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opyright © 2003 Reuters. All Rights Reserved.xcept as permitted by law, no part of this document may be reproduced or transmitted by any process or means without the prior con Reuters. Reuters, by publishing this document, does not guarantee that any information contained herein is and will remain accuraat use of the information will ensure correct and faultless operation of the relevant service or equipment. Reuters, its agents, and ployees shall not be held liable to or through any user for any loss or damage whatsoever resulting from reliance on the informatio

ntained herein.

euters and the Reuters sphere logo are registered trademarks and trademarks of the Reuters group of companies around the worldpper is a Reuters company.

DFIN, KOBRA, and KONDOR are registered trademarks, and Reuters 3000 Xtra, Reuters Analytic Data System (ADS), Reuters Daontribution Server (DCS), Reuters Data Transformation System (DTS), Reuters Dealing 2000-2, Reuters Dealing 3000, Reuters nterprise Licensing System (ELS), Reuters Integrated Data Network (IDN), Reuters Intelligent Advisor (RIA), Reuters Kondor Globamits, Reuters Kondor Trade Processing, Reuters Kondor Value at Risk, Reuters Knowledge, Reuters Market Data System (RMDS),euters Network Management System (NMS), Reuters News 2000, Reuters News Distribution System (NDS), Reuters Optimizing ontribution Server (OCS), Reuters Personalized Delivery System (PDS), Reuters PowerPlus Pro, Reuters Trader for Commodities TC), Reuters Triarch are trademarks of the Reuters group of companies around the world.

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cknowledgement is made to all other brand or product names referred to in the text that are registered trademarks, trademarks, or trmes of their respective owners.

our comments are welcomelease provide feedback on the Reuters guides and on-line help by sending your comments by e-mail to: [email protected].

ublished by Reuters, 85 Fleet Street, London, EC4P 4AJ, UK.

Reuters PowerPlus Pro 4.5.1 Workbook

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ocument History

History Document Number

Date Comments

4510504.2 21 August 2003 Published as an Adobe PDF file on the Reuters intranet.

4510504.1 18 April 2003 Reformatted in Framemaker, and updated to SR1.

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Chapter 1 ......9....10.... 11....12....14

Chapter 2 ....17....18....19....20....21....22....23....24....25....26....27

Chapter 3 ....29....30....31....36....42....45....48....51....53....54

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TABLE OF CONTEN

Introducing the Reuters PowerPlus Pro Documentation ........................................................Using This Guide ....................................................................................................................................Conventions Used in This Guide ............................................................................................................Reuters PowerPlus Pro Guides and Online Help ...................................................................................How to Perform a Full Text Search .........................................................................................................

Functions Overview ...........................................................................................................................Reuters PowerPlus Pro Functions and Models ......................................................................................Adfin Bond Functions ..............................................................................................................................Adfin Term Structure Functions ...............................................................................................................Adfin Option Functions ...........................................................................................................................Adfin Common ........................................................................................................................................Adfin Swap Functions .............................................................................................................................Adfin Forex & Money Markets Functions ................................................................................................Adfin Credit Functions ............................................................................................................................Adfin Real Time Functions ......................................................................................................................Reuters 3000 DataEngine Functions ......................................................................................................

Integration of Real Time Data: Adfin Real Time Functions .....................................................About Adfin Real Time Functions ...........................................................................................................RtGet() ....................................................................................................................................................RtUpdate() ..............................................................................................................................................RtSeries() ................................................................................................................................................RtChain() ................................................................................................................................................RtHistory() ...............................................................................................................................................RtHistoryInfo() .........................................................................................................................................RtNow() ...................................................................................................................................................RtToday() ................................................................................................................................................

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apter 4 Real Time Assistants, DDE Converter, Diagnostic Viewer, and Real Time Settings ........Real Time Data Assistants ......................................................................................................................Example Using The Real Time Quotes Assistant ...................................................................................Example Using The Real Time Chain Assistant .....................................................................................Example Using The Real Time Series Assistant ....................................................................................Example Using The Real Time History Assistant ...................................................................................Reuters DDE Converter ..........................................................................................................................Diagnostic Viewer ..................................................................................................................................Adfin Real Time Settings Dialog Box ......................................................................................................

apter 5 Integration of Reuters 3000 Database ..........................................................................................How to Log on the Reuters 3000 Databases ..........................................................................................Description of the Securities 3000 Database ..........................................................................................Description of the Treasury 3000 Database ...........................................................................................Reference Data Engine Settings Dialog Box ..........................................................................................Backward Compatibility of DataEngine Functions ..................................................................................Retrieving Single Values for an Instrument from the Reuters 3000 Database: DeUpdate() ...................Retrieving Historical Data from the Reuters 3000 Database: DeHistory() ..............................................Retrieving Time Series Data from the Data Backup Unit Server: DeHistory() .......................................Retrieving a List of Similar Information for an Instrument: DeList() ........................................................Sending SQL Requests to the 3000 Database: DeQuery() ....................................................................

apter 6 Adfin Bonds Functions .....................................................................................................................Adfin Bonds Exercises ............................................................................................................................Structure Concepts .................................................................................................................................Adfin Bonds Functions ............................................................................................................................Floating Rates Notes ..............................................................................................................................Convertible Bonds ..................................................................................................................................Example: The Cheapest to Deliver .........................................................................................................

apter 7 Adfin TermStructure Functions ......................................................................................................Zero Coupon Yield Curve: Bootstrapping Method ..................................................................................Calculate a Forward Yield Curve ............................................................................................................Zero Coupon Yield Curve: Vasicek-Fond Method ...................................................................................Zero Coupon Yield Curve: Basis Spline Method .....................................................................................

apter 8 Adfin Swaps Functions.....................................................................................................................Interest Rates Swaps ..............................................................................................................................Interest Rates Swaps Examples .............................................................................................................Overnight Indexed Swaps (OIS) .............................................................................................................Asset Swaps ...........................................................................................................................................Currency Swaps .....................................................................................................................................

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Ch ..273..274..275..277..287..289..295

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Currency Swap Examples ......................................................................................................................

apter 9 Adfin Credit Functions......................................................................................................................Overview of Adfin Credit Functions ........................................................................................................Calibrate a Default Probability Curve from a Credit Default Swap Curve and a Discount Factor Curve Calculate the Net Present Value (NPV) of a Credit Default Swap with the Probability Curve Risk ModeCalibrate Cox Ingersoll Ross Coefficients from a Credit Default Swap Spread Curve ...........................Calculate the Spread of a Credit Default Swap from the Cox Ingersoll Ross Intensity Coefficients .......

apter 10 Adfin Forex & MoneyMarket, and Adfin Common Functions.................................................Calendar, Currency & Cross Currency Styles .........................................................................................Adfin Forex&Money and Adfin Common Functions ................................................................................

apter 11 Adfin Options Functions ..................................................................................................................Overview of Adfin Options Functions ......................................................................................................Structure Concepts .................................................................................................................................Adfin Options Functions ..........................................................................................................................Pricing a Bermudan Option with OpPremium() .......................................................................................Pricing a Warrant ....................................................................................................................................Pricing of Cap, Floor and Collar .............................................................................................................

apter 12 Adfin Exotics Functions ...................................................................................................................Adfin Exotics ...........................................................................................................................................Structure Concepts .................................................................................................................................Exercises with Adfin Exotics ...................................................................................................................

apter 13 COM Based Programming ...............................................................................................................COM and Reuters PowerPlus Pro Functions .........................................................................................AdfinX Analytics ......................................................................................................................................DataEngine ActiveX (DEX) .....................................................................................................................AdfinX Real Time ....................................................................................................................................

apter 14 Inserting Charts in Excel with Reuters PowerPlus Pro............................................................How to Insert a Chart in Excel ................................................................................................................

apter 15 Errors Messages in Reuters PowerPlus Pro...............................................................................General Excel Error Messages ...............................................................................................................Real Time Error Messages .....................................................................................................................Reuters PowerPlus Pro Licensing Error Messages ................................................................................

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ER 1 INTRODUCING THE REUTERS POWERPLUPRO DOCUMENTATION

tents • Using This Guide• Conventions Used in This Guide• Reuters PowerPlus Pro Guides and Online Help• How to Perform a Full Text Search

Chapter 1 Introducing the Reuters PowerPlus Pro Documentation Reuters Reuters PowerPlus Pro 4.5.1 WorkbookUsi

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hat this guideexplains

The Reuters PowerPlus Pro 4.5.1 Workbook describes the principal functions and tools of ReuPowerPlus Pro. It gives you examples of how to use Adfin functions and enables you to acquirskills you need to enable you to build models performing the analyses you want.

Intendedaudience

The Reuters PowerPlus Pro 4.5.1 Workbook is intended for all users of Reuters PowerPlus Pro

Assumedknowledge

The Reuters PowerPlus Pro 4.5.1 Workbook assumes that readers are familiar with:• Windows operating systems• financial information services

w this guide isorganized

The Reuters PowerPlus Pro 4.5.1 Workbook is organized in chapters representing the differencategories of Adfin functions.

ow to use thisguide

First read “Conventions Used in This Guide” on page 11 to familiarize yourself with the mannerwhich information is presented and the terminology used in this guide. Then read the chapters inorder depending on which category of functions you are interested in.

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onventions 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 cis over the item

Drag and drop Press and hold the mouse button while the cursor is over the item, then movcursor 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 pressrelease the mouse button while the pointer is over the item

Press Press a key on your keyboard

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euters PowerPlus Pro Guides and Online Help

PDF files The Reuters PowerPlus Pro guides are delivered in the \common\doc\pdf\pppro directory as Adobe PDF files that you can display on-screen and print using Adobe Acrobat Reader.

PowerPlus Pro

Data Engine

Adfin Analytics

Title Document Numb

PowerPlus Pro 4.5 SR1 Release Notes 4510502

PowerPlus Pro 4.5 SR1 Administration Guide 4510503

PowerPlus Pro 4.5 SR1 Installation Guide 4510530

PowerPlus Pro 4.5 SR1 Workbook 4510504

PowerPlus Pro 4.5 SR1 Migration Guide 4510505

PowerPlus Pro 4.5 SR1 Functions Reference Guide 4510531

Title Document Numb

3000 Data Engine ActiveX Component Library 4510506

Title Document Numb

Adfin Analytics 4.70 Structures User Guide 4510507

Adfin Bonds Function Guide 4510508

Adfin Bonds Theory Guide 4510509

Adfin Credit Function Guide 4510510

Adfin Credit Theory Guide 4510511

Adfin Dates Function Guide 4510512

Adfin Dates Theory Guide 4510513

Adfin Exotics Function Guide 4510514

Adfin Exotics Theory Guide 4510515

Adfin Forex & MM Function Guide 4510516

Reuters Reuters PowerPlus Pro 4.5.1 Workbook Chapter 1 Introducing the Reuters PowerPlus Pro Documentatione Help

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dfin Real Time

AdfinX

Help on Excel Help specific to Microsoft Excel is not provided in the Reuters PowerPlus Pro help system. To Excel help topics, choose Help from the Excel menu, then choose Microsoft Excel Help Topicspress F1 from a spreadsheet.

Adfin Forex & MM Theory Guide 4510517

Adfin Options Function Guide 4510518

Adfin Options Theory Guide 4510519

Adfin Swaps Function Guide 4510520

Adfin Swaps Theory Guide 4510521

Adfin Term Structure Function Guide 4510522

Adfin Term Structure Theory Guide 4510523

Adfin Utilities Function Guide 4510524

Adfin Utilities Theory Guide 4510525

Title Document Numb

Title Document Numb

Adfin Real Time 4.70 User Guide 4510526

Title Document Numb

AdfinX Analytics 1.0 Component Library User Guide 4510527

AdfinX Analytics 1.0 Function Library User Guide 4510528

AdfinX Real Time 1.0 Library User Guide 4510529

Chapter 1 Introducing the Reuters PowerPlus Pro Documentation Reuters Reuters PowerPlus Pro 4.5.1 WorkbookHow

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ow to Perform a Full Text Search

fore you begin You must have either Adobe Acrobat Reader 4.0 with Search or Adobe Acrobat Reader 5.0 inston your workstation before you can perform a full text search. You must also set up the index (How to set up the index below).

w to perform afull text search

w to set up theindex

You only need to perform this procedure once.

