FIA supports the following pricing functions:
Function name | Description | Arguments in security master file | Other data required |
FT_CASH | Used for cash assets that do not generate any return | None | None |
FT_EQUITY | Identical to FT_CASH | None | None |
FT_BILL | Returns the price of a bank bill with given maturity date | Maturity date | None |
FT_PERPETUAL_YTM | Returns the price of a perpetual bond using a supplied YTM | Coupon | YTM in additional time series |
FT_PERPETUAL_ZERO_CURVE | Returns the price of a perpetual bond using a supplied yield curve | Coupon | Yield curve |
FT_BOND_YTM | Returns the price of a bond, given its YTM. No yield curve is required | Coupon, frequency, maturity | YTM in additional time series |
FT_BOND_ZERO_CURVE | Returns the price of a bond, given its coupon, coupon frequency, maturity date and yield curve | Coupon, frequency, maturity | Yield curve |
FT_FRN_COUPON | Prices a generic FRN from a zero curve, using supplied coupon. Pricing is in terms of $1 FV, not $100 FV | Coupon, frequency, maturity | Yield curve |
FT_FRN_ZERO_CURVE | Prices a generic FRN from a zero curve, using supplied margin and LIBOR series Pricing is in terms of $1 FV, not $100 FV | Coupon, frequency, maturity | LIBOR time series |
FT_MBS_PSA | Prices a generic MBS using the PSA model for cash flow generation | Coupon, frequency, maturity, start date, PSA rate | Yield curve |
FT_SINKER_ZERO_CURVE | Prices a generic sinking (amortizing) bond from a zero curve | Coupon, frequency, maturity, | Yield curve |
FT_AUD_3_YEAR_BOND_FUTURE | Prices an Australian 3 year bond future | None | Yield curve |
FT_AUD_10_YEAR_BOND_FUTURE | Prices an Australian 3 year bond future | None | Yield curve |
The source code for these functions is available to our clients.