that the payoff is received at the end of the associated protection periodDefault value: PAYMENT:END

REFDATE Reference date for coupon date generation {MATURITY, ISSUE}REFDATE:ISSUE to specify the issue date as the reference dateREFDATE:MATURITY to specify the maturity date as the reference dateDefault 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 advanceRESET:ARREARS to specify that the forward rate is reset in arrearsDefault value: RESET:ADVANCE

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideCdsStructure

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.


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 dateAOD:NO means that the accrued is not paid at the credit event dateDefault 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 requestedARND:i:{UP,DOWN,NEAR} for rounding to the precision defined by iDefault value: ARND:NO if no rounding is specifiedARND:i:NEAR if i is specified


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsCdsStructure

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 30/360CCM:BBA0 for bond Actual/360CCM:BBA5 for bond Actual/365CCM:BBAA for bond Actual/ActualCCM:BBE0 for bond 30E/360 ISMACCM:MM00 for money market 00/360CCM:MMA5 for money market Actual/365CCM:MMA0 for money market Actual/360CCM:MMAA for money market Actual/ActualCCM:MME0 for money market 30E/360CCM:MMNL0 for money market Actual No Leap/360CCM:MMNL5 for money market Actual No Leap/365CCM: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 modeCDSTYPE:EURCDS to indicate that the credit default swap has a European exercise modeDefault value: CDSTYPE:AMERCDS

CFADJ Cash Flow (Value) Adjustment{YES, NO}CFADJ:YES for adjusting the cash flow value with the payment dateCFADJ:NO for not adjusting the cash flow valuesDefault value: CFADJ:NO

Keyword Explanation




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 timeDefault value: CPLAG:0WD


CUR Currency parameter for currency swaps {currencies}CUR:currency to assign the currency for the current legDefault value: No currency is defined

DATED Dated date {DDMMMYY}DATED:DDMMMYY where DDMMMYY is the accrual start date for irregular couponsDefault 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 dayDMC: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 dateDMC:P or DMC:PRE for moving the date to the preceding working dayDefault value: The value of the DMC keyword of the "IRS" category

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 lastEMC:S or EMC:SAME for sameEMC: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 29thDefault 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 dateDefault 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 dateFRQ:91D to define a coupon payment every 91 days from the maturity dateFRQ:182D to define a coupon payment every 182 days from the maturity dateFRQ:364D to define a coupon payment every 364 days from the maturity dateFRQ:1 to define an annual coupon payment from the maturity dateFRQ:2 to define a semi-annual coupon payment from the maturity dateFRQ:4 to define a quarterly coupon payment from the maturity dateFRQ:12 to define a monthly coupon payment from the maturity dateFRQ:DDMMMYY:i to define a frequency of i from date DDMMMYYDefault value: FRQ:1

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 valueIC:NBC for NBC first couponDefault value: IC:S1

LBOTH Swap attribute specification flag {no value}LBOTH to specify that the following keywords apply to both legsDefault 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 onlyDefault 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 onlyDefault 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 onlyDefault 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 dateLRCD:JGB to handle odd last coupons for JGBs automaticallyDefault 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 onlyDefault value: No default value is defined

Keyword Explanation



LTYPE Type of the current leg {FIXED, FLOAT}LTYPE:FIXED to define that the current leg is a fixed legLTYPE:FLOAT to define that the current leg is a floating legDefault value: No leg type is defined (mandatory keyword for both legs)

MDADJ Maturity date adjustment {F, M, N, P}MDADJ:F for FollowingMDADJ:M for Modified FollowingMDADJ:N for No maturity date adjustmentMDADJ:P for PrecedingDefault 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 currencyDefault 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 dateDefault value: PDELAY:0

REFDATE Reference date in cash flow dates generation {MATURITY, ISSUE}REFDATE:ISSUE to use the issue date as reference dateREFDATE:MATURITY to use the maturity date as reference dateDefault value: REFDATE:MATURITY

RND Coupon rounding for accrued calculation {2, 3, 4, 5, 6, NO}For backward compatibility reasons, this keyword is still supportedRND:2 for 2-decimal roundingRND:3 for 3-decimal roundingRND:4 for 4-decimal roundingRND:5 for 5-decimal roundingRND:6 for 6-decimal roundingRND:NO for no roundingDefault value: RND:NO

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideConvMode

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 All keywords of the Argument are used in ConvStructure. The following keywords have been added:

RP Redemption price ratio {i (where i is numeric) (1=100%)}RP:i for a ratio equal to iDefault 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 fineRT:C for constant paymentsRT:C:i for constant payments equal to i except for the last cash flow which is adjustedRT:Sj for j seriesRT:Sj:i for j series and constant payments equal to i except for the last cash flow which is adjustedDefault value: RT:B

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsConvStructure

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 dividendsDIVTYPE:DISC for discounted dividendsDIVTYPE:PROP for proportional dividendsDefault 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.


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideCreditStructure

IOTYPE keyword The IOTYPE keyword is used to describe the format of the following inputs and outputs in the Adfin convertible functions

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.

Structure

Functions Inputs Outputs

AdConvBdDeriv Straight Value

AdConvCalcCpn Accrued Interest and Next Coupon Value

AdConvCashFlows Coupon Values and Principal

AdConvImpliedVol Price of the convertible bond

AdConvPrice Equity Premium, Option Premium, Total Premium, Break-even, and Straight Value

AdConvYiel Price of the convertible bond

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 modelAPPROX:NO to use the exact formula in the calibration of the Cox, Ingersoll, and Ross modelDefault value: APPROX:YES


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsCreditStructure

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 dateDefault value: The default value is the rating, which corresponds to the default state


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 daysDefault value: NBDAYS:3

ND Null date processing {DIS, ERR}ND:DIS to discard null dates from the date arrayND:ERR to generate error messages for a null date in the date arrayDefault 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

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideCrossStructure

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.

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 columnDefault 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 percentageDefault 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

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsCrossStructure


CRDEC Cross rate decimals {0, 1, 2, 3, 4, 5, 6, 7, 8, 9}CRDEC:0 for 0 decimalCRDEC:1 for 1 decimalCRDEC:2 for 2 decimalsCRDEC:3 for 3 decimalsCRDEC:4 for 4 decimalsCRDEC:5 for 5 decimalsCRDEC:6 for 6 decimalsCRDEC:7 for 7 decimalsCRDEC:8 for 8 decimalsCRDEC:9 for 9 decimalsDefault 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 offsetFROM:MMTRADE to use the trading date as origin and the Money market spot offsetFROM:FXSPOT to use the spot date as origin and the Forex market spot offsetFROM:FXTRADE to use the trading date as origin and the Forex market spot offsetDefault value: FROM:FXTRADE

QU Quotation unit{1, 10, 100, 1000, 10000}QU:1 for 1QU:10 for 10QU:100 for 100QU:1000 for 1000QU:10000 for 10000Default 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 quotationQM1:INDIRECT for indirect quotationDefault value: QM1:DIRECT


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideCsStructure

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.

QM2 Quotation mode of the second currency versus the base currency when different from USD {DIRECT, INDIRECT}QM2:DIRECT for direct quotationQM2:INDIRECT for indirect quotationDefault value: QM2:DIRECT

SPDEC Swap point decimals {0, 1, 2, 3, 4, 5, 6, 7, 8, 9}SPDEC:0 for 0 decimalSPDEC:1 for 1 decimalSPDEC:2 for 2 decimalsSPDEC:3 for 3 decimalsSPDEC:4 for 4 decimalsSPDEC:5 for 5 decimalsSPDEC:6 for 6 decimalsSPDEC:7 for 7 decimalsSPDEC:8 for 8 decimalsSPDEC:9 for 9 decimalsDefault value: No default value defined

SWPR Swap point ratio {1, 10, 100, 1000, 10000}SWPR:1 for 1SWPR:10 for 10SWPR:100 for 100SWPR:1000 for 1000SWPR:10000 for 10000Default value: No default value defined

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsCsStructure


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 DDMMMYYDefault 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 30/360CCM:BBA0 for bond Actual/360CCM:BBA5 for bond Actual/365CCM:BBAA for bond Actual/ActualCCM:BBE0 for bond 30E/360 ISMACCM:MM00 for money market 00/360CCM:MMA5 for money market Actual/365CCM:MMA0 for money market Actual/360CCM:MMAA for money market Actual/ActualCCM:MME0 for money market 30E/360CCM:MMNL0 for money market Actual No Leap/360CCM:MMNL5 for money market Actual No Leap/365CCM: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



Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideCsStructure

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 daysDefault value: CLDR:NULL (no date adjustment is made)

CROSS Cross-currency parameter for currency swaps {cross-currencies}CROSS:crosscurrency to define the underlying cross-currencyDefault 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 legDefault 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 couponsDefault 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 dayDMC: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 movingDMC:P or DMC:PRE for moving the date to the preceding working dayDefault 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 dayEMC: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

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsCsStructure

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 yearlyFRQ:2 or FRQ:S for semi-annualFRQ:4 or FRQ:Q for quarterlyFRQ:12 or FRQ:M for monthlyDefault 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 valueIC:NBC for NBC fist couponDefault 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)





Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideCurStructure

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.

Structure

NOTIONAL Notional principal amount used for interest payments {i (where i is numeric)}NOTIONAL:i for a notional principal equal to i units of currencyDefault value: NOTIONAL:1 (all interest payments are returned in percentage i.e. for a principal equal to one unit of currency)


PEX Notional principal exchange parameter {BOTH, END, NONE, START}PEX:BOTH to exchange the notional principal at the swap start date and maturity datePEX:END to exchange the notional principal at the swap maturity date onlyPEX:NONE for no exchange of the notional principalPEX:START to exchange the notional principal at the swap start date onlyDefault value: PEX:BOTH

Keyword Explanation

Keyword Explanation



Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsDefStructure

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.