Step Action

1 Click in Adobe Acrobat Reader.Alternatively, press Ctrl+Shift+F.

2 Enter the text for your search inquiry, then click Search.You can enter a number, word, phrase, or term using wild card characters (*, ?) and operators (=, ~, !, Boolean, and comparison).

3 Choose a guide in Search Results by highlighting a guide and clicking View. Adobe Acrobat highlights the first hit or hits that match your inquiry.

4 Navigate within a guide by clicking: • to go to the next highlight (alternatively, press Ctrl+])

• to go to the previous highlight (alternatively, press Ctrl+[)

• to perform another search (alternatively, press Ctrl+Shift+F)

5 Navigate from guide to guide by: • pressing Ctrl+Shift+] to search the next guide in Search Results• clicking (or pressing Ctrl+Shift) or to choose another guide in Search Result

Step Action

1 Choose Edit ➤ Search ➤ Select Indexes in Adobe Acrobat Reader.Alternatively, press Ctrl+Shift+X. Adobe Acrobat displays Index Selection.

2 Click Add. Adobe Acrobat displays Select Index.

Reuters Reuters PowerPlus Pro 4.5.1 Workbook Chapter 1 Introducing the Reuters PowerPlus Pro DocumentationSearch

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3 Enter:<install_directory>\common\doc\pdf\<product_name>\<product_name>_index

For example:C:\Program Files\Reuters\Common\doc\pdf\xtra\xtra_index.pdx

4 Click Open.Adobe Acrobat displays the index in the Available Indexes list.

5 Remove any other indexes in the list (such as the Acrobat guides) then click ORemoving indexes improves response time and avoids unnecessary search results.

Step Action

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ER 2 FUNCTIONS OVERVIEW

tents • Reuters PowerPlus Pro Functions and Models• Adfin Bond Functions• Adfin Term Structure Functions• Adfin Option Functions• Adfin Common• Adfin Swap Functions• Adfin Forex & Money Markets Functions• Adfin Credit Functions• Adfin Real Time Functions• Reuters 3000 DataEngine Functions

Chapter 2 Functions Overview Reuters PowerPlus Pro 4.5.1 WorkbookReu

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euters PowerPlus Pro Functions and Models

Functions Reuters PowerPlus Pro constitutes a complete solution of financial functions and access to Redata: real-time, time series, analytics, Treasury 3000 and Securities 3000 all in Microsoft ExcelDeveloped in C++ for optimal performance, the Reuters PowerPlus Pro functions integrate perfinto the Excel spreadsheet environment. To increase the flexibility of the product, Reuters PowerPlus Pro V.4.5 is available as a series of Active X components that can be used in a development environment: C++, VB, VBA… The functions are categorised into a number of modules which are described on the following paFor further details on the functions in a module, see the relevant chapter.

Models Reuters PowerPlus Pro also includes many ready-to-use models with calculations and fast anddetailed analyses. These models are designed to process large amounts of real-time data. You can create your omodels using the Adfin functions or choose one of the pre-built Adfin Analytics models throughReuters Model Browser.

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 2 Functions Overviewnctions

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Adfin Bond Fu


dfin Bond Functions

Purpose Adfin Bonds supports a large variety of bond instruments (government bonds, FRN, callable/putbonds, stepped coupon bonds, sinking funds, index linked-bonds, latam bonds). This version supports five different pricing models (constant yield, zero coupon curve, Vasicek Fong, Black-Derman-Toy, Hull & White). The Adfin Bonds module covers cash instruments and assocderivatives (such as repos and bond futures). It is also possible to price the following convertibbonds: vanilla, premium redemption, puttable, callable (hard and soft call), Step up and multiplcurrency.

Example Name Description

AdBondPrice() Function calculates the price, optionfree price, volatility, PVduration, convexity, and yield to worst/yield to best date of abond defined from a bond structure.

AdConvPrice() Calculates the price of a convertible bond.

IlbPx() Function calculates the price of an index-linked bond.

FrnCalcCpn() Function returns all coupon features of a FRN in an array.

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dfin Term Structure Functions

Purpose Adfin Term Structure enables you to build zero coupon rates or discount factor curves by markquotation. The curves of zero coupon rates can be created using deposits, futures, bonds or swA selection made up of swap rates or bond rates can be used to extend the zero coupon curvelong maturities. The following Yield Curve models can be generated for pricing and spread calculations: Zero Coupon curve, Vasicek Fong curve, Basis Splines. It is also possible to calibdynamic term structure models using market quoted volatilities.


AdTermStructure() function builds a zero coupon or discount factor curve from of interest rate instruments given in InputArray.

AdCalibrate() function calibrates a rate model from a set of swaptions or cap&floors instruments given in InputArray.

AdRate() function calculates the discount factors for an array of dateaccording to a term structure model (Vasicek Fong coefficiezero curve generated with the bootstrapping method, a BlaDerman & Toy model, a Hull & White model or Basis Spline


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Adfin Option Fu


dfin Option Functions

Purpose Adfin Options covers the vast majority of « plain vanilla » options traded globally, including option stocks and instruments with discrete future cash flows, as well as warrants. This module alscontains functions for exotic options (asian, barrier, rainbow, cliquet, basket...) and for options bonds using the Black-Derman-Toy model. Option functions support calculations of premium, implied volatility and “Greeks” derivatives. The available models are Black and Scholes, WhaleGarman-Kohlagen, Constant Elasticity of Variance (CEV) and Cox, Ross and Rubinstein.Reuters PowerPlus Pro V.4.5 Service Release 1 extends caps, floor and collar coverage: amortcap, reset in arrears (with the option to adjust for convexity bias) digital cap, barrier cap.


OpImpliedVol() function calculates the implied volatility of an option, the underlying of which pays a continuous dividend yield.

OpBarrierDeriv() function returns in an array all derivatives (delta, gamma, thvega, rho) of a barrier option.

AdBondOptionPremium() function calculates the premium of a bond option defined frbond structure.

AdDigitalCapFloorCaplets() function calculates all the caplet/floret premiums of a digitalfloor and collar.


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dfin Common

hat it contains Adfin Common contains a library of calculation functions that are useful in conjunction with the modules. These functions include calculations on dates (calendar management, holiday calculations), and data interpolation.


AdInterp() Function interpolates a point from a curve according to a linlog linear, cubic spline or basis spline method.

DfCountDays() Function calculates the number of days between two datesaccording to the day count basis specified in DfMode with keyword DCB.


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Adfin Swap Fu


dfin Swap Functions

Purpose Adfin Swaps covers interest rate swaps (IRS) based on the common floating rate indices (LIBOmonths, EONIA, etc) as well as the currency swap market. Adfin Swaps supports non-standardswap structures, such as asset swaps and amortising swaps.


SwIrsSolve() function calculates the fixed rate or the floating rate spreadequivalent to a predefined net present value.

SwCsCashFlows() function generates an array with the remaining cash flows ocurrency swap.


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dfin Forex & Money Markets Functions

Purpose Adfin Forex & Money Markets covers all calculations required for the Forex and short-term interate markets (swap points, cross currency, forward rates, money calendar). Predefined databahave been created to take account of market conventions and public holidays.


FxCross() function calculates the spot cross rate assuming that the crvalue date and the spot dates are equal.

FxCalcPeriod() function calculates the start date and the end date of a peri


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Adfin Credit Fu


dfin Credit Functions

Purpose Adfin Credit covers the pricing and valuation of any european or american credit default swapscross-currency credit default swaps, with your own recovery rate assumption. Credit risk is hanusing the deterministic Cox-Ingersoll-Ross default intensity model, or bootstrapping of the defaprobability term structure. A simple function allows calibrating those models from market inputsquoted CDS spreads, a risky discount factor or rate curve for the issuer. In addition, a probabilcurve for any credit event can be calculated using the Jarrow-Lando-Turnbull approach, from arating transition matrix.


AdCdsNpv() Function calculates the net present value of a credit defaultswap.

AdDefaultProba() Function calculates the default probabilities from a risk mod

AdJltCreditStructure() Function builds a risk model array with JLT method.


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dfin Real Time Functions

Purpose Adfin Real Time contains a range of retrieval and contribution functions for real time data. The RtUpdate() function now supports the retrieval of real-time data in snapshot mode. The data retrieved can then be refreshed either manually using the toolbar refresh button or automaticalthrough the definition of an update schedule or update frequency, or even through a VBA macrThe new RtSeries() function allows real-time series to be built in Excel spreadsheets via the upof an array of historical snap quotes for a real-time instrument.


RtUpdate/RtGet() function retrieves real-time data from a data source.

RtSeries() function updates an array of historical snap quotes for a real-time instrument.

RtContribute() function contributes a record either locally at the PC level (ishare the data among all spreadsheets open in Excel) or anetwork level (i.e. to share the data among all users conneto the source).


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Reuters 3000 DataEngine Fu


euters 3000 DataEngine Functions

Purpose The DataEngine functions allow you to retrieve historical and reference data from Reuters 300databases and from the Data Back Up (DBU). Following the migration of the Treasury 3000 database to RDB, the number of in-cell functions has been reduced with no longer source specfunctions.


DeUpdate() function retrieves a table of values from the Reuters 3000 databases (Securand Treasury). Replaces SUpdate(), TUpdate(), SSecurity(), TSecurity(), anTAdfinArg().

DeHistory() function retrieves historical data for an instrument either from a specified tabSecurities 3000 and Treasury 3000 databases, or from the DBU server. RepSHistory() and THistory().

DeLookup() function retrieves issues and quotations associated with an organisation namfrom the Securities 3000 database. Replaces SLookup().

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ER 3 INTEGRATION OF REAL TIME DATA: ADFIN REAL TIME FUNCTIONS

tents • About Adfin Real Time Functions• RtGet()• RtUpdate()• RtSeries()• RtChain()• RtHistory()• RtHistoryInfo()• RtNow()• RtToday()

Chapter 3 Integration of Real Time Data: Adfin Real Time Functions Reuters PowerPlus Pro 4.5.1 WorkbookAbo

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bout Adfin Real Time Functions

Features Adfin Real Time is a function library that greatly enhances the performance and simplifies the development of real time Excel applications. It provides some powerful features such as dynamcell referencing, data caching, and contribution facilities.

Compatibilityth DDE servers

While it is compatible with most DDE servers, Adfin Real Time can also directly interface with rtime data sources, such as Reuters Triarch or TIB/Rendezvous. Users on RTWs can build theirapplications with this feature, regardless of DDE limitations.

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 3 Integration of Real Time Data: Adfin Real Time FunctionstGet()

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tGet()

Purpose Adfin Real Time provides you with the RtGet() function to retrieve real-time data from a data souThis is a volatile function, which means that all RtGet() functions in all open workbooks are recalculated whenever an event occurs in Microsoft Excel.Recalculation is very fast and, under normal conditions, does not hinder the overall performancthe application. However, financial functions often depend on real time data, so a real time dataupdate can actually trigger the complete recalculation of the spreadsheet. In large applicationsrecalculation can take several seconds and could be considered as a problem.However, you can use the alternate data retrieval function, RtUpdate().

Arguments RtGet() function is composed of four arguments:=RtGet(SourceAlias, InstrumentCode, FieldName, RtMode)

xamples UsingRtGet()

Name Description

SourceAlias Source alias (such as “IDN”)

InstrumentCode Instrument code (e.g. “EUR=“).

FieldName Field name or number (e.g. “BID”).

RtMode Extended argument defining the operation.

