Tutorial (Financial Toolbox)

Financial Toolbox

SIA Framework

Many of the fixed-income related functions in the Financial Toolbox comply with the Securities Industry Association (SIA) conventions. Although not all SIA-compliant functions require the same input arguments, they all accept the following common set of input arguments.

Table 2-4: SIA Common Input Arguments
Input
Meaning

Settle
Settlement date

Maturity
Maturity date

Period
Coupon payment period

Basis
Day-count basis

EndMonthRule
End-of-month payment rule

IssueDate
Bond issue date

FirstCouponDate
First coupon payment date

LastCouponDate
Last coupon payment date

Table 2-4: **SIA Common Input Arguments**
Input	Meaning
`Settle`	Settlement date
`Maturity`	Maturity date
`Period`	Coupon payment period
`Basis`	Day-count basis
`EndMonthRule`	End-of-month payment rule
`IssueDate`	Bond issue date
`FirstCouponDate`	First coupon payment date
`LastCouponDate`	Last coupon payment date

Of the common input arguments, only Settle and Maturity are required. All others are optional. They will be set to the default values if you do not explicitly set them. Note that, by default, the FirstCouponDate and LastCouponDate are nonapplicable. In other words, if you do not specify FirstCouponDate and LastCouponDate, the bond is assumed to have no odd first or last coupon periods. In this case, the bond is simply a standard bond with a coupon payment structure based solely on the maturity date.

Terminology SIA Default Parameter Values