DTM Number of working days from trade date to MM spot date {0, 1, 2, 3, 4, 5}DTM:0 for 0 working dayDTM:1 for 1 working dayDTM:2 for 2 working daysDTM:3 for 3 working daysDTM:4 for 4 working daysDTM:5 for 5 working daysDefault 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 dayDTS:1 for 1 working dayDTS:2 for 2 working daysDTS:3 for 3 working daysDTS:4 for 4 working daysDTS:5 for 5 working daysDefault value: No default value is defined

QM Quotation mode versus the USD {DIRECT, INDIRECT}QM:DIRECT for direct quotationQM:INDIRECT for indirect quotationDefault value: No default value is defined

YB Money market year basis {360, 365}YB:360 for 360 daysYB:365 for 365 daysDefault value: No default value is defined

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideDefStructure

Following are the descriptions of DefStructure argument for each category.

Structure forBOND Category

The attributes listed below must be used with the DefCategory argument set to "BOND".

Structure forCLDR Category

The attributes listed below must be used with the DefCategory argument set to "CLDR".

Keyword Explanation

CFADJ Cash Flow (Value) Adjustment {YES, NO}CFADJ:YES for adjusting the cash flow value with the payment dateCFADJ: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 dayDMC: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 LastEMC:S or EMC:SAME for SameEMC: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 pricePX:G for gross price

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



Structure forCROSS Category

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 decimalCRDEC:1 for 1 decimalCRDEC:2 for 2 decimalsCRDEC:3 for 3 decimalsCRDEC:4 for 4 decimalsCRDEC:5 for 5 decimalsCRDEC:6 for 6 decimalsCRDEC:7 for 7 decimalsCRDEC:8 for 8 decimalsCRDEC: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 quotationQM1: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 quotationQM2:INDIRECT for indirect quotation

QU Quotation unit {1, 10, 100, 1000, 10000}QU:1 for 1QU:10 for 10QU:100 for 100QU:1000 for 1000QU:10000 for 10000



SPDEC Swap point decimals {0, 1, 2, 3, 4, 5, 6, 7, 8, 9}SPDEC:0 for 0 decimalSPDEC:1 for 1 decimalSPDEC:2 for 2 decimalsSPDEC:3 for 3 decimalsSPDEC:4 for 4 decimalsSPDEC:5 for 5 decimalsSPDEC:6 for 6 decimalsSPDEC:7 for 7 decimalsSPDEC:8 for 8 decimalsSPDEC:9 for 9 decimals

SWPR Swap point ratio {1, 10, 100, 1000, 10000}SWPR:1 for 1SWPR:10 for 10SWPR:100 for 100SWPR:1000 for 1000SWPR:10000 for 10000

Keyword Explanation



Structure forCUR Category

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 dayDTM:1 for 1 working dayDTM:2 for 2 working daysDTM:3 for 3 working daysDTM:4 for 4 working daysDTM: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 dayDTS:1 for 1 working dayDTS:2 for 2 working daysDTS:3 for 3 working daysDTS:4 for 4 working daysDTS:5 for 5 working days

QM Quotation mode versus the USD {DIRECT, INDIRECT}QM:DIRECT for direct quotationQM:INDIRECT for indirect quotation

YB Money market year basis {360, 365}YB:360 for 360 daysYB:365 for 365 days



Structure forDATE Category

The attributes listed below must be used with the DefCategory argument set to "DATE".

Structure forFORMULA

Category

The attributes listed below must be used with the DefCategory argument set to "FORMULA".

Keyword Explanation

DATEFMT Date format for structure keywords {DMY, MDY, SYS, YMD}DATEFMT:DMY for the DD/MM/YY formatDATEFMT:MDY for the MM/DD/YY formatDATEFMT:SYS for the system formatDATEFMT: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)

Keyword Explanation

CONV Convexity {MIDDLE, VOL}

DUR Calculation method of the duration {MIDDLE, RIGHT}

MATCORRECTED

Type of maturity factor calculation {NO, YES}MATCORRECTED:NO for a day based maturity factor calculation (Adfin Analytics 2.50 and earlier)MATCORRECTED:YES for a period based maturity factor calculation

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}



Structure for IDXCategory

The attributes listed below must be used with the DefCategory argument set to "IDX".

Structure for IRSCategory

The attributes listed below must be used with the DefCategory argument set to "IRS".

Keyword Explanation

AVG Index compounding method {ARI, CMP, MCA, NONE}AVG:ARI for arithmetic averageAVG:CMP for daily compounded averageAVG:MCA for monthly compounded averageAVG:NONE for no compounding method

PERIOD Index calculation period {ON, TN}PERIOD:ON for overnight calculationPERIOD: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 roundingRND:1 for 1-decimal roundingRND:2 for 2-decimal roundingRND:3 for 3-decimal roundingRND:4 for 4-decimal roundingRND:5 for 5-decimal roundingRND:6 for 6-decimal rounding

YB Money market year basis {360, 365}YB:360 for a 360-day yearYB:365 for a 365-day year

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 FollowingDMC:M or DMC:MOD for Modified FollowingDMC:N or DMC:NONE for NoneDMC:P or DMC:PRE for Preceding



Structure forMMFUTURE

Category

The attributes listed below must be used with the DefCategory argument set to "MMFUTURE".

Structure forRATEMODEL

Category

The attributes listed below must be used with the DefCategory argument set to "RATEMODEL".

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 LastEMC: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)

Keyword Explanation

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 daysYB:365 for 365 days

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 NULLCLDRADJ:WEEKEND for cash flow pricing using the calendar WEEKENDCLDRADJ:CLDR for cash flow pricing using the calendar defined by the keyword CLDR (if no calendar is defined, CLDRADJ:WEEKEND is used)



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/360DCB:NL5 for Actual No Leap/365DCB: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 yearlyEY:12 or EY:M for monthlyEY:182D for a compounding every 182 daysEY:2 or EY:S for semi-annualEY:28D for a compounding every 28 daysEY:364D for a compounding every 364 daysEY:4 or EY:Q for quarterlyEY:91D for a compounding every 91 daysEY: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 interpolationIM:CUBR for cubic spline rate interpolationIM:LIN for linear interpolation without extrapolationIM:LIX for linear interpolation with extrapolationIM:LOG for loglinear interpolationIM:VOL for linear interpolation on volatility curves

ND Null date processing {DIS, ERR}ND:DIS to discard null dates from the date arrayND:ERR to generate error messages for a null date in the date array

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 yearlyRATEFRQ:12 or RATEFRQ:M for monthlyRATEFRQ:182D for a compounding every 182 daysRATEFRQ:2 or RATEFRQ:S for semi-annualRATEFRQ:28D for a compounding every 28 daysRATEFRQ:182D for a compounding every 182 daysRATEFRQ:364D for a compounding every 364 daysRATEFRQ:4 or RATEFRQ:Q for quarterlyRATEFRQ:91D for a compounding every 91 daysRATEFRQ:ZERO no compoundingRATEFRQ:EY for compounding defined by the EY keywordRATEFRQ: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 ActualRATETYPE:CONT for continuous yield/rateRATETYPE:DISC for discounted yield/rateRATETYPE:MM for Money Market yield/rateRATETYPE:MMB for Money Market BulletRATETYPE:MMM for Money Market MediumRATETYPE:MMP for Money Market ProceedRATETYPE:MMR for Money Market Direct DiscountingRATETYPE:TRE for US bills Treasury RATETYPE:SIMPLEJAP for simple yield/rateRATETYPE:CMPJAP for compounded yield/rate

ZCTYPE Zero-coupon yield curve type {DF, RATE}ZCTYPE:DF to use discount factorsZCTYPE:RATE to use zero-coupon rates

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsDeMode Argument for DeHistory

Structure forXLMODECategory

The attributes listed below must be used with the DefCategory argument set to "XLMODE".

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

Keyword Explanation

LAY Layout parameter for the array orientation {H, HOR, V, VER}LAY:H or LAY:HOR for horizontal orientationLAY:V or LAY:VER for vertical orientation

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 updatedDefault 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 returnedDefault value: HEADER:NO


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideDeMode Argument for DeHistory

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 dataDefault 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

keywordDefault 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 invalidDefault 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 orientationDefault value: LAY:HOR

NODATE Specifies that columns containing dates are ignored:• NODATE:YES• NODATE:NO

Default value: NODATE:NO

Keyword Description


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsDeMode Argument for DeHistory

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 dataDefault 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 priorityDefault 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 updatesDefault 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 manuallyDefault 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)

Keyword Description


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideDeMode Argument for DeHistory

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 serverDefault 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

serverDefault 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 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 synchronizedDefault value: TSREPEAT:YES

Keyword Description


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsDeMode 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 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 updatedDefault value: CTU:CHANGED

HEADER Returned header:• HEADER:YES to specify that headers are returned• HEADER:NO to specify that no header is returnedDefault 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 orientationDefault 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 dataDefault value: NULL:SKIP


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideDeMode Argument for DeList

PRIORITY Establishes a priority for the object's next request:• PRIORITY:HIGH highest priority• PRIORITY:MEDIUM medium priority• PRIORITY:LOW lowest priorityDefault value: PRIORITY:LOW

REFRESH REFRESH:NO retrieves data that can only be refreshed manuallyREFRESH: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 databaseDefault 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


Keyword Description


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsDeMode Argument for DeLookup

DeMode Argument for DeLookup


Structure

TRIM Space trimming for string data retrieved:• TRIM:YES• TRIM:NO


Keyword Description

Keyword Description


HEADER Returned header:• HEADER:YES to specify that headers are returned• HEADER:NO to specify that no header is returnedDefault value: HEADER:NO



Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideDeMode Argument for DeLookup



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 TreasuryThe Global Refresh property is not provided in the DBU settings dialog box.