Step Procedure

1 Open Reuters PowerPlus Pro and a new Excel spreadsheet.a. In cell B3, enter IDN.b. In cell B4, enter the EUR= RIC code.c. In cell C3, enter the BID fieldname.

2 Choose cell C4, and choose Insert ➤ Function.

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et()


3 Choose Adfin Real Time in the Function category and RtGet() in Function nam

4 Click OK.The RtGet() function dialog box appears.

Step Procedure


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aste

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xample on theequity market

Repeat the same procedure to obtain the following results:

5 a. Choose cell B3 in SourceAlias.b. Choose cell B4 in InstrumentCode.c. Choose cell C3 in FieldName.Note: The RtMode argument is optional.

6 Click OK.• The BID price of EUR= code appears in real-time in cell C4.• In cell B4 you can change EUR= to GBP= and obtain directly the BID price of GB

7 Enter cell C3 as an absolute address (C$3) in the RtGet() function to copy and pcell C4 down.

8 Enter then a list of currency RICs in cells B5, B6, B7…Note: Put in the absolute address cell B3 ($B$3).

Step Procedure

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ula cel:

Im oft

data ivery

e nt

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et()


xample on thebond market

Repeat the same procedure as for the previous example to obtain the following results:

Note: Put the percentage format (%) after the RtGet() function. For example, in cell D6 the formis =RtGet("B5",B6, $D$5)%. To set a date format for cells containing dates, choose in ExFormat/Cell/Number/Date.

proved RtGet()update

mechanisms

Reuters PowerPlus Pro provides you with improved RtGet() update mechanisms, using MicrosExcel RTD.You must install Microsoft Excel 2002, which is part of MS Office XP, to use RTD in Reuters PowerPlus Pro.

RTD Microsoft Excel Real Time Data (RTD) is a new update mechanism for the delivery of realtime into Excel, Reuters PowerPlus Pro v4.5 SR1 leverages this functionality to fully optimise the delof realtime data into Excel.

RTD-assistedRtGet()

This function is a non-volatile function. The real time data engine does not update all RtGet() functions in a workbook when an event such as a cell modification or a recalculation occurs. Thengine only updates RtGet() function(s) whose input data has changed, thus providing significaperformance gains by reducing recalculation.This new functionality enables you to greatly improve the performance of real time data retrievaRtGet().


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D.

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Compatibilitywith other

versions oficrosoft Excel

and ReutersPowerPlus Pro

You can open workbooks built with another version of Microsoft Excel or Reuters PowerPlus Pwithin Microsoft Excel 2002 and RtGet will seamlessly use the new RTD implementation.

Copy/paste The RTD mechanism enables you to copy and paste data when an update occurs on your spreadsheet, this was not possible previously since a volatile recalculation occurred when anywas updated causing Excel to clear it copy buffers, this is no longer the case with RTD.

Note: If you choose the Manual option in Tools ➤ Options… ➤ Calculation, the recalculation mechanism of Microsoft Excel temporarily suspends the RtGet updates performed by RTYou then have to press F9 to finish the calculation. To take advantage of the real time performance provided by RTD, set Calculation to Automatic.

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et(), hich

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pdate()


tUpdate()

Purpose Like RtGet(), RtUpdate() retrieves real-time data from a data source.RtUpdate() is a non-volatile (asynchronous) function that will not cause non-volatile functions torecalculate whenever there is a spreadsheet recalculation. Only the individual cells containing changed data will be updated. All RtUpdate() functions on a spreadsheet are independent from each other. In contrast to RtGRtUpdate() copies the real time data retrieved into a destination cell, which is not the one from wthe function was called. When a data update occurs, all volatile RtUpdate() functions update onlrequired destination cells. Consequently, Microsoft Excel only recalculates the functions that deon the updated cells, i.e. the ones’ who’s inputs have changed

Note: This function is highly recommended when you are using contribution functions and mod

Arguments RtUpdate() is composed of six arguments:=RtUpdate(SourceAlias, InstrumentArray, FieldNameArray, DestinationCell, MacroName, RtMo

Name Description

SourceAlias Source alias (e.g. "IDN").

InstrumentArray One-dimensional array of instrument codes (.DJI, .FCHI...).

FieldNameArray One-dimensional array of field names or numbers (LAST, HISTORIC CLOSE).

DestinationCell Reference to cell at the upper left corner of the destination range.

MacroName Name of the macro to run on update.

RtMode Extended argument defining the operation, please see onlinhelp for further information.

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Example usingRtUpdate()

Reproduce the following table exactly by respecting the addresses of cells and by using the RtUpdate() function to obtain real-time links.

Step Action


2 Choose Adfin Real Time in the Function category and RtUpdate() in Function n


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3 Click OKThe RtUpdate() function dialog box appears.

4 a. Enter cell B3 in SourceAlias to define the Reuters data source.b. Choose cells B5:B14 in InstrumentArray, c. Choose cells C4:F4 in FieldNameArray.d. Choose cell C5 in DestinationCell.e. Choose cell D2 for the RtMode argument.Note: The MacroName argument is optional.

Step Action


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5 Click OK.All the requested real-time data appears in the table. Cell C2 returns the string UpdatHH:MM:SS after each successful update. By default, the frequency of update is 30 seconds.

Step Action


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tting

ic be

pdate()


Frequency ofupdate

You can specify the maximum frequency of update using the keyword FRQ in RtMode (cell D2

Snap update Adfin Real Time provides you with the option of retrieving real time data continuously, or at regular/predefined intervals in the form of a data snapshot. RtUpdate() requests the input instruments only once, retrieves the data, and then closes all your data subscriptions. To enablsnapshot mechanism, you must set the UPDATE:SNAP keyword in RtMode.Adfin Real Time can leave the subscriptions open between two snap updates if you wish by sethe LIVE:YES keyword in RtMode.Adfin Real Time allows you to schedule the snap updates. RtUpdate() can perform an automatsnap update at a given date and/or time if you specify the ONTIME keyword in RtMode. It can repeated several times if you indicate one ONTIME keyword for each period.

Step Action

◆ In cell D2, enter the keyword and value FRQ:1s for the RtMode argument.Real-time data is now updated every second.


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You can also set the snap update frequency using the FRQ keyword in RtMode, but only at a frequency greater than 60 seconds.You can also manually update all RtUpdate ‘Snap’ functions globally, using the RtRefreshSnapbutton on the Reuters PowerPlus Pro toolbar. This means that you do not have to restart thReal Time Data Engine each time.To easily format the parameters for this new function use the Real time Quote assistant.

Step Action

◆ In cell D2, enter the keywords and values UPDATE:SNAP and ONTIME:10:02 for thRtMode argument.Real-time data is now updated only at 10:02 AM. Cell C2 returns the string Snapped MM/DD/YY at HH:MM:SS, after each snap performed.

Chapter 3 Integration of Real Time Data: Adfin Real Time Functions Reuters PowerPlus Pro 4.5.1 WorkbookRtS

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eries()


tSeries()

Purpose Adfin Real Time provides you with the RtSeries() function to update real time data in the form ofof snapshots.This enables you to build lists of time-series data from real time quotes, using only one functiona single instrument.

Arguments RtSeries() is composed of 6 arguments:= RtSeries(SourceAlias, InstrumentCode, FieldNameArray, DestinationCell, MacroName, RtMo

Example usingRtSeries()

Reproduce the following table exactly by respecting the addresses of cells and by using the RtSeries() function to obtain real-time links.

Name Description

SourceAlias Source alias (e.g. "IDN")

InstrumentCode Instrument code.

FieldNameArray One-dimensional array of field names or numbers (LAST, HISTORIC CLOSE).

DestinationCell Reference to cell at the upper left corner of the destination

MacroName Name of the macro to run.


Step Action

1 Choose cell A5.

2 Choose Insert ➤ Function.

3 Choose Adfin Real Time in the Function category and RtUpdate() in Function nthen click OK. The RtSeries() function dialog box appears.

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 3 Integration of Real Time Data: Adfin Real Time Functionseries()

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4 a. Choose cell B3 in SourceAlias to define the Reuters data source.b. Choose cells B4 in InstrumentCode.c. Choose cells B5:C5 in FieldNameArray.d. Choose cell A6 in DestinationCell.Note: The MacroName argument is optional.

5 Type the keywords and values START:30JAN03:11:22 and FRQ:1M for the RtModeargument

6 Click OK.

• Real-time data snapshots will now be collected from 30th of January 2003 at 11:22where a snap update of the BID and ASK fields is received for EUR=, but this canhappen more than once every 1 minute.

• The function returns the timestamp data in the first column of the array, since thedefault value of TSPOS keyword is TSPOS:LEFT

• Cell A5 returns the string Snapped on MM/DD/YY at HH:MM:S, after each snap performed

Note: To easily format the parameters to this function it is best to use the new RealtimSeries assistant.

Step Action

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ries().

ted

eries()


RtSeries()update

parameters

The table below shows which keyword to use in RtMode to set the update parameters for RtSe

Keyword What it does

START Enables you to set the date at which you want to begin the snap update.

ONTIME Performs automatic snap updates at given dates and/or times. It can be repeaseveral times if you indicate one ONTIME keyword per update.

FRQ Sets the snap update frequency.

TSPOS Returns a timestamp field.

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array.

RtC


tChain()

Purpose RtChain() function fills an Excel range with the underlying records of a chain/tile.

Arguments RtChain() function is composed of four arguments:=RtChain(SourceAlias, InstrumentCode, DestinationCell, RtMode)

Example usingRtChain()

Name Description

SourceAlias Source alias (e.g. IDN)

InstrumentCode Instrument code (e.g. EUBMK=)

DestinationCell Reference to cell at the upper left corner of the destination


Step Action

1 a. In cell B2, enter the Reuters code EUBMK =for the Euro-denominated government benchmark chain.

b. In cell B3, enter RET:A50.to clear 50 cells each time the function is recalculated.

2 Choose cell B4.


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then

hain()


4 Choose Adfin Real Time in Function Category and RtChain() in Function name click OK.The RtChain() function dialog box appears.

5 a. Enter IDN in SourceAlias.b. Choose cell B2 in InstrumentCode.c. Choose cell B7 in DestinationCell.d. Choose cell B3 in RtMode.

6 Click OK.• Cell B4 returns the string Updated at HH:MM:SS after each successful update.• All RICs of the chain EUBMK= appears then in the column B from cell B7.• It is possible to change the chain EUBMK= to USBMK=.

Step Action

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 3 Integration of Real Time Data: Adfin Real Time Functionshain()

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LIVE keyword The keyword LIVE in RtMode specifies whether chain/tile records stay open after retrieval withRtChain() (LIVE:NO to get snapshot data: LIVE:YES to get live data). The LIVE:YES option is intended for those chains/tiles whose contents change frequently, rather than the underlying dae.g. market statistics chains.

Note: It is possible to use RtChain() function on RICs such as EFX= or EURIRS.

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e tion.

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istory()


tHistory()

Purpose RtHistory() retrieves a list of historical (TS1) data for an instrument.

Dates and dataarray format

You can specify the dates between which historical data are retrieved using the HistoryStructurargument. The HistoryMode argument defines the format of the data array returned by the func

Before you useRtHistory()

Before using the RtHistory() function, it is necessary to know the fields available in TS1 for an instrument. The RtHistoryInfo() function can retrieve this information. (see “RtHistoryInfo()” on 51).

Arguments RtHistory() is composed of 6 arguments:=RtHistory(SourceName, InstrumentCode, FieldNames, HistoryStructure, HistoryMode)

Example usingRtHistory()

Name Description

SourceName Source alias (e.g. "IDN")

InstrumentCode Instrument code.

FieldNames String of field names separated by a comma.

HistoryStructure Extended argument defining the range of dates.

HistoryMode Extended argument customising the return array.

Step Action

1 a. In cell B3, enter the code EUR=.b. In cell B5, choose the fieldnames available from the RtHistoryInfo() function.c. In cell B7, enter NBEVENTS:200 to obtain the latest 200 historical records.d. In cell B9, enter NULL:SKIP to skip the dates with any null field.

