Fixed Income Procedures

Gauss Programs

• setbond.g & calvec2.dat & calvec2.dht Procedure and calender data file with header, to calculate accrued interest, time to each cash flow (in years) and a cash flow matrix, given today's date and vectors of bond maturities and coupons.



• macdur.g Procedure to calculate Macaulay duration, modified duration, and continuously compounded yield to maturities given a vector of bond prices, as well as cash flow and time to each cash flow matrices.(see setbond.g above for setting up these matrices)



• yldtomat.g Procedure to calculate continuosly compounded yield to maturities given a vector of bond prices, as well as cash flow and time to each cash flow matrices.



• zcoupytm.g Procedure to calculate a vector of zero-coupon equivalent yield to maturities given a series of equally spaced maturities. This is the "text-book" method of constructing a zero coupon yield curve from a full set of bond prices which are unlikely to be observed in practice.



• bondytm.gProcedure to calculate a vector of yield to maturities (expressed as an APR) given vectors of coupon bond characteristics.



• pricefy.g Procedure to calculate bond prices given the bond's yield to maturity and other characteristics.



• coupdate.gProcedure to find a matrix of coupon dates, and time to each coupon (in years) given today's date and a vector of bond maturities. See setbond.g for a similar procedure.

Perl Scripts for Cleaning up U.S. Treasury Quote Data

• transwsj Perl script for for cleaning up U.S. Treasury data as reported in Wall Street Journal Interactive Edition, at http://www.wsj.com, Markets data center. See header file of transwsj for details.
  Sample Input Sample Output



• transsps Perl script for for cleaning up U.S. Treasury data as reported by Street Pricing Service: http://www.mkts.com. Raw data takes the following form: Sample Input. Output files are as follows:Sample Bond output , Sample Bill Output , Sample Strip Output