Default value: REFRESH:NO





Keyword Description


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsDeMode Argument for DeQuery

DeMode Argument for DeQuery


Structure






Keyword Description

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 updatedDefault value: CTU:CHANGED


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideDeMode Argument for DeQuery

HEADER Returned header• HEADER:YES to specify that headers are returned• HEADER:NO to specify that no header is returnedDefault value: HEADER:NO





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.



Keyword Description


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsDeMode Argument for DeUpdate

DeMode Argument for DeUpdate




3000 database• SOURCE:LOCAL retrieves data from your local database with the

“DeQuery” on page 230Default value: No default value is defined


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



Keyword Description


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideDeMode Argument for DeUpdate

Structure Keyword Description


HEADER Returned header• HEADER:YES to specify that headers are returned• HEADER:NO to specify that no header is returnedDefault 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 orientationDefault 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 dataDefault value: NULL:SKIP



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.



Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsDeMode Argument for DeUpdate

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)




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:0Note: Despite the apparent resemblance with cell addressing, the SPLIT keyword only specifies the dimension of the array, not a location on a spreadsheet.



• Default value: No TITLE

Keyword Description


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideDfMode

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



UWC UWC (Update When Completed) determines whether receipt of partial 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 flaggedIf 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 databaseDefault value: UWC:NO

Keyword Description

Keyword Explanation

DCB Day count basis {00, A0, A0D, A25D, A5, A5D, AA, E0}DCB:00 for 30/360DCB:A0 for Actual/360DCB:A0D for Actual/360 (day-based)DCB:A25D for Actual/365.25 (day-based)DCB:A5 for Actual/365DCB:A5D for Actual/365 (day-based)DCB:AA for Actual/ActualDCB:E0 for 30E/360 ISMADefault value: DCB:AA


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsExoticStructure

Example

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.

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 FollowingDMC:M or DMC:MOD for Modified FollowingDMC:N or DMC:NONE for NoneDMC:P or DMC:PRE for PrecedingDefault 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 LastEMC:S or EMC:SAME for SameDefault value: EMC:L

LAY Layout parameter for the array orientation {H, HOR, V, VER}LAY:H or LAY:HOR for horizontal orientationLAY:V or LAY:VER for vertical orientationDefault 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.

Keyword Explanation

DMC:P calculates dates using the preceding day date moving convention.


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideExoticStructure


ASIAN Type of an Asian option {RATE, STRIKE}ASIAN:RATE to specify an average-rate Asian optionASIAN:STRIKE to specify an average-strike Asian optionDefault 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 averageAVE:GEO to specify a geometric averageDefault value: AVE:ARI

BINARY Type of a Binary option {ASSET, CASH}BINARY:ASSET to specify an asset or nothing optionBINARY:CASH to specify a cash or nothing optionDefault value: BINARY:CASH

CALL Call option type flag {no value or DDMMYYYY:DDMMYYYY}CALL to specify a call optionDefault 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/360DCB:NL5 for Actual No Leap/365DCB:W252 for Actual Working days/252Default value: DCB:AA



DIVTYPE Dividend type {CONT, DISC, PROP}DIVTYPE:CONT for continuous dividendsDIVTYPE:DISC for discounted dividendsDefault 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 modeEXM:DDMMMYY or EXM:DDMMMYY:DDMMMYY to specify an exotic option with a Bermudan modeEXM:DDMMMYY:DDMMMYY:i to specify a Composite or Quanto option with variable strike price iEXM: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 optionFXLINK:ELFX to specify an Equity Linked Foreign Exchange optionFXLINK:QUANTO to specify a Quanto optionDefault 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 optionDefault 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 optionDefault 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 optionDefault 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 optionDefault value: No barrier is defined

Keyword Explanation



LADDER Barrier levels for Ladder options {i (where i is numeric)}LADDER:i to define a barrier level equal to iDefault value: No barrier levels for Ladder options is defined

LOOK Type of a Lookback option {SPOT, STRIKE}LOOK:SPOT to specify a Lookback Spot optionLOOK:STRIKE to specify a Lookback Strike optionDefault value: No default Lookback option type is defined, mandatory keyword

PUT Put option type flag {no value}PUT to specify a put optionDefault 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 optionRAIN:MIN to specify a worst of two assets optionRAIN:SPREAD to specify a Spread optionRAIN:DUAL to specify a Dual-Strike optionRAIN:DUAL to specify a Best Of optionDefault 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 yearlyRATEFRQ:12 or RATEFRQ:M for monthlyRATEFRQ:182D for a compounding every 182 daysRATEFRQ:2 or RATEFRQ:S for semi-annualRATEFRQ:28D for a compounding every 28 daysRATEFRQ:182D for a compounding every 182 daysRATEFRQ:364D for a compounding every 364 daysRATEFRQ:4 or RATEFRQ:Q for quarterlyRATEFRQ:91D for a compounding every 91 daysRATEFRQ:ZERO no compoundingDefault value: RATEFRQ:YEARLY or RATEFRQ:1

Keyword Explanation



RATETYPE Yield type {CONT, DISC, MM, MMB, MMM, MMP, TRE, SIMPLEJAP, CMPJAP} (see the Notes section below)RATETYPE:CONT for continuous yield/rateRATETYPE:DISC for discounted yield/rateRATETYPE:MM for Money Market yield/rateRATETYPE:MMB for Money Market BulletRATETYPE:MMM for Money Market MediumRATETYPE:MMP for Money Market ProceedRATETYPE:MMR for Money Market Direct DiscountingRATETYPE:TRE for US bills Treasury RATETYPE:SIMPLEJAP for simple yield/rateRATETYPE:CMPJAP for compounded yield/rateDefault 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 cancelledREBATE: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 hitDefault value: REBATE:0

TOUCH Binary path-dependent option type {DEFERRED, NO, ONE}TOUCH:DEFERRED for a deferred One-Touch optionTOUCH:NO for a No-Touch optionTOUCH:ONE for a One-Touch option with immediate paymentDefault value: No default Binary option type is defined

UI Underlying asset type {COM, CUR, FUT, SEC}UI:COM for an option on commoditiesUI:CUR for an option on currenciesUI:FUT for an option on futuresUI:SEC for an option on securities (indexes, stocks, bonds)Default value: UI:SEC

Keyword Explanation



Notes

UO Underlying option type for a Compound option {CALL, PUT}UO:CALL to specify a call optionUO:PUT to specify a put optionDefault 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 BarrierWIN:START:DDMMMYY where DDMMMYY is the start date for Forward-Start Window BarrierDefault value: No default Window type is defined for Window Barrier options

Keyword Explanation

Topic Recommendation

ExoticStructure option type

You must include at least the option type in the ExoticStructure, by using the CALL or PUT keywords.

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.


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsFormatMode

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

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.


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 misinterpretedADAA:NO to disable the automatic adaptationDefault value: ADAA:YES

BACTRL Bid > Ask control {ASK, BID, ERR, INV, MID, NO}BACTRL:ASK to set the Bid rate to the Ask valueBACTRL:BID to set the Ask rate to the Bid valueBACTRL:ERR to generate an error messageBACTRL:INV to set the Bid rate to the Ask value and the Ask rate to the Bid valueBACTRL:MID to set the Bid and Ask rates to the Mid valueBACTRL:NO to keep the original Bid and Ask ratesDefault 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:^/^


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideFormatMode

Examples

BAWARN Bid > Ask warning indicator {no value, NO, YES}BAWARN or BAWARN:YES to display a star after the bid/ask stringBAWARN:NO to disable the display of the starDefault value: BAWARN:YES

DATA Result data format {BA, ONE}DATA:BA for Bid/Ask formatDATA:ONE to specify a one value formatDefault 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)

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 denominatorFSHOW:NO to disable the display of the fraction denominatorDefault 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+iDefault value: SCALE:1

Keyword Explanation

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.


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsFrnMode

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.


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 marginFROM:DM for the discounted margin FROM:PXA for the adjusted price FROM:PXC for the clean priceFROM:PXG for the gross priceFROM: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 columnsDefault value: nterest and principal added in cash flows calculation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideFrnMode

IM Interpolation method {CUBD, CUBR, LIN}IM:CUBD for cubic spline discount factor interpolationIM:CUBR for cubic spline rate interpolationIM:LIN for linear interpolation without extrapolationDefault 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 orientationLAY:V or LAY:VER for vertical orientationDefault value: LAY:HOR


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

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsFrnMode

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 marginTO:PXA for the adjusted price TO:PXC for the clean priceTO:PXG for the gross priceTO: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 bestYTM:MATURITY to force the calculation of the yield to maturityYTM:WORST to force the calculation of the yield to worstDefault value: YTM:AUTO

ZCTYPE Input zero-coupon yield curve type {DF, RATE}ZCTYPE:DF for a discount factor yield curveZCTYPE:RATE for a zero-coupon rate yield curveDefault value: The value of the ZCTYPE keyword of the "RATEMODEL" category

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideFrnStructure

Note

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.


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.