2 Choose cell B11.


Reuters PowerPlus Pro 4.5.1 Workbook Chapter 3 Integration of Real Time Data: Adfin Real Time Functionsistory()

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4 Choose Adfin Real Time in Function Category and RtHistory() in Function nam

5 Click OK.The RtHistory() function dialog box appears.

6 a. Choose IDN in SourceName.b. Choose cell B3 in InstrumentCode.c. Choose cell B5 in FieldNames.d. Choose cell B7 in HistoryStructure.e. Choose cell B9 in HistoryMode.

7 Click OK.The first date of the instrument appears in cell B11.

Step Action


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istory()


8 Choose the result range, press F2, then Ctrl+Shift+Enter.

9 Choose the range B11:B24, then choose Format ➤ Cells ➤ Number ➤ Date.

10 In cell B3 replace the code EUR= by .DJI. The historical data updates automatically.

Step Action

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 3 Integration of Real Time Data: Adfin Real Time FunctionsryInfo()

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fore

RtHisto


tHistoryInfo()

Purpose This function retrieves the list of TS1 fields available for an instrument. You use this function beyou use RtHistory().

Arguments RtHistoryInfo() is composed of three arguments:=RtHistoryInfo(SourceName,InstrumentCode,HistoryMode)

Example usingRtHistoryInfo()

Name Description

SourceName Source alias (e.g. IDN).

InstrumentCode Instrument code (e.g. EUR=).

HistoryMode Extended argument customising the return array.

Step Action

1 Enter the currency code EUR= in cell B3.

2 Choose cell B5.


4 Choose Adfin Real Time in Function Category and RtHistoryInfo() in Function name.


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istoryInfo()


5 Click OK. The RtHistoryInfo() function dialog box appears.

6 a. Enter IDN in SourceAlias.b. Choose cell B3 in InstrumentCode.

7 Click OK.• Cell B3 contains a string listing all fields available in TS1 for the Euro currency.• Historical data can be now retrieved with the RtHistory() function from these

fieldnames.

Step Action

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 3 Integration of Real Time Data: Adfin Real Time FunctionstNow()

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tNow()

Purpose RtNow() function retrieves the current system date and time. RtNow() function 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.

Note: You can only use RtNow in RTD mode.

Arguments This function does not require arguments.

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oday()


tToday()

Purpose RtToday() function retrieves the current system date. RtToday() function is a non-volatile and asynchronous function that replaces the volatile Todayfunction 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.

Note: You can only use RtNow in RTD mode.

Arguments This function does not require arguments.

rfs-doc@reuters 55

CHAPT

Con


ER 4 REAL TIME ASSISTANTS, DDE CONVERTER, DIAGNOSTIC VIEWER, AND REAL TIME SETTINGS

tents • Real Time Data Assistants• Example Using The Real Time Quotes Assistant• Example Using The Real Time Chain Assistant• Example Using The Real Time Series Assistant• Example Using The Real Time History Assistant• Reuters DDE Converter• Diagnostic Viewer• Adfin Real Time Settings Dialog Box

Chapter 4 Real Time Assistants, DDE Converter, Diagnostic Viewer, and Real Time Settings Reuters PowerPlus Pro 4.5.1 WorkbookRea

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ow -step ices

l Time Data Assistants


eal Time Data Assistants

Purpose Reuters PowerPlus Pro incorporates assistants to facilitate data retrieval. These assistants allyou use complex functions immediately. This is done by guiding you through a series of step-bydialog boxes that ask questions or provide options from which to choose. Your answers and choenable the assistant to perform its task according to your specifications.

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 4 Real Time Assistants, DDE Converter, Diagnostic Viewer, and Real Time Settingssistant

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Example Using The Real Time Quotes As


xample Using The Real Time Quotes Assistant

Purpose The Real Time Quotes assistant allows you to create real time formulae for a table of instrumeand fields.

Step Action

1 Choose Reuters ➤ Assistants ➤ Real Time Quotes.An assistant appears.

2 Enter a few futures RICs (FGBLc1, etc) in Code and click each time on Add to ethem in Selected Subjects.

Chapter 4 Real Time Assistants, DDE Converter, Diagnostic Viewer, and Real Time Settings Reuters PowerPlus Pro 4.5.1 WorkbookExa

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n

mple Using The Real Time Quotes Assistant


3 Click Next.Fields are classified by Category (Fields by Category), by favourite (Favourites), or liby alphabetical order (All Fields).

4 Double-click the fieldnames retrieved to enter in the Selected Fields windows.In our example, choose Display Name, Last, Net Change, Volume Accumulated, OpeInterest, Historic Close.

Step Action


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5 Click Next.See “Description of options” on page 61, for an illustration and description of the optiavailable in the dialog box.By default the Real Time Quotes assistant selects Frequency(RtUpdate) as the UpdaMode for using the RtUpdate() function (update every 1 second).

6 In the example, choose Snap, choose the Schedule check box, then On, and enthe date at which you want to snap the data.

7 Click the Add button to build your time schedules.

Step Action


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8 Click Next.The table below shows you the options you can choose to format your result. The on-screen display reflects the format choices you make.• Orientation allows you to display Field values in columns or Field values in rows.• Show Field Description allows you to display the full field names at top of column

instead of the database column names or real time field identifiers.

Step Action


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Description ofoptions

9 Click Finish.In the following figure, the table is automatically built with the snapping mechanism provided with RtUpdate() function.

Step Action

2

3

4

1


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er r ime

On date e o

the cted

e date

e date



l

Item Name Description Comment

1 Update Mode Allows you to choose the update mechanism you want to use when retrieving realtime data. Choose:• Streaming, to use RtGet() to

update data.• Frequency, to use RtUpdate().• Snap, to use the snapping

mechanism provided with RtUpdate().

If you choose Snap, the followinfunctionalities are available:• Update every check box. Ent

the time interval in Hour(s) oMinute(s) at which the Real TEngine updates data.

• Schedule check box. Chooseor Every day at and enter theat which you want to snap thdata. In this case, click Add tbuild your time schedules.

2 Macros Allows you to specify the name of a VBA macro to run when the function updates. Enter the name of a VBA macro you have written that is run by RtUpdate() after each real time update.

The Macros section is enabled ifFrequency or Snap option is selein the Update Mode section.

3 Print Allows you to choose a list of cell ranges to print after each real time update.

The Print section is enabled if thSnap option is selected in the UpMode section.

4 Save allows you to save the workbook after each real time update. If you choose a range or list of ranges to be printed in the Print section and/or the Active Document button in the Save section, a new field appears in the Macros section. The default option is No Save.

The Save section is enabled if thSnap option is selected in the UpMode section.


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Example Using The Real Time Chain As


xample Using The Real Time Chain Assistant

Purpose The Real Time Chain assistant populates an Excel range with the underlying records of a chainusing the RtChain() function.

Step Action

1 Choose Reuters ➤ Assistants ➤ Real Time Chain.Reuters PowerPlus Pro opens a dialog box.

2 Enter the RIC EUBMK= in Code and click Add to enter it in Selected Subjects.

Note: The Chain assistant accepts just one instrument.


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4 Double-click the fieldnames retrieved to enter in Selected Fields.

5 In the example, choose Maturity Date and Real Time Yield 1.

Step Action


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6 Click Next.The Update Mode section allows you to choose the refresh mechanism you want to retrieve chain and titles. Choose:• Streaming, to use RtChain() and RtGet() to update data.• Frequency, to use RtChain() and RtUpdate().• Snap, to use RtChain() the snapping mechanism provided with RtUpdate().Dynamic Chain allows you to get a single snapshot of the data (No) or to maintain thsubscriptions open and receive further updates (Yes). The default dynamic chain is NBy default the Real Time Chain assistant selects Frequency(RtUpdate) as the UpdatMode for using the RtChain() and RtUpdate() functions (update every 1 second).

Step Action


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mple Using The Real Time Chain Assistant


7 Click Next.The table below shows you the options you can choose to format your result. The on-screen display reflects the format choices you make. • Orientation allows you to display Field values in columns or Field values in rows.• Show Field Description allows you to display the full field names at top of column

instead of the database column names or real time field identifiers.• No. of Rows allows you to display the number of rows to display.• Skip allows you to enter the number of first entries of the chain (usually RICs) to

from the retrieved data.

8 Enter 20 in No. of Rows.

Step Action


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9 Click Finish.In the following figure, the table is built automatically with the RtChain() and RtUpdatfunctions with the update frequency set to 1 second.

Step Action


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mple Using The Real Time Series Assistant


xample Using The Real Time Series Assistant

Purpose The Real Time Series assistant enables you to retrieve data series from only one instrument uthe RtSeries() function.

Step Action

1 Choose Reuters ➤ Assistants ➤ Real Time Series.Reuters PowerPlus Pro opens a dialog box.

2 Enter the RIC RTR.L= in Code and click Add to enter it in Selected Subjects.


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Example Using The Real Time Series As



4 Double-click the fieldnames retrieved to move them into Selected Fields.In the example, choose Last, Percent Change and Trade Volume.

Step Action


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the

of a

e

rent x.



5 Click Next.The Update Mode section allows you to choose the refresh mechanism you want to retrieve data series. You can activate the following check boxes:• Start Date, then On to specify the date and time at which the Real Time Engine be

updating data or “At” to specify the time at which the Real Time Engine begins updating data, every day.

• End Date, then On to specify the date and time at which the Real Time Engine stupdating data or At to specify the time at which the Real Time Engine stops updadata, every day.

• Update Every, to enter the time interval in Hour(s) or Minute(s) at which the Real Engine begins updating data. The default interval is 1 Minute.

• Schedule, then On or Every day at and enter the date at which you want to snap data. In this case, click Add to build your time schedules.

The Macros section allows you to use VBA programs to update data. Enter the nameVBA macro you have written that is run by RtSeries() after each real time update. The Print section allows you to choose a list of cell ranges to print after each real timupdate. The Save section allows you to save the workbook after each real time update.If you choose a range or list of ranges to be print in Print section and/or the Active Document option in the Save section, a new field appears in the Macros section. It specifies the default name PPPMacro1 of a macro, which enables you to save the curworkbook, print the selected ranges and launch the macro you selected in the list bo

Step Action


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6 In the example, activate Update Every, then use the default interval, which is 1 Minute,

Step Action


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7 Click Next.The table below shows you the options you can choose to format your result. The on-screen display reflects the format choices you make. • Orientation allows you to display Field values in columns or Field values in rows.• Show Field Description allows you to display the full field names at top of column

instead of the database column names or real time field identifiers.• TimeStamp allows you to add a date/time column at the left of the result array (LE

or add no date/time column (NONE) or add a date/time column at the right of the rarray (RIGHT).

• Sort Data allows you to list data in ascending or descending order.

Step Action


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8 Click Finish.In the following figure, the table is built automatically with the RtSeries() function withupdate frequency set to 1 minute.

Step Action


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xample Using The Real Time History Assistant

Purpose The History assistant retrieves arrays of TS1 (Time Series) historical data for one instrument uthe RtHistory() function.

Important! This Assistant is only available if DBU (Data Backup Unit Server) has NOT been installed. If DBU is available go to “Retrieving Time Series Data from the Data BackUnit Server: DeHistory() ” on page 130.

Step Action

1 Choose Reuters ➤ Assistants ➤ Real Time History.Reuters PowerPlus Pro opens a dialog box.

2 Enter the futures RIC BRT- in Code and click Add to enter it in Selected SubjectSee the following figure.Note: The History assistant accepts just one instrument.


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Example Using The Real Time History As


Step Action

3 Click Next.Fields are classified by Category (Fields by Category), by favourite (Favourites), or liin alphabetical order (All Fields).