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsFrnStructure


FROM and TO

Accrued interest calculation method {{00, A0, A5, AA, E0, MMA0, MMA5} with {:SSD} optional for each value }ACC:00 for 30/360ACC:A0 for Actual/360ACC:A5 for Actual/365ACC:AA for Actual/ActualACC:E0 for 30E/360ACC:MMA0 for money market Actual/360ACC:MMA5 for money market Actual/365ACC: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 valueALIMIT:NEXT to adjust the coupon subtracting the exceeding number of daysALIMIT:NO to allow the accrued interest to exceed the regular coupon valueDefault 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 DDMMMYYDefault 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 requestedARND:i:{UP, DOWN, NEAR} for rounding to the precision defined by iDefault value: ARND:NO if no rounding is requestedARND: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 iDefault 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 iDefault value: No cap value is defined



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 30/360CCM:BBA0 for bond Actual/360CCM:BBA5 for bond Actual/365CCM:BBAA for bond Actual/ActualCCM:BBE0 for bond 30E/360 ISMACCM:MM00 for money market 00/360CCM:MMA5 for money market Actual/365CCM:MMA0 for money market Actual/360CCM:MMAA for money market Actual/ActualCCM:MME0 for money market 30E/360CCM:MMNL0 for money market Actual No Leap/360CCM:MMNL5 for money market Actual No Leap/365CCM: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

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 daysDefault 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 iDefault value: No rounding

DATED Dated date {DDMMMYY}DATED:DDMMMYY where DDMMMYY is the accrual start date for irregular couponsDefault 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 dayDMC: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 dayDefault 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 dayDefault value: EMC:L

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 yearlyEY:12 or EY:M for monthlyEY:182D for compounding every 182 daysEY:2 or EY:S for semi-annualEY:28D for compounding every 28 daysEY:364D for compounding every 364 daysEY:4 or EY:Q for quarterlyEY:91D for compounding every 91 daysEY:FRQ for compounding defined by the FRQ keyword in the BondStructureDefault value: The value of FRQ (of FrnStructure)


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 iDefault 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

Keyword Explanation



FRQ Coupon frequency {1, 12, 182D, 2, 28D, 364D, 4, 91D, M, Q, S, Y}FRQ:1 or FRQ:Y for yearlyFRQ:12 or FRQ:M for monthlyFRQ:182D for a payment every 182 daysFRQ:2 or FRQ:S for semi-annualFRQ:28D for a payment every 28 daysFRQ:364D for a payment every 364 daysFRQ:4 or FRQ:Q for quarterlyFRQ:91D for a payment every 91 daysFRQ:DDMMMYY:i to define a frequency of i from date DDMMMYYDefault 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 valueIC:NBC for NBC first couponDefault value: IC:S1

IDX Underlying index style {index history style}IDX:index to assign an index history style to the bondDefault 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 definedINTCAP:DDMMYYYY:DDMMYYYY:i to set the start date, end date and capitalization rateDefault value: No capitalization rate is defined

ISSUE Issue date {DDMMMYY}ISSUE:DDMMMYY where DDMMMYY is the bond issue date for irregular couponsDefault value: All coupons are regular so the issue date is aligned with the maturity date on the coupon frequency

Keyword Explanation



LOCK Lockout period in settlement date calculations {iWD with i>0} (see the Notes section below)LOCK:iWD for i working daysDefault 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 dateLRCD:JGB to handle automatically odd last coupons for JGBsDefault value: All coupons are regular so LRCD has no meaning


NC Normalization of the capital {YES, NO}YES for the use of the remaining capitalNO for the use of the initial capitalDefault value: NC:NO

NOTIONAL Notional principal {i (where i is numeric)}NOTIONAL:i for a notional principal equal to i units of currencyDefault value: NOTIONAL:1 (all results are returned in percentage i.e. for a principal equal to one unit of currency)


PPMT Partial payment for partly paid bonds {DDMMMYY:i with i1}PPMT:DDMMMYY:i to indicate that i are paid at the date DDMMMYYDefault value: The bond is completely paid at the issue date

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 iDefault 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 iDefault value: PXRND:NO if no rounding is requestedPXRND: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 iDefault value: No default quoted margin type is defined


REPO Carrying repo rate {i (where i is numeric) (1=100%)}REPO:i for a rate equal to iDefault value: Index rate for next coupons



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 conventionSETTLE:iDF for i calendar days and the following date moving conventionSETTLE:iDM for i calendar days and the modified following date moving conventionSETTLE:iDN for i calendar days and no date moving conventionSETTLE:iDP for i calendar days and the preceding date moving conventionSETTLE: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 daysXD:iWD for an ex-dividend period of i working daysXD: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 iDefault value: YLDRND:NOYLDRND:i:NEAR if i is specified

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsFxMode

Notes

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


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 maturity spread

The yield to maturity and yield to maturity spread methods do not support the CLDR keyword since they are period-based and assume that all coupon periods have the same length.

LOCK:iWD 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.

Keyword Explanation

BACTRL Bid > Ask control {ASK, BID, ERR, INV, MID, NO}BACTRL:ASK to set the Bid rate to the Ask valueBACTRL:BID to set the Ask rate to the Bid valueBACTRL:ERR to generate an error messageBACTRL:INV to set the Bid rate to the Ask value and the Ask rate to the Bid valueBACTRL:MID to set the Bid and Ask rates to the Mid valueBACTRL:NO to keep the original Bid and Ask ratesDefault value: BACTRL:MID


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideFxMode

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 decimalsDefault 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 offsetFROM:MMTRADE to use the trading date as origin and the Money market spot offsetFROM:FXSPOT to use the spot date as origin and the Forex market spot offsetFROM:FXTRADE to use the trading date as origin and the Forex market spot offsetDefault value: FROM:FXTRADE

IGNR Ignore ratios flag {NO, YES}IGNR:NO to apply quotation units and swap point ratios in calculationsIGNR:YES to ignore quotation units and swap point ratios and thus use directly raw valuesDefault value: IGNR:NO


QM1 Quotation mode of the first currency versus the base currency when different from USD {DIRECT, INDIRECT}QM1:DIRECT for direct quotationQM1:INDIRECT for indirect quotationDefault value: QM1:DIRECT

QM2 Quotation mode of the second currency versus the base currency when different from USD {DIRECT, INDIRECT}QM2:DIRECT for direct quotationQM2:INDIRECT for indirect quotationDefault value: QM2:DIRECT

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsHistoryMode

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

RES Expected result {SWP12, SWPCUR, DEP1, DEP2, DEPCUR, DEPUSD}RES:SWP12 to calculate the cross swap pointRES:SWPCUR to calculate the currency swap point against USDRES:DEP1 to calculate the first currency deposit rateRES:DEP2 to calculate the second currency deposit rateRES:DEPCUR to calculate the currency deposit rateRES:DEPUSD to calculate the USD deposit rateDefault 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 elementsRET:i with i from 1 to ArraySize to get the i-th element onlyDefault value: No expected result is defined

Keyword Explanation

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 arrayHEADER:NO specifies that field labels and the instrument name are not included in the arrayDefault value: HEADER:NO


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideHistoryMode

Notes

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 fieldsNULL: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

RES Result type for “RtHistoryInfo” {ARRAY, STRING}RES:ARRAY for an array with one field name in each cellRES:STRING for a single string listing all comma-separated fields’ namesDefault value: RES:STRING

RET Return array size for “RtHistory” {Ai with i as integer}RET:Ai to get an array of i data pointsDefault 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 firstSORT:DESC for descending, i.e. most recent firstDefault value: SORT:DESC

ZERO Dates with zero data processing in “RtHistory”{NA, REPEAT, SKIP}ZERO:NA to display “0” for zero fieldsZERO:REPEAT to repeat the first preceding data with no zero field (if existing)ZERO:SKIP to skip the dates with any zero fieldDefault value: ZERO:NA

Keyword Explanation


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.


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsHistoryStructure

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 timeWith 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

EVENTS keyword

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 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 pointsDefault value: No default value is defined


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideHistoryStructure

Supported DateFormats

• 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

FRQ Frequency of the time series {D, W, M, other}FRQ:D for daily dataFRQ:W for weekly dataFRQ:M for monthly dataFRQ:other where ‘other’ is a letter standing for any supported frequencyDefault value: FRQ enables you to support all data frequencies supported in the historical datafeedFRQ:D

NBEVENTS Number of historical data retrieved {i with i as integer}NBEVENTS:i to retrieve i data pointsDefault 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 DDMMMYYDefault value: No start date is defined

Keyword Explanation


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 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.


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsIlbMode

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

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.


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 NULLCF:WE for the calendar WEEKENDDefault value: CF:NULL

CMP Compounding frequency {EY, YEARLY}CMP:EY for using the frequency defined by the EY keywordCMP:YEARLY for a yearly frequencyDefault value: CMP:EY


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideIlbMode

EY Equivalent yield parameter {1, 12, 2, 4, Q, M, S, Y}EY:1 or EY:Y for yearlyEY:2 or EY:S for semi-annualEY:4 or EY:Q for quarterlyEY:12 or EY:M for monthlyDefault value: EY:1

IAY Inflation-adjusted yield flag {NO, YES}IAY:NO not to adjust the yield to maturity with inflationIAY:YES to adjust the yield to maturity with inflationDefault value: IAY:NO

ICF Inflation adjustment method {ALL, IO, NONE, PO}ICF:ALL to adjust with inflation both interest and redemption cash flowsICF:IO to adjust with inflation only interest cash flowsICF:NONE to adjust with inflation none of the cash flowsICF:PO to adjust with inflation only the redemption cash flowDefault value: ICF:ALL


PX Price type parameter {C, G}PX:C for clean pricePX:G for gross priceDefault value: PX:G

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsIlbStructure

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.

YCM Yield calculation method {00, A0, A0D, A25D, A5, A5D, AA, E0}YCM:00 for 30/360YCM:A0 for Actual/360YCM:A0D for Actual/360 (day-based)YCM:A25D for Actual/365.25 (day-based)YCM:A5 for Actual/365YCM:A5D for Actual/365 (day-based)YCM:AA for Actual/ActualYCM:E0 for 30E/360 ISMADefault 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

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideIlbStructure


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 30/360ACC:A0 for Actual/360ACC:A5 for Actual/365ACC:AA for Actual/ActualACC:E0 for 30E/360ACC: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/360ACC:MMA5 for money market Actual/365ACC:MMNL5 for money market Actual No Leap/365ACC:NL0 for Actual No Leap/360ACC:NL5 for Actual No Leap/365ACC:W252 for Actual Working days/252ACC: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 requestedARND:i:{UP,DOWN,NEAR} for rounding to the precision defined by iDefault value: ARND:NO if no rounding is requestedARND:i:NEAR if i is specified

BRI Base reference index {i (where i is numeric)}BRI:i for a base reference index equal to iDefault value: BRI:100



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 30/360CCM:BBA0 for bond Actual/360CCM:BBA5 for bond Actual/365CCM:BBAA for bond Actual/ActualCCM:BBE0 for bond 30E/360 ISMACCM:MM00 for money market 00/360CCM:MMA5 for money market Actual/365CCM:MMA0 for money market Actual/360CCM:MMAA for money market Actual/ActualCCM:MME0 for money market 30E/360CCM:MMNL0 for money market Actual No Leap/360CCM:MMNL5 for money market Actual No Leap/365CCM: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)


CLDR Calendar parameter for coupon date adjustments {calendar style}CLDR:calendars to assign one or more calendars to a bond for cash flows date adjustmentDefault 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 iDefault value: CRND:NO

Keyword Explanation



DATED Dated date {DDMMMYY} (see the Notes section below)DATED:DDMMMYY where DDMMMYY is the accrual start date for irregular couponsDefault value: The dated date is the issue date of the bond

EMC End-of-month convention {LAST, SAME, L28}EMC:LAST for lastEMC:SAME for sameEMC: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 29thDefault 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 dateDefault 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 dateFRQ:91D to define a coupon payment every 91 days from the maturity dateFRQ:182D to define a coupon payment every 182 days from the maturity dateFRQ:364D to define a coupon payment every 364 days from the maturity dateFRQ:1 to define an annual coupon payment from the maturity dateFRQ:2 to define a semi-annual coupon payment from the maturity dateFRQ:4 to define a quarterly coupon payment from the maturity dateFRQ:12 to define a monthly coupon payment from the maturity dateFRQ:DDMMMYY:i to define a frequency of i from date DDMMMYYDefault value: FRQ:1

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 valueIC:NBC for NBC first couponDefault value: IC:S1

ICF Inflation adjustment method {ALL, IO, NONE, PO}ICF:ALL to adjust both interest and redemption cash flows with inflationICF:IO to adjust interest cash flows only with inflationICF:NONE to adjust neither of the cash flows with inflationICF:PO to adjust the redemption cash flow only with inflationDefault value: ICF:ALL

ICM Daily inflation reference and coupon calculation method {AUS , INTERP, PREVIOUS}ICM:AUS for Australian index-linked bondsICM:INTERP for Canadian, French, Swedish and US index-linked bondsICM:PREVIOUS for UK index-linked bondsDefault value: ICM:INTERP

IDX Underlying index style {index history style}IDX:index to assign the index history style to the bondDefault 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 definedINTCAP:DDMMYYYY:DDMMYYYY:i to set the start date, end date and capitalization rateDefault value: No capitalization rate is defined

Keyword Explanation



IRND Index rounding tick size {i (where i is numeric)}IRND:i for rounding to the precision defined by iDefault value: No rounding

ISSUE Issue date {DDMMMYY} (see the Notes section below)ISSUE:DDMMMYY where DDMMMYY is the bond issue date for irregular couponsDefault 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 monthsDefault value: LBM:3

LRCD Last regular coupon date for odd last coupon {DDMMMYY, JGB}LRCD:DDMMMYY where DDMMMYY is the last regular coupon dateLRCD:JGB to automatically handle odd last coupons for JGBsDefault value: All coupons are regular so LRCD has no meaning

NC Normalization of the capital {YES, NO}YES to use the remaining capitalNO to use the initial capitalDefault value: NC:NO


NOTIONAL Notional principal {i (where i is numeric)}NOTIONAL:i for a notional principal equal to i units of currencyDefault 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 deflationPRG:YES to specify a redemption equal to par in case of deflationDefault value: PRG:NO

Keyword Explanation




4.0

To match results in Reuters PowerPlus Pro 4.0, you must use the following default configurations

All other configurations are impossible.

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 iDefault value: PXRND:NO if no rounding is requestedPXRND: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 dateDefault value: REFDATE:MATURITY

RP Redemption price ratio {i (where i is numeric) (1=100%)}vfor a ratio equal to iDefault value: RP:1 (for 100%)


Keyword Explanation

Is NOTIONAL used? Are AMORT and PPMT used?

RT has the value NC has the value

YES NO B NO

YES - Unique value YES B NO

NO YES B YES for sinking fundsNO for LATAM bonds

NO NO C or S YES


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideIndexHistoryStructure

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 No default values are available.

Keyword Explanation

AVG Index compounding method {ARI, CMP, MCA, NONE}AVG:ARI for arithmetic averageAVG:CMP for daily compounded averageAVG:MCA for monthly compounded averageAVG:NONE for no compounding method

PERIOD Index calculation period {ON, TN}PERIOD:ON for overnight calculationPERIOD: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 roundingRND:1 for 1-decimal roundingRND:2 for 2-decimal roundingRND:3 for 3-decimal roundingRND:4 for 4-decimal roundingRND:5 for 5-decimal roundingRND: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 yearYB:365 for a 365-day year


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsInterpMode

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.


IM Interpolation method {CUBD, CUBR, LIN, LIX, LOG, VOL}IM:CUBD for cubic spline discount factor interpolationIM:CUBR for cubic spline rate interpolationIM:LIN for linear interpolation without extrapolationIM:LIX for linear interpolation with extrapolationIM:LOG for loglinear interpolationIM:VOL for linear interpolation on volatility curvesDefault value: IM:LIN

LAY Layout parameter for the array orientation {HOR, VER}LAY:HOR for horizontal orientationLAY:VER for vertical orientationDefault value: LAY:HOR

ND Null date processing {DIS, ERR}ND:DIS to discard null dates from the date arrayND:ERR to generate error messages for a null date in the date arrayDefault 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


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideIrsStructure

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.


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 30/360ACC:A0 for Actual/360ACC:A5 for Actual/365ACC:AA for Actual/ActualACC:BB00 for Brazilian 30/360ACC:BBA5 for Brazilian Actual/365ACC:BBW252 for Brazilian Actual Working days/252ACC:E0 for 30E/360ACC: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/360ACC:MMA5 for money market Actual/365ACC:MMNL5 for money market Actual No Leap/365ACC:NL0 for Actual No Leap/360ACC:NL5 for Actual No Leap/365ACC:W252 for Actual Working days/252ACC: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 DDMMMYYDefault value: No amortization pattern defined


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsIrsStructure


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 30/360CCM:BBA0 for bond Actual/360CCM:BBA5 for bond Actual/365CCM:BBAA for bond Actual/ActualCCM:BBE0 for bond 30E/360 ISMACCM:MM00 for money market 00/360CCM:MMA5 for money market Actual/365CCM:MMA0 for money market Actual/360CCM:MMAA for money market Actual/ActualCCM:MME0 for money market 30E/360CCM:MMNL0 for money market Actual No Leap/360CCM:MMNL5 for money market Actual No Leap/365CCM: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


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 daysDefault value: CLDR:NULL (no date adjustment is made)


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 dayDMC: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 movingDMC:P or DMC:PRE for moving the date to the preceding working dayDefault 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 dayEMC: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


FCV First coupon nominal value {i (where i is numeric)}FCV:i where i is the first coupon nominal rate for irregular couponsDefault value: All coupons are regular so FCV has no meaning

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsIrsStructure


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 dateFRQ:91D to define a coupon payment every 91 days from the maturity dateFRQ:182D to define a coupon payment every 182 days from the maturity dateFRQ:364D to define a coupon payment every 364 days from the maturity dateFRQ:1 to define an annual coupon payment from the maturity dateFRQ:2 to define a semi-annual coupon payment from the maturity dateFRQ:4 to define a quarterly coupon payment from the maturity dateFRQ:12 to define a monthly coupon payment from the maturity dateFRQ:DDMMMYY:i to define a frequency.of i from date DDMMMYYDefault 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 valueIC:NBC for NBC first couponDefault value: IC:S1

IDX Underlying index style for an OIS {index history style}IDX:index to assign the index history styleto the swapDefault 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 onlyDefault value: No default value is defined

Keyword Explanation



LFLOAT Floating leg attribute flag {no value}LFLOAT to specify that the following keywords apply to the floating leg onlyDefault 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 dateLRCD:JGB to handle automatically odd last coupons for JGBsDefault value: All coupons are regular so LRCD has no meaning


NOTIONAL Notional principal for amortizing swaps {i, DDMMMYY:i (where i is numeric)}NOTIONAL:i for a principal equal to i units of currencyNOTIONAL:DDMMMYY:i to indicate that the principal is equal to i at the date DDMMMYYDefault 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:


PPMT Partial payment for asset swaps {DDMMMYY:i with i<=1}PPMT:DDMMMYY:i to indicate that i are paid at the date DDMMMYYDefault value: The asset swap is completely paid at the issue date

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsOpMode

OpMode

OpMode is used as argument in functions of the Adfin Options module to customize returned values.