4 Double-click the fieldnames retrieved to enter them in Selected Fields.In our example, choose Date and Close.

5 Click Next.

6 Click Next for the date and frequency settings.


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7 In the Frequency section, choose Monthly then enter 60 in Data Points.

8 Click Next for format results.

Step Action


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Example Using The Real Time History As


9 In the Orientation section, choose Field values in columns to obtain the resultstwo columns.

Step Action


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10 Click Finish.The table is automatically built with the RtHistory() function.

Step Action

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 4 Real Time Assistants, DDE Converter, Diagnostic Viewer, and Real Time Settingsnverter

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Reuters DDE Co


euters DDE Converter

What’s new The DDE converter, which has been available since Reuters PowerPlus Pro version 4.0, has noversion 4.5SR1, become a separate Add-in, which can be used with any version of Reuters PowerPlus Pro or even plain Excel. The DDE Converter supports new DDE link syntaxes such as TIBDDE/TIBLink, TS1, and page-based feeds. Array of links are now converted seamlessly. A log file can be produced to analyze the conversion process.This gives you the benefit of better performance and greater flexibility using the real time data engine.

How to openReuters DDE

ConverterStep Action

1 Open one workbook that contains DDE formulas to replace.Reply No to the question about starting REUTER.exe. Cancel the file search windowwhich may appear if there are other Add-Ins or links to workbooks which don’t exist omachine.

Chapter 4 Real Time Assistants, DDE Converter, Diagnostic Viewer, and Real Time Settings Reuters PowerPlus Pro 4.5.1 WorkbookReu

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etails the the

ters DDE Converter


2 Choose Reuters ➤ DDE Converter.Reuters PowerPlus Pro opens the following user form.

The DDE converter only tries to convert the area of cells you specify in this dialog boAny other cells will be ignored.

Note: When a document is protected, only the cells that are not “locked” are convert

Four selections are available: • All Opened Workbooks (also called the silent mode) converts all cells of All Open

Workbooks• Active Workbook converts all cells of all sheets of the Active Workbook.• Active Worksheet converts all cells of the Active Worksheet.• Range converts all cells of the selected rangeYou can create a log file during conversion by activating Create log file. This log file dall the operations done during the conversion of the area. The log file is generated insame directory as the active workbook. Its name is prefixed by Log_ and followed byworkbook name and the suffix .log.

Step Action

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 4 Real Time Assistants, DDE Converter, Diagnostic Viewer, and Real Time Settingsnverter

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TIB).

Reuters DDE Co


Reuters DDEconverter

settings

The Settings button opens Reuters DDE Converter - Settings.

How to modifye configuration

file

Item Description

1 Name of the DDE server.

2 Name of the DDE topic (source).

3 Type of the source, it can be:• Reuters record source (REC_REUTERS)• Tibco source (REC_TIB)• Reuters historical source (HIST_REUTERS)• Reuters page source (PAGE_REUTERS)

4 Prefix that appears, in the DDE link, before the name of the RIC (usually only used TIB).

5 Suffix that appears, in the DDE link, after the name of the RIC (usually only used for

6 Name of the source that will be used in the corresponding Reuters PowerPlus Pro function generated by the DDE converter.

2 3 4 5 61

Step Action

◆ To modify a line in the .dat configuration file, click Edit. To delete a line, click Remove. To add new lines, click New.

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ters DDE Converter


On New/Edit the following user form is displayed:

Note: The Server, Topic, Type and To are mandatory entries.

Conversionexample

• Formula before conversion

• Formula after conversion

=TIBLINK|TIB!’RSF.REC.EUR=.NaE,BID’

=RtGet(“IDN”, “EUR=”, “BID”)

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 4 Real Time Assistants, DDE Converter, Diagnostic Viewer, and Real Time SettingsViewer

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Diagnostic


iagnostic Viewer

Purpose A new application called Diagnostic Viewer tracks Realtime messages in a file and lets the usechoose to display them or not in a specific dialog box.It is an independent application launched when starting up Reuters PowerPlus Pro, and minimas an icon in the taskbar.

Illustration

Description The Diagnostic Viewer displays messages, sorted in four tabs:• The Feed tab specifies the status of the different sources (DDS, IDN_SELECTFEED).• The RIC tab specifies whether a RIC name is valid.• The Stale tab specifies whether information about RICs is lost and why.• The Contrib tab specifies whether the contribution process is working (“Ack”) or not (“Nack”

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in Real Time Settings Dialog Box


dfin Real Time Settings Dialog Box

How to open it

Setup The Setup tab of the Adfin Real Time Settings dialog box defines the real time platform driver uYou can also restart Adfin Real Time from this display.

Note: You can now resize the Setup tab.

Step Action

◆ Choose Reuters ➤ Settings ➤ Real Time Data.

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Adfin Real Time Settings Dial


Aliases The Aliases tab defines aliases for data sources, instrument codes, and field names, as well assome standard settings for data requests.

Note: You can now resize the Aliases tab.


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Settings The Settings tab defines the default settings for the RtGet(), RtContribute(), and RtHistory() functions.

Note: You can now resize the Settings tab.

2

3

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Description ofoptions

Delayed RICs When some requested RICs are not permissioned, automation can be set in the Adfin Real TimSettings dialog box to transform them into the corresponding delayed RICs:• When the RIC ends with "=", the delayed RIC will be the RIC name followed by « X ». For

example, the delayed RIC for "EUR=" will be "EUR=X".• When the RIC last character is different from "=", the delayed RIC will be the RIC name

preceded by "/". For example, the delayed RIC for "RTR.L" will be "/RTR.L".

icrosoft ExcelRTD

If you are using Microsoft Excel 2002, Reuters PowerPlus Pro provides you with improved RtGupdate mechanisms, using Microsoft Excel RTD. Then, the Settings tab of the Adfin Real TimeSettings dialog box offers one additional text box.You can manage RtGet() updates in milliseconds, by setting Throttle Interval to 1000 ms or leswhen the Update Mode is set to Always.

Item Description

1 Update Mode defines the frequency of the real time data update.Choose:• Always to get all real time updates.• Frequency to define a minimum time interval between two updates.• On Demand to get an update when the function is recalculated with the key F9.• Stop Updates to stop all real time updates.Note: You may find that the recalculation performance of Microsoft Excel suffers if RtGet() results are fetched in real time. Set the Update Mode to Frequency or On Demand instead of Always to avoid this.

2 Cache Holding Time stores the most recently requested instruments. You can speciflength of time information is held in the cache.

3 Delayed RICs allows automatic delayed RIC retrieval.


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The On Demand update mode is not available in RTD mode, since RTD provides the same behaviour with the manual calculation mechanism of Microsoft Excel.


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Watch List The Watch List tab monitors the status of a source and lists all open items for that source. It alsdisplays the record template of the selected item. Either positive or Negative Field_IDs can alsappear in the template dialog box.

Note: You can now resize the Watch List tab.


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How to use thewatch list Step Action

◆ Choose the Source Name IDN_SELECTFEED, IDN or RSF (depends on your system).All the instruments used are listed in Instrument and for each instrument it shows youfields available from the real time data source.

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ER 5 INTEGRATION OF REUTERS 3000 DATABASE

tents • How to Log on the Reuters 3000 Databases• Description of the Securities 3000 Database• Reference Data Engine Settings Dialog Box• Backward Compatibility of DataEngine Functions• Retrieving Single Values for an Instrument from the Reuters 3000 Database: DeUpdate()• Retrieving Historical Data from the Reuters 3000 Database: DeHistory()• Retrieving Time Series Data from the Data Backup Unit Server: DeHistory() • Retrieving a List of Similar Information for an Instrument: DeList()• Sending SQL Requests to the 3000 Database: DeQuery()

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ow to Log on the Reuters 3000 Databases

The Reuters 3000 Database retrieves historical and reference data from the Securities 3000 database and the Treasury 3000 database with the Open Access ODBC driver. When you launch Reuters PowerPlus Pro the log on is automatic. The Username and the passare set during the installation process).If Reuters PowerPlus Pro cannot log on, then you have to log on manually.

Step Action

◆ Enter your user code 3000 and your Password.

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ities, tory).

000

Description of the Securities 3000 Da


escription of the Securities 3000 Database

The Reuters 3000 Equities database contains fundamental data allowing the detailed analysis companies, stocks, indices, economic indicators or countries.Company analysis: • Profit and Loss account and Balance Sheet and descriptive information (e.g. company activ

address…) for nearly 35 000 companies from 47 countries world-wide (up to 10 years of his• Cash Flows (Net Cash – Operating, Net Cash – Investing…) of the principal European and

American companies.• Local and world sector classifications (Sectors MSCI).• Historical quotations daily over one period from 5 to more than 15 years for more than 108

active equity quotations emanating from more than 122 stock exchange in 70 countries. • Earning forecast and dividend estimates for over 15 000 of the major companies.Index analysis:• History of index constituents, weights and index derived data for 800 equity indices from 42

countries.• Calculated data: PER, average output...• Historical quotations over one period from 5 to 15 years for more than 4000 national or

international indexes.Country analysis:• More than 3300 economic indicators of 80 countries: public finance, national accounts,

production, employment, price and foreign trade.• Up to 40 years of history.

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cription of the Treasury 3000 Database


escription of the Treasury 3000 Database

The Reuters 3000 Fixed Income database contains more than 580 000 bonds (un-redeemed bogovernments bonds, eurobonds, semi-government bonds, corporate…) and covers 117 countrThe Reuters 3000 Fixed Income database contains for a large variety of bond instruments the following data:• Term and Conditions: Reimbursement, Market convention, and Quotation Market.• Historical Rating.• Clearing codes.• Real-Time prices sources available for a given bond.• Historical bond prices sourced from Reuters.• Historical price and yield sources.

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Reference Data Engine Settings Dial


eference Data Engine Settings Dialog Box

DataEnginesetting dialog

box

Depending on which Data Engine you are using, the Source type will show any of the following• EQUITY 3000• TREASURY 3000 GSE• Xtra Business Logic Server (XBLS)• Generic ODBC Provider

Step Action

◆ From the menu bar, choose Reuters ➤ Settings ➤ Reference Data Engine.

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erence Data Engine Settings Dialog Box


• Database Backup Unit (DBU)The other fields on this dialog box enable you to define the cache sizes, refresh time and purge

ource Type: AllSources

It is possible to set the default source, by checking the box just above the connection status te(SOURCE keyword within Demode)

Note: Cache, Purge and Global Refresh properties are not supported when data are retrievedthe DBU server. The corresponding parts in the Data Engine Settings dialog box are disa

Reconnect Use the Reconnect button to re-establish an interrupted server connection, Use the Reconnect button when you receive either of the following error messages:

The connection to the server or ODBC driver has been lost for some reason, and you need to reconnect in order to continue with data retrieval.

Connectionstatus

The Connection Status indicates whether connection to the 3000 database has been effected foODBC driver (Treasury and Equity sources).

CacheInformation

Specify the maximum memory cache size in KB in the Memory cache size field. The size mustbetween 50 KB and 32,000 KB. The percentage of the cache used is displayed as "N% currenused."If you choose the Use cache option, all data stored in the cache is saved in the file specified inDirectory field when you exit the application. This data are restored when you restart the applicYou can also specify the Purge Time in this section. This time delay is used by the purge mechanism. When data are stored in the cache for longer than the specified length of time withbeing requested, the cache is emptied to make room for fresh data. This will modify the relevant user settings file depending on the source type chosen.

“#N/A T/D Waiting to Connect to Reuters 3000 Data Server”

“#N/A Connection to Data Source Failed”.

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Reference Data Engine Settings Dial


Global Refresh To activate the automatic refreshing of data, choose Daily Refresh Activated. Selecting this optdisplays Time of Daily Refresh (hh:mm). The default time of day is 00:05, but you can change thany other time of day. The DataEngine uses this value to randomly assign a refresh time, plus minus one hour from the time of day specified, for each data request in a worksheet. This randmechanism ensures that all requests are not refreshed at the same time.The Last Global Refresh field displays the time of the latest global refresh.This will modify the relevant user settings file depending on the source type chosen.