RP Redemption price ratio {i (where i is numeric) (1=100%)}RP:i for a ratio equal to iDefault 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 fineRT:C for constant paymentsRT:C:i for constant payments equal to i except for the last cash flow which is adjustedRT:Sj for j seriesRT:Sj:i for j series and constant payments equal to i except for the last cash flow which is adjustedDefault value: RT:B

SPREAD Spread {DDMMMYY:i}SPREAD:DDMMMYY:i for a spread of i applicable to the floating rate as of DDMMMYYDefault value: SPREAD:0


Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideOpMode

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.


FRQ Observation frequency {D, DAILY, M, MONTHLY, W, WEEKLY, Y, YEARLY}FRQ:D or FRQ:DAILY for daily observationFRQ:M or FRQ:MONTHLY for monthly observationFRQ:W or FRQ:WEEKLY for weekly observationFRQ:Y or FRQ:YEARLY for yearly observationDefault value: FRQ:D

HVM Historical volatility method {C, HL}HVM:C or HVM:CLOSE for the close prices methodHVM: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 orientationLAY:V or LAY:VER for vertical orientationDefault value: LAY:V


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsOpMode

Examples

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 onlyDefault 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

Keyword Explanation

"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.


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideOptionStructure

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.


CALL Call option type flag {no value}CALL to specify a call optionDefault 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 valueDefault 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 iDefault value: 1


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsOptionStructure

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/360DCB:NL5 for Actual No Leap/365DCB:W252 for Actual Working days/252Default 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 accountDILUTION: NO to ignore it DILUTION: i where i is the dilution factor as a percentageDefault 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 iDefault value: The underlying pays no discrete dividend

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideOptionStructure

DIVTYPE Dividend type {CONT, DISC, FIXED, PROP} (see the Notes section below)DIVTYPE:CONT for continuous dividendsDIVTYPE:DISC for discounted dividendsDIVTYPE:FIXED for fixed dividendsDIVTYPE:PROP for proportional dividendsDefault 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 dayDMC: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 movingDMC:P or DMC:PRE for moving the date to the preceding working dayDefault 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 modeEXM:DDMMMYY or EXM:DDMMMYY:DDMMMYY to specify a Vanilla option with a Bermudan modeEXM: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 optionDefault value: EXM:EURO

NBSTOCK Number of shares outstanding {i}Default value: NBSTOCK:0

NBWARRANT Number of warrants {i}Default value: NBWARRANT:0

PUT Put option type flag {no value}PUT to specify a put optionDefault value: No standard option type (neither parameter CALL nor PUT) is defined

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsOptionStructure

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 yearlyRATEFRQ:12 or RATEFRQ:M for monthlyRATEFRQ:182D for compounding every 182 daysRATEFRQ:2 or RATEFRQ:S for semi-annualRATEFRQ:28D for compounding every 28 daysRATEFRQ:182D for compounding every 182 daysRATEFRQ:364D for compounding every 364 daysRATEFRQ:4 or RATEFRQ:Q for quarterlyRATEFRQ:91D for compounding every 91 daysRATEFRQ:ZERO no compoundingDefault 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/rateRATETYPE:DISC for discounted yield/rateRATETYPE:MM for Money Market yield/rateRATETYPE:MMB for Money Market BulletRATETYPE:MMM for Money Market MediumRATETYPE:MMP for Money Market ProceedRATETYPE:MMR for Money Market Direct DiscountingRATETYPE:TRE for US bills Treasury RATETYPE:SIMPLEJAP for simple yield/rateRATETYPE:CMPJAP for compounded yield/rateDefault 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

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideParseMode

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

UI Underlying asset type {COM, CUR, FUT, SEC} (see the Notes section below)UI:COM for an option on commoditiesUI:CUR for an option on currenciesUI:FUT for an option on futuresUI:SEC for an option on securities (indexes, stocks, bonds)Default value: UI:SEC

Keyword Explanation

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 numberDefault value: FD:64 when a fraction is detected using PDT:BONDFD:1 otherwise

LAY Layout parameter for the array orientation {HOR, VER}LAY:HOR for horizontal orientationLAY:VER for vertical orientationDefault 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 parsingDefault value: Length of the data string


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsRateMode

Example

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.

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 formatPDF:AUTO to adapt the Bid/Ask formatted data to have Bid<AskPDF:BA to control that the data is displayed using the Bid/Ask formatPDF:ONE to control that there is a unique dataDefault 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 includedPDT: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 #iDefault value: POS:1

Keyword Explanation

“PDF:AB PDT:FXSWP” defines the data to parse as a currency swap point displayed in the Ask/Bid format.


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideRateMode


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 calculationBWB:YES to work separately on the bid and ask rates for the FRA calculationDefault 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 30/360FROM:A0 for Actual/360FROM:A0D for Actual/360 (daily compounding)FROM:A25D for Actual/365.25 (daily compounding)FROM:A5 for Actual/365FROM:A5D for Actual/365 (daily compounding)FROM:AA for Actual/ActualFROM:CONT for continuousFROM:DAYA0 for daily Actual/360FROM:DAYA5 for daily Actual/365FROM:DISCA0 for discount Actual/360FROM:DISCA5 for discount Actual/365FROM:DF for discount factorFROM:E0 for 30E/360 ISMAFROM:IAM for interest at maturityFROM:MMA0 for money market Actual/360FROM:MMA5 for money market Actual/365Default value: No default value is defined, mandatory keyword

LAY Layout parameter for the array orientation {HOR, VER}LAY:HOR for horizontal orientationLAY:VER for vertical orientationDefault 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 ratesDefault value: No offset is applied



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 30/360R1:A0 for Actual/360R1:A0D for Actual/360 (daily compounding)R1:A25D for Actual/365.25 (daily compounding)R1:A5 for Actual/365R1:A5D for Actual/365 (daily compounding)R1:AA for Actual/ActualR1:CONT for continuousR1:DAYA0 for daily Actual/360R1:DAYA5 for daily Actual/365R1:DISCA0 for discount Actual/360R1:DISCA5 for discount Actual/365R1:DF for discount factorR1:E0 for 30E/360 ISMAR1:IAM for interest at maturityR1:MMA0 for money market Actual/360R1:MMA5 for money market Actual/365Default value: No default value is defined

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 30/360R2:A0 for Actual/360R2:A0D for Actual/360 (daily compounding)R2:A25D for Actual/365.25 (daily compounding)R2:A5 for Actual/365R2:A5D for Actual/365 (daily compounding)R2:AA for Actual/ActualR2:CONT for continuousR2:DAYA0 for daily Actual/360R2:DAYA5 for daily Actual/365R2:DISCA0 for discount Actual/360R2:DISCA5 for discount Actual/365R2:DF for discount factorR2:E0 for 30E/360 ISMAR2:IAM for interest at maturityR2:MMA0 for money market Actual/360R2:MMA5 for money market Actual/365Default value: No default value is defined

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 30/360R3:A0 for Actual/360R3:A0D for Actual/360 (daily compounding)R3:A25D for Actual/365.25 (daily compounding)R3:A5 for Actual/365R3:A5D for Actual/365 (daily compounding)R3:AA for Actual/ActualR3:CONT for continuousR3:DAYA0 for daily Actual/360R3:DAYA5 for daily Actual/365R3:DISCA0 for discount Actual/360R3:DISCA5 for discount Actual/365R3:DF for discount factorR3:E0 for 30E/360 ISMAR3:IAM for interest at maturityR3:MMA0 for money market Actual/360R3:MMA5 for money market Actual/365Default value: No default value is defined

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 30/360RATES:A0 for Actual/360RATES:A0D for Actual/360 (daily compounding)RATES:A25D for Actual/365.25 (daily compounding)RATES:A5 for Actual/365RATES:A5D for Actual/365 (daily compounding)RATES:AA for Actual/ActualRATES:CONT for continuousRATES:DAYA0 for daily Actual/360RATES:DAYA5 for daily Actual/365RATES:DISCA0 for discount Actual/360RATES:DISCA5 for discount Actual/365RATES:DF for discount factorRATES:E0 for 30E/360 ISMARATES:IAM for interest at maturityRATES:MMA0 for money market Actual/360RATES:MMA5 for money market Actual/365Default value: No default value is defined

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsRateStructure

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.

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 30/360TO:A0 for Actual/360TO:A0D for Actual/360 (daily compounding)TO:A25D for Actual/365.25 (daily compounding)TO:A5 for Actual/365TO:A5D for Actual/365 (daily compounding)TO:AA for Actual/ActualTO:CONT for continuousTO:DAYA0 for daily Actual/360TO:DAYA5 for daily Actual/365TO:DISCA0 for discount Actual/360TO:DISCA5 for discount Actual/365TO:DF for discount factorTO:E0 for 30E/360 ISMATO:IAM for interest at maturityTO:MMA0 for money market Actual/360TO:MMA5 for money market Actual/365Default value: No default value is defined, mandatory keyword

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideRateStructure


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 NULLCLDRADJ:WEEKEND for cash flow pricing using the calendar WEEKENDCLDRADJ: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 curveDefault value: No shift is defined

DCB 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/360DCB:NL5 for Actual No Leap/365DCB:W252 for Actual Working days/252Default value: The value of the DCB keyword of the "RATEMODEL" category



EY Equivalent yield parameter {1, 12, 180D5, 182D, 2, 28D, 364D, 4, 91D, M, Q, S, Y, FRQ}EY:1 or EY:Y for yearlyEY:12 or EY:M for monthlyEY:180D5 for compounding every 180 days on a 365 year basisEY:182D for compounding every 182 daysEY:2 or EY:S for semi-annualEY:28D for compounding every 28 daysEY:364D for compounding every 364 daysEY:4 or EY:Q for quarterlyEY:91D for compounding every 91 daysEY:FRQ for compounding defined by the FRQ keyword in the BondStructureDefault value: The value of the EY keyword of the "RATEMODEL" category


IMVOL Interpolation method on volatility {CUBD, CUBR, LIN, LIX, LOG, VOL}IM:CUBD for cubic spline discount factor interpolationIM:CUBR for cubic spline rate interpolationIM:LIN for linear interpolation without extrapolationIM:LIX for linear interpolation with extrapolationIM:LOG for loglinear interpolationIM:VOL for linear interpolation on volatility curvesDefault value: IMVOL:LIN

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 onlyLLP:00:i for 30/360 for the i last periodsLLP: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 onlyLLP:A0:i for Actual/360 for the i last periodsLLP:A0:{Y, M, 182D, S, 28D, 364D, Q, 91D} for Actual/360 for a last period of the specified lengthLLP:A5 for Actual/365 for the last period onlyLLP:A5:i for Actual/365 for the i last periodsLLP:A5:{Y, M, 182D, S, 28D, 364D, Q, 91D} for Actual/360 for a last period of the specified lengthLLP:AA for Actual/Actual for the last period onlyLLP:AA:i for Actual/Actual for the i last periodsLLP:AA:{Y, M, 182D, S, 28D, 364D, Q, 91D} for Actual/Actual for a last period of the specified lengthLLP:E0 for 30E/360 for the last period onlyLLP:E0:i for 30E/360 for the i last periodsLLP:E0:{Y, M, 182D, S, 28D, 364D, Q, 91D} for 30E/360 a last period of the specified lengthLLP: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 volatilityMDWA:NO to minimize errors between model and market pricesDefault 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 maturitiesDefault value: NBKNOT:(N/3)+2, where N is the number of distinct input maturities

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)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 yearlyRATEFRQ:12 or RATEFRQ:M for monthlyRATEFRQ:2 or RATEFRQ:S for semi-annualRATEFRQ:28D for compounding every 28 daysRATEFRQ:180D5 for compounding every 180 days on a 365 year basisRATEFRQ:182D for compounding every 182 daysRATEFRQ:364D for compounding every 364 daysRATEFRQ:4 or RATEFRQ:Q for quarterlyRATEFRQ:91D for compounding every 91 daysRATEFRQ:ZERO no compoundingRATEFRQ:EY for compounding defined by the EY keywordRATEFRQ:FRQ for compounding defined by the FRQ keyword in the BondStructureDefault value: The value of the RATEFRQ keyword of the "RATEMODEL" category

Keyword Explanation



RATETYPE Yield type {CMP, CONT, DISC, MM, MMB, MMM, MMP, TRE, SIMPLEJAP, CMPJAP} (see the Notes section below)RATETYPE:CMP for ActualRATETYPE:CONT for continuous yield/rateRATETYPE:DISC for discounted yield/rateRATETYPE:MM for Money Market yield/rateRATETYPE:MMB specified when using the Money Market Bullet pricing methodRATETYPE:MMM specified when using the Money Market Medium pricing methodRATETYPE:MMP specified when using the Money Market Proceeds pricing methodRATETYPE:MMR specified when using the Money Market Direct Discounting pricing methodRATETYPE:TRE for US Bills Treasury RATETYPE:SIMPLEJAP for simple yield/rateRATETYPE:CMPJAP for compounded yield/rateDefault 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 CurveRM:YTA to adapt the calculation of the yield to the bond structureRM:YTB for Yield To BestRM:YTW for Yield To WorstRM:YTM for Yield To MaturityRM:HW for Hull and White modelRM:VF for Vasicek-Fong modelRM:BDT for Black, Derman, and Toy modelRM:BS for Black and Scholes modelRM:BSPLINE for basis-spline modelsDefault value: RM:YTA

SMOOTH Specifies the smoothing basis-spline model {NULL, STEP, CONT}SMOOTH:NULL for McCulloch linear regressionSMOOTH:STEP for Waggoner smoothing spline modelSMOOTH:CONT for Anderson smoothing spline modelDefault value: SMOOTH:NULL

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsRepoMode

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

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 valueDefault 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 volatilityVOLTYPE:SR for short rates volatilityDefault value: VOLTYPE:SR

ZCTYPE Zero-coupon yield curve type {DF, RATE}ZCTYPE:DF to use discount factorsZCTYPE:RATE to use zero-coupon ratesDefault value: The value of the ZCTYPE keyword of the "RATEMODEL" category

Keyword Explanation

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 onlyCF:YES and CF:WE to correct cash flow dates using weekendsDefault value: No default value is defined


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideRepoMode

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 iCIR:i:A0 for a bond Actual/360 rate equal to iCIR:i:A0D for a bond Actual/360 (day-based) rate equal to iCIR:i:A25D for a bond Actual/365.25 (day-based) rate equal to iCIR:i:A5 for a bond Actual/365 rate equal to iCIR:i:A5D for a bond Actual/365 (day-based) rate equal to iCIR:i:AA for a bond Actual/Actual rate equal to iCIR:i:BFM for a Braess/Fangmeyer rate equal to iCIR:i:E0 for a bond 30E/360 ISMA rate equal to iCIR:i:MMBA0 for a money market bullet Actual/360 rate equal to iCIR:i:MMBA5 for a money market bullet Actual/365 rate equal to iCIR:i:MMMA0 for a money market medium term CD Actual/360 rate equal to iCIR:i:MMMA5 for a money market medium term CD Actual/365 rate equal to iCIR:i:MMPA0 for a money market proceeds Actual/360 rate equal to iCIR:i:MMPA5 for a money market proceeds Actual/365 rate equal to iDefault 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 calculationDefault 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 priceFV:G or FV:GROSS to express the future value as a gross priceFV:Y or FV:YIELD to express the future value as a yieldDefault 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 priceNPV:G or NPV:GROSS to express the present value as a gross priceNPV:Y or NPV:YIELD to express the present value as a yieldDefault value: NPV:C

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsRepoMode

RES Expected result {FV, IMPRATE, NPV}RES:FV to calculate the future valueRES:IMPRATE to calculate the implied repo rateRES:NPV to calculate the present valueDefault 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 iDefault 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 iDefault 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 30/360RR:A0 for bond Actual/360RR:A0D for bond Actual/360 (day-based)RR:A25D for bond Actual/365.25 (day-based)RR:A5 for bond Actual/365RR:A5D for bond Actual/365 (day-based)RR:AA for bond Actual/ActualRR:E0 for bond 30E/360 ISMARR:MMBA0 for money market bullet Actual/360RR:MMBA5 for money market bullet Actual/365RR:MMMA0 for money market medium term CD Actual/360RR:MMMA5 for money market medium term CD Actual/365RR:MMPA0 for money market proceeds Actual/360RR:MMPA5 for money market proceeds Actual/365Default 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

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideRoundMode

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

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.

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

Keyword Explanation

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


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsRtMode


CTU Specifies the cells to update {ALL, CHANGED}CTU:ALL to update all cells within the result arrayCTU:CHANGED to update only the cells which have changed in the result arrayDefault 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 charactersFORMAT: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 hoursFRQ:iM for i minutesFRQ: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 recalculatedFTC:CHANGED to contribute only the fields that have changed since the last time the function was recalculatedFTC:i-j,k to contribute fields numbered from i to j and k as well as the field that changed when the function is recalculatedDefault value: FTC:ALL

IGNE Specifies whether empty records retrieved by “#RtChain” are ignored {NO, YES}IGNE:NO to display empty recordsIGNE:YES to skip empty recordsDefault value: IGNE:NO


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideRtMode

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 rowLAY:VER means that instrument codes and fields are returned in a columnDefault 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 limitationLIFETIME:iH for i hoursLIFETIME:iM for i minutesLIFETIME:iS for i secondsDefault 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 dataLIVE:YES to maintain subscriptions open and receive further updatesDefault 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:MMONTIME:DDMMMYY:HHMM indicates that the snap occurs on the date DDMMMYY at the time HHMMDefault 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 iDefault 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 rowsDefault value: No array size is defined (the output of “#RtChain” may be corrupted or may overwrite other data)

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsRtMode

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 spreadsheetsSCOPE:S or SCOPE:SERVER for server contribution that means the contributed data is sent to the selected source serverDefault 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 instrumentsDefault 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 listSORT:DESC means that the most recent is the first of the listDefault 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:MMSTART:DD/MMM/YY-HH:MM to start the snap process at the specified date and timeDefault 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 stringTRIM:LEFT to only remove spaces at the beginning of the text stringTRIM:RIGHT to only remove spaces at the end of the text stringDefault 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 columnTSPOS:NONE means that the timestamp field is not returnedTSPOS:RIGHT means that the timestamps column is the last column Default value: TSPOS:LEFT

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideStirFutStructure

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.