Note: For a formula using a DataEngine function to be refreshed automatically, it must includeRefresh parameter, with the value set to REFRESH:YES withn the DeMode parameter. Refresh parameter is omitted, the default value is REFRESH:NO.

Refresh Data Use the Refresh data button to flush the cache and refresh all data, even for queries which incthe REFRESH:NO parameter. When you click this button, the cache is emptied, all data are updon screen, and the cache is refilled with new data.

Note: If retrieved data are erroneous, you must use the Refresh data button to re-send the reqto the data source. Simply re-executing the function in the worksheet retrieves the sameerroneous data from the cache.

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kward Compatibility of DataEngine Functions


ackward Compatibility of DataEngine Functions

Evolutionarydiagram

This graphic shows the evolutionary steps of the DataEngine functions:

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Retrieving Single Values for an Instrument from the Reuters 3000 Database: DeU


etrieving Single Values for an Instrument from the Reuters 3000 atabase: DeUpdate()

The Reuters 3000 Fixed Income Databases have been migrated from FIHO to RDB. This induthe replacement of the Treasury provider (RFIDDE), by a new one, which uses the Open AcceODBC driver for data retrieval instead.

DeUpdate() The DeUpdate() function replaces the following functions of Reuters PowerPlus Pro 4.0 (refer tpreceeding graph):• SUpdate()• Tupdate()• SSecurity()• Tsecurity()• TadfinArg()

Note: These functions are still supported in Reuters PowerPlus Pro 4.5 (spreadsheets created iwill work in 4.5) but they do not appear in the list of functions.

The DeUpdate() function retrieves a table of values from a named data source (Reuters Secur3000 database, Reuters Treasury 3000 database for instance).Some retrieved fields like ADF_BONDSTRUCTURE, COUPON and MATURITY can be used aarguments in Adfin Bonds functions.

Arguments The DeUpdate() function is composed of 6 arguments:

Name Description

CodeList Identifies a list of instruments for which data are to be retrieusing valid security identifiers.

FieldList List of fields for which data are to be retrieved.

DestinationCell Identifies the top-left position to hold the table returned by tfunction.

MacroName The name of a macro to run on retrieval of data or refresh.

Conditions String containing one or more conditional parameters sepaby semicolons.

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rieving Single Values for an Instrument from the Reuters 3000 Database: DeUpdate()

0 28 February 2003 rfs-doc@reuters

Example usingeUpdate() withthe Securities

database

In this exercise we demonstrate how to find the name, the sector name, the price change on 1month, the price change on 3 months, the beta, the high price over the last 52 weeks and the lprice over the last 52 weeks of corresponding equity RICs codes using the DeUpdate() functioReproduce the following table.

DeMode Defines the format of the results, sets limits on the days for wdata are to be retrieved, and specifies whether results are refreshed automatically.

Name Description

Step Action

1 a. In cells C2:I2 enter the FieldList (to know the available FieldList open the on-line of DeUpdate() and click on the FiledList link).In our example the FieldList is:ORG_SHORT_NAME, GLOBAL_SECTOR_NAME, PRICE_PCT_CHG_1M, PRICE_PCT_CHG_3M, BETA, HIGH_52W, LOW_52W (in cells C2:I2 in our exam

b. In cells B3:B9 enter the CodeList (RIC of equities in our example).c. In cells B12 define the DeMode.

The keyword “SOURCE:EQUITY” is used to access the Reuters 3000 Equity database. It is a mandatory keyword except if this source has been set to default iDataEngine dialog box (to access from the Reuters toolbar, choose Settings, thenReference Data Engine, choose Equities 3000 as Source Type and check the Sedefault source check box.).

2 Choose cell B2, and choose Insert ➤ Function.

3 Choose Reuters 3000 DateEngine in Function Category and DeUpdate() in the Function Name then click OK.


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Example usingeUpdate() with

the Treasurydatabase

In this exercise we will demonstrate how to find the coupon, the maturity date, the Bond Structuthe Rate Structure, the issuer, the first coupon date and the frequency of corresponding bond Rcodes using the DeUpdate() function.

Note: Some retrieved fields like ADF_BONDSTRUCTURE, ADF_RATESTRUCTURE, COUPOand MATURITY can be used as arguments in Adfin Bonds analytic functions (see “AdfinBonds Functions” on page 145).

4 Enter the arguments to obtain the following formula=DeUpdate(B3:B9,C2:I2,C3,,,B12)

5 Click OK.The name, the sector name, the price change on 1 month, the price change on 3 mothe beta, the high price over the last 52 weeks and the low price over the last 52 weecorresponding equity RICs codes are displayed.

Step Action


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Reproduce the following table.

Step Action

1 a. In cells C2:I2 enter the FieldList (see “Complete list of available fieldnames for DataMapping” on page 103 to find out the list of fields available in the function).In our example the FieldList is COUPON, MATURITY_DATE, ADF_BONDSTRUCTURE, ADF_RATESTRUCTURE, ISSUER, FIRSTCP, FREQ

b. In cells B3:B9 enter CodeList (RIC of bonds).c. In cells B12 define the DeMode.

The keyword “SOURCE:TREASURY” is used to access the Reuters 3000 Fixed Income database. It is a mandatory keyword unless the TREASURY source is deas the default source.


3 Choose Reuters 3000 DateEngine in Function Category and DeUpdate() in the Function Name then click OK(see the figure in the preceding exercise).The dialog box of the DeUpdate() function appears.

4 Enter the arguments to obtain the following formula:=DeUpdate(B3:B9,C2:I2,C3,,,B12).

5 Click OK.The coupon, the maturity date, the Bond Structure, the Rate Structure, the issuer, thecoupon date and the frequency of corresponding bond RICs codes are displayed.


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omplete list ofavailable

fieldnames forDataMapping

To obtain the complete list of available field names for DataMapping, in the DeUpdate() functioclick the help icon in the function window and then click the FieldList argument. See the followifigure.


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Using theSecurities

InstrumentAssistant

Reuters PowerPlus Pro provides assistants to help you.

Step Action

1 From the menu bar, choose Reuters ➤ Assistant ➤ Security Instruments.Reuters PowerPlus Pro opens an assistant window.

2 Enter the RICs of the instruments in Code and click Add each time to add the coto Selected Subjects.

3 If you do not know the RIC of a given company type the name of the company Search Text and then click Search.RICs available for this company will be displayed in the Search Part or the Assistant.


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Step Action

4 Click Next to go to the fieldnames selection step in the Securities 3000 databasFields are classified by topics.

5 a. In the Fields by Category option, open the Equity folder by clicking the precedingsign.

b. In Equity, open the Equity Summary option.

6 Double-click the fieldnames to retrieve to add the codes to the accumulated lislabelled Selected Fields.

7 In the following example, choose Market Cap (Dollars), Revenue, Report CurrenCode, Price earnings Ratio, Global Sector Name, Earnings Per Share, Dividendshare.


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The fields requested are not fixed. It is possible to change the codes in the first column to obtadata on other instruments. You can extend the table to retrieve more data by adding or insertincolumns and entering field names. You should then edit the DeUpdate() function to ensure thafunction arguments include the new field selection.

8 In the Orientation option, choose Field values in columns to obtain the instrumerows. Click Finish.

A table appears with selected values and fieldnames defined in the Assistant steps.

Step Action


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Using theTreasury

InstrumentAssistant

Reuters PowerPlus Pro incorporates assistants to facilitate data retrieval. They let you use sophisticated utilities immediately. This is done by guiding you through a series of step-by-stepdialog boxes that ask questions or provide options from which to choose. Your answers and choenable the wizard to perform its task according to your specifications.

Step Action

1 From the menu bar, choose Reuters ➤ Assistant ➤ Treasury Instruments.An assistant window appears.

2 Enter a few RICs (<ZH5L>, <ZH3J>, <ZGXK>, <ZGTL>, <DE011672639=>) in Code/TCM and click each time on Lookup to enter them in theCode/TCM windo


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Step Action

3 Click Next to go to the fieldnames selection step in the Treasury 3000 database

4 In Fields by Category, open the Basic Terms & Conditions folder. Double click fieldnames to pass in the right part of the dialog box called Selected Subjects.In the following example, choose Issuer Name, Original Issue Date, Original Issue Amount, Original Issue Price, Lead Manager.


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As explained for the Security assistant, the retrieved data is not fixed. See “Using the SecuritieInstrument Assistant” on page 104 for more information.

Step Action

5 Click Next to go to the step of parameter settings of result format.

6 Click Finish.A table appears with selected values and fields.


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rieving Historical Data from the Reuters 3000 Database: DeHistory()


etrieving Historical Data from the Reuters 3000 Database: DeHistory()

DeHistory() DeHistory() function retrieves historical data for an instrument either from a specified table of Securities 3000 or Treasury 3000 databases. The fields to be retrieved are specified in the funarguments.This function replaces SHistory() and THistory().The function returns a table of data for a set of defined instruments and fields.

Arguments DeHistory() is composed of 7 arguments:=DeHistory(Code, TableName, FieldList, DestinationCell, MacroName, Conditions, DeMode)

Retrievinghistorical data

from Securitiesdatabase

The objective is to retrieve Reuters historical dividend. Reproduce exactly the following table:

Name Description

Code Identifies the instrument name for which data is to be retrie

TableName Name of the table or view in the Treasury 3000 or Securitie3000 databases from which data is to be retrieved.

FieldList String containing the fields to be retrieved.

DestinationCell Identifies the top-left position to hold the table returned by tfunction

MacroName Name of the macro used to run on retrieval of data or refres

Conditions String containing one or more conditional parameters separby semicolons.

DeMode Defines the format of the results, sets limits on the days forwhich data is to be retrieved, and specifies whether resultsrefreshed automatically.

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 5 Integration of Reuters 3000 Databaseistory()

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tion

Retrieving Historical Data from the Reuters 3000 Database: DeH


Step Action


2 Choose Reuters 3000 DataEngine in Function Category and DeHistory() in FuncName then click OK. Reuters PowerPlus Pro displays the DeHistory() function dialog box.a. In Code, choose cell C3:D3.b. In TableName, choose cell C4.c. In FieldList choose cell C5.

DPS_NET_ADJ fieldname is the adjusted net dividend.DPS_EX_DATE fieldname is the dividend ex date.DPS_GROSS_ADJ fieldname is the adjusted dividend value.

d. In DestinationCell, choose cell C9.e. In MacroName, leave blank.f. In Conditions, choose cell C6.g. In DeMode, choose cell C7.


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To retrieve all available arguments, refer to the online help for the DeHistory() function.The table is built dynamic. By typing an another instrument code, for example FTE.PA, in cell Cthe historical data for that equity is obtained immediately.

Retrievingistorical pricesand yield fromTreasury 3000

database

The objective is to retrieve British Benchmark Bond historical prices and yield.

3 Then click OK.

Step Action


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Reproduce the following table:

Step Action


2 Choose Reuters 3000 DataEngine in Function Category and DeHistory() in Funcname then click OK.Reuters PowerPlus Pro opens the DeHistory() dialog box.a. In Code, choose cell C3.b. In TableName, choose cell C4.c. In FieldList choose cell C5.d. In DestinationCell, choose cell C9.e. In MacroName, leave blank.f. In Conditions, choose cell C6.g. In DeMode, choose cell C7.

To retrieve all available arguments, refer to the online help for the DeHistory() fun


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S you



The table is dynamic. By typing an another instrument code, for example DE10YT=RR, in cell the historical data for that equity is obtained immediately.

Note: DeList() function retrieves all price sources for a Bond (see the previous chapter). It is apossible to retrieve, for example, the last 200 values of a set of data by using EVENTS:2keyword in the Conditions argument in place of START and END keywords.