TYPE Specifies the type of data retrieved with “RtGet” and “RtUpdate” {DATE, LOCAL, NUM, STRING, TIME}

TYPE:DATE for dateTYPE:LOCAL for data in your local formatTYPE:NUM for numericTYPE:STRING for stringTYPE:TIME for timeDefault 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 updatesWith “RtContribute”: to contribute the data whenever the function is invokedUPDATE:CHANGED: With RtUpdate: to update the data and/or run the macro only if the data changesWith RtContribute: to contribute the data only if the data to contribute has changedUPDATE:SNAP: With RtUpdate: to update the data on snapUPDATE:STOP: With RtUpdate and RtContribute: to stop all actionsDefault 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 arrivesUWC:YES to update the result array upon complete retrievalDefault value: UWC:YES

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsStirFutStructure



CRD Contract reference date calculation method {2NDFRI, 3RDWED, NBB}CRD:2NDFRI to set the second Friday of the delivery monthCRD:3RDWED to set the date to the third Wednesday day of the delivery monthCRD: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 currencyDefault 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 dayDTM:1 for 1 working dayDTM:2 for 2 working daysDTM:3 for 3 working daysDTM:4 for 4 working daysDTM:5 for 5 working daysDefault value: DTM:2

NBMC Number of monthly contracts {i with i as integer}NBMC:i to specify that i monthly contracts (“odd maturities”) are quotedDefault value: NBMC:0

NBMONTH Number of months covered by the contract {1, 3, 6, 12}NBMONTH:1 for 1 monthNBMONTH:3 for 3 monthsNBMONTH:6 for 6 monthsNBMONTH:12 for 12 monthsDefault value: NBMONTH:3

NBQC Number of quarterly contracts {i with i as integer}NBQC:i to specify that i quarterly contracts (“standard maturities”) are quotedDefault value: NBQC:8


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideStyleMode

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

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.

Keyword Explanation

LAY Layout parameter for the input array orientation {H, HOR, V, VER}LAY:H or LAY:HOR for horizontal orientationLAY:V or LAY:VER for vertical orientationDefault 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


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsSwapStructure


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 30/360ACC:A0 for Actual/360ACC:A5 for Actual/365ACC:AA for Actual/ActualACC:BB00 for Brazilian 30/360ACC:BBA5 for Brazilian Actual/365ACC:BBW252 for Brazilian Actual Working days/252ACC:E0 for 30E/360ACC: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/360ACC:MMA5 for money market Actual/365ACC:MMNL5 for money market Actual No Leap/365ACC:NL0 for Actual No Leap/360ACC:NL5 for Actual No Leap/365ACC:W252 for Actual Working days/252Default 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



Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideSwapStructure

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 30/360CCM:BBA0 for bond Actual/360CCM:BBA5 for bond Actual/365CCM:BBAA for bond Actual/ActualCCM:BBE0 for bond 30E/360 ISMACCM:MM00 for money market 00/360CCM:MMA5 for money market Actual/365CCM:MMA0 for money market Actual/360CCM:MMAA for money market Actual/ActualCCM:MME0 for money market 30E/360CCM:MMNL0 for money market Actual No Leap/360CCM:MMNL5 for money market Actual No Leap/365CCM: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



Keyword Explanation




DATED Dated date {DDMMMYY}DATED:DDMMMYY where DDMMMYY is the accrual start date for irregular couponsDefault 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 dayDMC: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 dateDMC:P or DMC:PRE for moving the date to the preceding working dayDefault 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 lastEMC:S or EMC:SAME for sameEMC: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 29thDefault value: The value of the EMC keyword of the "IRS" category


FCV First coupon nominal value {i (where i is numeric)}FCV:i where i is the first coupon nominal rate for irregular couponsDefault value: All coupons are regular so FCV has no meaning

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideSwapStructure


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 dateFRQ:91D to define a coupon payment every 91 days from the maturity dateFRQ:182D to define a coupon payment every 182 days from the maturity dateFRQ:364D to define a coupon payment every 364 days from the maturity dateFRQ:1 to define an annual coupon payment from the maturity dateFRQ:2 to define a semi-annual coupon payment from the maturity dateFRQ:4 to define a quarterly coupon payment from the maturity dateFRQ:12 to define a monthly coupon payment from the maturity dateFRQ:DDMMMYY:i to define a frequency of i from date DDMMMYYDefault 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 valueIC:NBC for NBC fist couponDefault value: IC:S1

IDX Underlying index style {index history style}IDX:index to assign an index history style to the bondDefault value: No default value is defined


Keyword Explanation




LRCD Last regular coupon date for odd last coupon {DDMMMYY, JGB}LRCD:DDMMMYY where DDMMMYY is the last regular coupon dateLRCD:JGB to handle odd last coupons for JGBs automaticallyDefault value: All coupons are regular so LRCD has no meaning



MDADJ Maturity date adjustment {F, M, N, P}MDADJ:F for FollowingMDADJ:M for Modified FollowingMDADJ:N for No maturity date adjustmentMDADJ:P for PrecedingDefault 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 currencyDefault value: NOTIONAL:1


PPMT Partial payment for swaps {DDMMMYY:i with i<=1}PPMT:DDMMMYY:i to indicate that i are paid at the date DDMMMYYDefault value: The swap is completely paid at the issue date

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideSwMode

SwMode

SwMode is used as argument in functions of the Adfin Swaps module to define:

REFDATE Reference date in cash flow dates generation {MATURITY, ISSUE}REFDATE:ISSUE to use the issue date as reference dateREFDATE:MATURITY to use the maturity date as reference dateDefault value: REFDATE:MATURITY

RND Coupon rounding for accrued calculation {2, 3, 4, 5, 6, NO}For backward compatibility reasons, this keyword is still supportedRND:2 for 2-decimal roundingRND:3 for 3-decimal roundingRND:4 for 4-decimal roundingRND:5 for 5-decimal roundingRND:6 for 6-decimal roundingRND:NO for no roundingDefault value: RND:NO



SPREAD Credit spread flag {no value, NO, YES}SPREAD or SPREAD:YES to enable the credit spread in the calculationSPREAD:NO to disable the credit spread in the calculationDefault value: SPREAD:0

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsSwMode

• 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.


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 curveDefault value: No shift is defined

DC Discount currency parameter for currency swaps {currencies}DC:currency to define the currency used for discounting both legsDefault 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 interpolationIM:CUBR for cubic spline rate interpolationIM:LIN for linear interpolation without extrapolationDefault value: The value of the IM keyword of the "RATEMODEL" category


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideSwMode

LAY Layout parameter for the array orientation {H, HOR, V, VER}LAY:H or LAY:HOR for horizontal orientationLAY:V or LAY:VER for vertical orientationDefault 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 yearsMATRANGE:iY-jY to specify a curve with maturities ranging from i years to j yearsDefault value: MATRANGE: 1,2,3,6,9, or undefined


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 legsPXT:FIXED for the price of the fixed legPXT:FLOAT for the price of the floating legPXT:PAID for the price of the paid legPXT:RECEIVED for the price of the received legDefault value: PXT:BOTH

RES Expected result {FIXED, FLOAT, PAID, RECEIVED}RES:FIXED for fixed leg pricingRES:FLOAT for floating leg spread pricingRES:PAID for the fixed rate or floating rate spread of the paid legRES:RECEIVED for the fixed rate or floating rate spread of the received legDefault value: No

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsYcMode

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

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 arrayRET: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 iDefault value: SHIFT:0.0001

ZCTYPE Input zero-coupon yield curve type {DF, RATE}ZCTYPE:DF for a discount factor yield curveZCTYPE:RATE for a zero-coupon rate yield curveDefault value: The value of the ZCTYPE keyword of the "RATEMODEL" category

Keyword Explanation

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 calculationBWB:YES to work separately on the bid and ask curves for the FRA calculationDefault value: BWB:NO


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideYcMode

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/floorletDCP:YES to skip the current caplet/floorletDefault value: DCP:NO

IM Interpolation method {CUBD, CUBR, LIN, LIX, LOG, VOL}IM:CUBD for cubic spline discount factor interpolationIM:CUBR for cubic spline rate interpolationIM:LIN for linear interpolation without extrapolationIM:LIX for linear interpolation with extrapolationIM:LOG for loglinear interpolationIM:VOL for linear interpolation on volatility curvesDefault value: IM:LIN

LAY Layout parameter for the array orientation {HOR, VER}LAY:HOR for horizontal orientationLAY:VER for vertical orientationDefault value: LAY:H

ND Null date processing {DIS, ERR}ND:DIS to discard null dates from the date arrayND:ERR to generate error messages for a null date in the date arrayDefault 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 dateDefault value: NFVP:0

Keyword Explanation


Reuters PowerPlus Pro 4.5.1 Function Reference Guide Appendix A Extended ArgumentsYcMode

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 codesODD:YES to list odd contract codesDefault 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 ratesDefault 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 dateDefault 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 elementsRET:i with i from 1 to ArraySize to get the i-th element onlyDefault value: BWB

ROLL Rollover parameter {NO, YES}ROLL:NO to list next contract codeROLL:YES to skip next contract codeDefault 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 ratesDefault value: The spread is not forced

Keyword Explanation


Appendix A Extended Arguments Reuters PowerPlus Pro 4.5.1 Function Reference GuideYcMode

ZCTYPE Zero-coupon yield curve type {DF, RATE}ZCTYPE:DF to use discount factorsZCTYPE:RATE to use zero-coupon ratesDefault value: ZCTYPE:RATE

Keyword Explanation


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