Using theecurity History

Assistant:

Reuters PowerPlus Pro incorporates assistants to facilitate data retrieval. These assistants letuse complex utilities immediately.

3 Then click OK.

Step Action


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Step Action

1 Choose the Reuters menu, the Assistant option then Security History. The Security History Assistant appears.

2 Enter the company RIC selected in the Code text box and click Add to access inright part of the dialog box called Selected Subjects.

3 Click Next to pass to the fieldnames selection step in the Securities 3000 databFields are classified there by topics.a. In the Fields by Category option, open the Equity folder by clicking the preceding

sign. In Equity, open the Company Reports option then the Report Information Hioption.


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4 Double-click the fieldnames to be retrieved to pass to the right part of the dialogcalled Selected Fields.a. In the Report Information History option, choose the Period End Date and Report

Currency Code fields.b. In the P&L/Balance Sheet History option, choose the Revenue and Net Attributab

fields.

Step Action


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5 Click Next to pass to the step of property result.

6 Choose the Consolidated option.See the preceding figure.

7 For the Period End Date field, enter 10 to obtain the last 10 years.

8 Choose the Final option in the Period Type list box.

Step Action


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9 Click Next to pass to the step of parameter settings of result format.

a. In the Orientation text box, choose Field values in columns to obtain the instrumenline.

b. In the No. of Rows text box, enter 20.

Step Action


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ccess 10 years daily historical

data

Reuters PowerPlus Pro enables you to retrieve more than 10 years of daily historical data.

10 To finish, click Finish.A table appears with selected values and fields. The data retrieved are not fixed. It is

possible for example to modify the RTR.L code to MSFT.O (in the cell B2) to obtain tsame data for Microsoft SA.

Step Action

Step Action

1 Choose the Reuters menu, the Assistant option then Security History.


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2 The Security History Assistant appears. Enter a RIC (or other instrument code)the Combo box labelled Code and click Add to add the code to the list labelledSelected Subjects.

3 Click Next to go to the fieldnames selection step in the Wizard.Fields are classified by topics.

4 In the Fields by Category option, open the Equity folder by clicking the precedisign. In Equity, open the Equity Price History option.

Step Action


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Step Action

5 In the Equity Price History option, choose the Trade Date, Close and Volume fie


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Step Action

6 Click Next to go to the property result step.

a. Choose Daily in the Frequency option.b. In the Trade Date option, enter 10 in the From zone.


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Step Action

7 Click Next to go to the format step.

a. In the Orientation text box, choose Field values in columns to obtain the instrumenrows.

b. In the No. of Rows text box, enter 2500.


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Step Action

8 Click Finish.A table appears with selected values and fields. The retrieved data is not fixed. It is

possible to modify the RTR.L code to MSFT.O, for example, (in cell B2) to obtain the sdata for Microsoft (10 years of historical data).


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Using Treasurystory Assistant

The Treasury Data - History Assistant is similar to the Treasury Data List Assistant.It is for example possible to retrieve an historical coupon on a floater (<XS003926907=>).

The field used is FRNCP (Floating Rate Coupon History).


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Step Action

1 Click the All Events option at the step of historical property result. In the No. oRows text box, enter 20.


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Step Action

2 In the Orientation text box, choose Field values in columns to obtain the instruments on line.


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Step Action

3 To finish, click Finish.A table appears with selected values and field.


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tion

rieving Time Series Data from the Data Backup Unit Server: DeHistory()


etrieving Time Series Data from the Data Backup Unit Server: DeHistor

The Data Backup Unit Server (DBU) is a real-time historical time series data server that suppliedata on request to graphics or Time Series based client applications. It is a source sink library (application (running through SSLRV for Rendez-Vous platforms) and can connect to one or moMarketFeed data from which it derives both real-time intra-day and inter-day historical time serThe new DeHistory() function permits to retrieve these data via the Data Engine ActiveX (DEXDBU is now the preferred source of time series data in Reuters PowerPlus Pro.

etrieving Timeand Sales from

DBU:

The objective is to retrieve the last 10 Reuters Time and Sales.Reproduce exactly the following table:

Step Action


2 Choose Reuters 3000 DataEngine in Function Category and DeHistory() in Funcname then click OK.The dialog box of the DeHistory() function appears.a. In Code, choose cell C3.b. In TableName, choose cell C4.c. In FieldList choose cell C5.d. In DestinationCell, choose cell C9.e. In MacroName, leave blank.f. In Conditions, choose cell C6 (INTERVAL:TAS for Time and Sales, EVENTS:10

specifies the number of events to retrieve)g. In DeMode, choose cell C7.

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le

Retrieving Time Series Data from the Data Backup Unit Server: DeHi


To retrieve all available arguments, refer to the online help for the DeHistory() function.The table is built dynamic. By typing an another instrument code, for example FTE.PA, in cell Cthe last 10 Time and Sales data for that equity is obtained immediately.

Using the Timeries Assistant:

Reuters PowerPlus Pro provides Assistant to help you.This Time Series Data Assistant will only be usable if DBU (Data Backup Unit Server) habeen installed, if DBU is not available, it possible to use the Real-Time history Assistant, as explained in Reuters PowerPlus Pro Administration Guide (also refer to the part called “Exampwith the Real-Time History Assistant”).

3 Then click OK.

Step Action


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Step Action

1 Choose the Reuters menu, the Assistant option then Time Series Data.The Time Series Data Assistant appears.

2 Enter a few RICs (<RTR.L>, <VOD.L>, <MNU.L>), selected in the Code text box click Add to pass to the right part of the dialog box called Selected Subjects.

3 Click Next to pass to the fieldnames selection step in the DBU server.Fields are classified there by topics. In the Field/Frequency option, open the LAST TRADE folder by clicking the precedinsign. In LAST TRADE, open the TAS option.

4 Double-click the fieldnames to be retrieved to pass to the right part of the dialogcalled Selected Fields.


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5 Choose the TIMESTAMP and VALUE fields.

Step Action


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6 Click Next to pass to the step of property result.

7 Choose the Start Date option (see the preceding figure), then for the Period StaDate field, the date and the time requested

8 Enter 25 in the Data Points field to obtain the last 25 data.

Step Action


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9 Click Next to pass to the step of parameter settings of result format.In Orientation, choose Field values in columns to obtain the instruments on line.

Step Action


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10 To finish, click Finish.A table appears with selected values and fields.

The data retrieved are not fixed. It is possible for example to modify the RTR.L code MSFT.O (in the cell B2) to obtain the same data for Microsoft SA.

Step Action

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Retrieving a List of Similar Information for an Instrument: D


etrieving a List of Similar Information for an Instrument: DeList()

DeList() In Reuters PowerPlus Pro 4.5, the DeList() function replaces the following functions of ReutersPowerPlus Pro 4.0:• SList()• TList()

Note: These functions are still supported in Reuters PowerPlus Pro 4.5 (spreadsheets created iwill work in 4.5) but they do not appear in the list of functions.

From the Reuters Securities 3000 database, the DeList() function retrieves the constituents ofindex. The index is specified in the parameters.From the Reuters Treasury 3000 database this function makes it possible to retrieve lists of RIclearing codes, rating sources, and price sources.

Arguments The DeList() function is composed of 7 arguments:

Name Description

Code Identifies the instrument name for which data is to be retrie

TableName Name of the table in Securities 3000 or Treasury 3000 databases from which data are to be retrieved.

FieldList Name of the table in Securities 3000 or Treasury 3000 databases from which data are to be retrieved.

DestinationCell Identifies the top-left position to hold the table returned by tfunction


Conditions String containing one or more conditional parameters sepaby semicolons.

DeMode Defines the format of the results, sets limits on the days for wdata are to be retrieved, and specifies whether results are refreshed automatically.


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rieving a List of Similar Information for an Instrument: DeList()


Example usingeList() with the

Securitiesdatabase

In this exercise we will demonstrate how to find the index constituents of the Footsie using the DeList() function.Reproduce the following table.7

Step Action

1 a. In cell B3, enter the Code (a chain in our example: .FTSE for Footsie)b. In cell B4 enter the TableName.

When data are retrieved from the Securities 3000 database as it is the case in thiexercise, the only TableName argument available is INDEX_CONSTITUENTS.

c. In cell B5 enter the DeMode.The keyword “SOURCE:EQUITY” is used to access the Reuters Equity 3000 database.When the keyword “H” or “HEADER:YES” or “HE” is present in the DeMode argustring, data results include column names.

2 Choose cell D1, and choose Insert ➤ Function.

3 Choose Reuters 3000 DateEngine in Function Category and DeList in the FuncName then click OK (see the figure in the DeUpdate() part).The dialog box of the DeList() function appears.

4 Enter the arguments to obtain the following formula:=DeList(B3,B4,,D4,,,B5)

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Dt()

Retrieving a List of Similar Information for an Instrument: D


Example usingeList() with the

Treasurydatabase

In this exercise we will demonstrate how to find a Bond RIC from an ISIN code using the DeLisfunction.

5 Click OK.The constituents of the Footsie Index are displayed.

Step Action


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rieving a List of Similar Information for an Instrument: DeList()



Step Action

1 a. In cell B3, enter the Code (an ISIN code in our example).b. In cell B4 enter the TableName. Go to the On-Line help to have some more inform

about table name available in the Reuters 3000 Treasury database.c. In cell B5 enter the DeMode.

The keyword “SOURCE:TREASURY” is used to access the Reuters Treasury 30database.When the keyword “H” or “HEADER:YES” or “HE” is present in the DeMode argustring, data results include column names.


3 Choose Reuters 3000 DateEngine in Function Category and DeList() in the FuncName then click OK (see the figure in the DeUpdate() part).The dialog box of the DeList() function appears.

4 Enter the arguments to obtain the following formula:=DeList(B3,B4,,D4,,,B5)

5 Click OK.The RICs corresponding to the bond ISIN code are displayed in the column “D” (refethe preceding picture).

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Sending SQL Requests to the 3000 Database: DeQ


ending SQL Requests to the 3000 Database: DeQuery()

This chapter is recommended only for those users familiar with SQL syntax.

DeQuery() DeQuery() function sends an SQL request to the Securities or Treasury 3000 database. The reqmust be a SELECT request. The DataEngine checks the SQL syntax embedded in the query prpassing it to the database.This function replaces Ssql().

Arguments DeQuery() function is composed of 5 arguments:=DeQuery(RequestString, DestinationCell, Conditions, MacroName, DeMode)

Databasestructure

SQL queries enable you to send queries directly to the Securities 3000 database. A web-site, cthe Reuters Data Encyclopaedia, is at your disposal on Reuters Web, which details the structutables and fields of the Securities 3000 database. To access it, choose the Reuters menu of Reuters PowerPlus Pro then Help and Reuters DatEncyclopaedia.

Name Description

RequestString String containing the SELECT request.

DestinationCell Identifies the top-left position to hold the table returnby the function.


Conditions String containing one or more conditional parameters separby semicolons.

DeMode Defines the format of results and whether data are refresheautomatically. This argument is optional.

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ding SQL Requests to the 3000 Database: DeQuery()


Example withSQL requests

SQL request to use to obtain the RIC name from GB0002369139 ISIN code:

SELECT RIC FROM CODE_SRCH WHERE Official_Code = 'GB0002369139' AND Official_Code_Scheme = 'ISN' and primary_quote_ind = 'Y'

Step Action

1 Choose cell A5, and choose Insert ➤ Function.

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tion

Sending SQL Requests to the 3000 Database: DeQ


2 Choose Reuters 3000 DataEngine in Function Category and DeQuery() in Funcname then click OK.The dialog box of the DeQuery() function appears.

3 a. In RequestString, choose cell B2 that contains the SQL request.b. In DeMode, choose cell B3.

4 Then click OK.The Ric name for GB0002369139 ISIN code appears in cell B7.

Step Action

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ding SQL Requests to the 3000 Database: DeQuery()


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CHAPT

Con


ER 6 ADFIN BONDS FUNCTIONS

tents • Adfin Bonds Exercises• Structure Concepts• Adfin Bonds Functions• Floating Rates Notes• Convertible Bonds• Example: The Cheapest to Deliver

Chapter 6 Adfin Bonds Functions Reuters PowerPlus Pro 4.5.1 WorkbookAdf

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in Bonds Exercises


dfin Bonds Exercises

Purpose This chapter provides a complete series of exercises in which most Adfin Bonds functions are

Pre-requisiteknowledge

Adfin bonds functions require knowledge of real-time functions, RtUpdate() in particular and theDeUpdate() function.

fore you begin Before using the Adfin Bonds calculation functions, you must:• retrieve the real-time data for the bonds i.e. the issuer name, the coupon rate, the maturity

the bid price, the ask price, and the price sources. • use the fields DISPLAY NAME, COUPON RATE, MATURITY DATE, PRIM ACT 1, SECON

ACTIVY 1 and CONTRIBUTOR 1 respectively. • reproduce the following table (note the cell addresses) by using the RtUpdate() function to o

real-time links on the selected fields. For more details on the RtUpdate() function, see “Integration of Real Time Data: Adfin Real Time Functions” on page 29.

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 6 Adfin Bonds Functionsncepts

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Structure Co


ructure Concepts

BondStructureargument

Most of the Adfin Bonds functions use the BondStructure. The BondStructure is a group ofarguments that specify all the parameters of the instrument necessary for the accurate generaticash flows. For example, a BondStructure defines the coupon frequency, the national or international caleto use, etc... Reuters PowerPlus Pro also provides some BondStructure styles for the principal types of botraded around the world.

How to viewBondStructure

stylesStep& Action

1 Choose Reuters ➤ Settings ➤ Style Management ➤ Bond Styles.

Chapter 6 Adfin Bonds Functions Reuters PowerPlus Pro 4.5.1 WorkbookStru

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this bond

cture Concepts


2 Double click EUR1 European Treasury Bonds (Annual) BondStructure.A dialog box opens indicating all the parameters of calculation taken into account by BondStructure. You must use EUR1 structure in the BondStructure argument of the functions to price a European Treasury bond.

Step& Action


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Structure Co


The structures contained in Style Management are generic structures intended to facilitate theof Adfin Bonds functions.

ow to create anew bondstructure

You can create your own structures on the basis of the existing structures.

TAdfinArg() In Reuters PowerPlus Pro 4.0, TAdfinArg() function retrieved terms and conditions from the ReTreasury 3000 database. The functionality of TAdfinArg() is now supported by the DeUpdate(function (see “Integration of Reuters 3000 Database” on page 91).In our exercise, the DeUpdate() function is used to retrieve the BondStructure owing to the ADF_BONDSTRUCTURE fieldname.Obtain the BondStructure for each bond with the DeUpdate() function in column I:

RateStructureargument

Most of the Adfin Bonds functions use the RateStructure of a bond. The RateStructure is a gof arguments, which specify the rate model for pricing instruments (yield calculation parameterFor example, a RateStructure defines the day count basis, the yield calculation method, the ramodel (Yield Curve, BDT, Vasicek-Fong model), if rates or discount factors are used...

Step Action

◆ Choose the structure of your choice in the Style Management dialog box then cNew.Alternatively, you can specify the set of characteristics of your bond directly in the AdBonds functions (BondStructure argument).


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Reuters PowerPlus Pro also provides some RateModel styles for the principal types of yield calculation conventions available.

How to viewteModel styles Step Action

1 Choose Reuters ➤ Settings ➤ Style Management ➤ Yield To Maturity Styles.


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Structure Co


The structures contained in Style Management are generic structures intended to facilitate theof Adfin Bonds functions.

ow to create anew structure


DeUpdate() function retrieves RateStructure from the Reuters Treasury 3000 database. See “Integration of Reuters 3000 Database” on page 91.

2 Double click AA, Yield To Maturity model. A dialog box opens indicating all the parameters of calculation taken into account by RateStructure .You must use AA style in the RateStructure argument of the bond functions to price a bond instrument using Isma Yield to Maturity.

Step Action

Step Action

◆ Choose the structure of your choice in the Style Management dialog box then cNew.Alternatively, you can specify the set of characteristics of your bond directly in the AdBonds functions (RateStructure argument).


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In our exercise, the DeUpdate() function is used to retrieve the RateStructure owing to the ADF_RATESTRUCTURE fieldname.Obtain the RateStructure for each bond with the DeUpdate() function in column J:

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Adfin Bonds Fu


dfin Bonds Functions

BdSettle() BdSettle() function calculates the settlement date using a BondStructure.

Arguments BdSettle() function is composed of 2 arguments:=BdSettle(CalcDate, BondStructure)

Example usingBdSettle()

Name Description

CalcDate Calculation date (trade date, in this case).

BondStructure Extended argument defining the BondStructure.

Step Action

1 Enter the current date in cell K4.Use the Excel function =TODAY().

2 Choose cell K6, and choose Insert ➤ Function.

3 Choose Adfin Bonds in Function Category and BdSettle() in Function name theclick OK.The BdSettle() function dialog box appears.a. In CalcDate, choose cell K4 and specify the absolute address $K$4.b. In BondStructure, choose cell I6.

4 Click OK.The settlement date for the first bond in the table then appears in cell K6.


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AdBondYield() AdBondYield() calculates the Yield To Maturity of non optionable bonds. Calculates the yieldscall/put dates of optionable bonds.

Arguments AdBondYield() function is composed of 8 arguments:=AdBondYield(SettlementDate, Price, Maturity, Coupon, BondStructure, RateStructure, AdMod

5 Fill down from cell K6 to obtain the settlement dates for all the bonds.

Step Action

Name Description

SettlementDate Settlement date.

Price Clean or gross price in % of the nominal.

Maturity Maturity date of the bond.

Coupon Nominal coupon rate of the bond.

BondStructure Extended argument defining the bond structure.

RateStructure Extended argument defining the rate structure.

AdMode Extended argument customising the return value.


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Adfin Bonds Fu


Example usingAdBondYield() Step Action

1 Choose cell L6, and choose Insert ➤ Function.

2 Choose Adfin Bonds in Function Category and AdBondYield() in Function namthen click OK.The dialog box of the AdBondYield() function appears.a. In SettlementDate, choose cell K6.b. In Price, choose cell F6.c. In Maturity, choose cell E6.d. In Coupon, choose cell D6.e. In BondStructure, choose cell I6.f. In RateStructure, choose cell J6.Note: Put % for the price of the bond and the coupon rate.The price can be expressed in cash, when the NOTIONAL keyword is used in the BondStructure to define the face value of the bond.

3 Click OK.The yield to maturity for the first bond in the table appears in cell L6.

4 Fill down from cell L6 to obtain the yield to maturity of all bonds.


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AdBondDeriv() AdBondDeriv() function calculates the derivatives of a bond (Price, Option Free Price, VolatilPVBP, Duration, Average Life, Convexity) using a bond structure.

Arguments AdBondDeriv() function is composed of 9 arguments:=AdBondDeriv(SettlementDate, RateArray, Maturity, Coupon, Spread, BondStructure, RateStructure, CalcStructure, AdMode)

Example usingAdBondDeriv()

Name Description


RateArray Yield To Maturity.



Spread Spread value.


RateStructure Extended argument defining the rate structure.

CalcStructure Extended argument defining the calculation method.


Step Action

1 Choose cell M6, and choose Insert ➤ Function.

2 Choose Adfin Bonds in Function Category and AdBondDeriv() in Function namthen click OK.The dialog box of the AdBondDeriv() function appears.a. In SettlementDate, choose cell K6.b. In RateArray, choose cell L6.c. In Maturity, choose cell E6.d. In Coupon, choose cell D6.e. In Spread, put 0.f. In BondStructure, choose cell I6.g. In RateStructure, choose cell J6.Note: Put % for the price of the bond and the coupon rate.


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Adfin Bonds Fu


AdBondDeriv() is a function containing 8-cells array (Price, Option Free Price, Volatility, PVBPDuration, Average Life, Convexity, Yield To Worst / Yield To Best date)

3 Click OK.The first value (Price) for the first bond in the table appears in cell M6.

Step Action

1 Choose an array of cells (M6:T6) such as the original cell is at the upper-left coof the array.

2 Press F2 to edit the function in the cell.

3 Press CTRL+SHIFT+ENTER to convert it into an array function.

4 Fill down from cells M6:T6 to obtain the derivatives of all the bonds.

Step Action


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in Bonds Functions


Accrued() Accrued() function calculates the accrued interest using a BondStructure.

Arguments Accrued() function is composed of 4 arguments:=Accrued(CalcDate, Maturity, Coupon, BondStructure)

Example usingAccrued()

CfYld() CfYld() function calculates the yield from price using cash flows.

Arguments CfYld() function is composed of 5 arguments:

Name Description

CalcDate Calculation date (settlement date, in this case).




Step Action

1 Choose cell U6, and choose Insert ➤ Function.

2 Choose Adfin Bonds in Function Category and Accrued() in Function name theclick OK.The dialog box of the Accrued() function appears.a. In CalcDate, choose cell K6.b. In Maturity, choose cell E6.c. In Coupon, choose cell D6 (Put %).d. In BondStructure, choose cell I6.

3 Click OK.The accrued interest for the first bond in the table appears in cell U6.

4 Fill down from cell T6 to obtain the accrued interest values of all the bonds.

Name Description

CalcDate Calculation date (settlement date, in this case).

GrossPrice Clean price plus accrued interest expressed in the same uncash flows

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Example C


usingfYld()


CfDates Array of cash flow dates corresponding to the bond reimbursement

Cf Array of cash flow values corresponding to the bond reimbursement

CalcMethod Extended argument defining the calculation method

Name Description

Step Action


2 Choose the Adfin Bonds category then the CfYld() function and click OK.

3 Choose cell B1 in CalcDate then B2 in GrossPrice.


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4 Choose the range A4:A8 in CfDates then B4:B8 in Cf.

5 Enter CLDR:EMU CM:AA in CalcMethod to specify the calendar and the calculamethod used. Click OK.

Step Action


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6 Follow the same procedure in cells B11 and B12 to calculate the duration and modified duration using the functions CfDur() and CfVol(), respectively.

Step Action

Chapter 6 Adfin Bonds Functions Reuters PowerPlus Pro 4.5.1 WorkbookFlo

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ating Rates Notes


oating Rates Notes

Objective The objective is to calculate the price and the cash flows from a Zero-coupon curve of a Euro-Floating Rates Notes.Reproduce the following table for the Floating Rates Notes calculation:

FrnPx() The FrnPx() function calculates the price from a yield curve of a floating rate instrument.

Arguments FrnPx() function is composed of 9 arguments:

Name Description

CalcDate Calculation date.

ZcDates Array of zero-coupon date.

ZcRates Array of zero-coupon rates or discount factors.

StartDate Start date of the FRN (issue date).

Maturity Maturity date of the FRN.

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Floating Rates


Example usingFrnPx()

QuotedMargin Margin applied to the index.

FloatingRateArray Array of floating leg rates.

FrnStructure Extended argument defining the FRN structure.

FrnMode Extended argument customizing the return value.

Name Description

Step Action


2 Choose Adfin Bond in Function Category and FrnPx() in Function name then cOK.The dialog box of the FrnPx() function appears.a. In CalcDate: choose cell C4 the settlement date.b. In ZcDates: choose cells E5:E18 the zero-coupon dates.c. In ZcRates: choose cells F5:F18 the zero-coupon rates.d. In StartDate: choose cell C5 the start date of the FRN.e. In Maturity: choose cell C6.f. In QuotedMargin: choose cell C8 the margin applied to the index.g. In FlotingRateArray: choose cell C9 defining the value.h. In FrnStructure: choose cell C10.i. In FrnMode: choose cell C11.


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ating Rates Notes


rnCashFlows() FrnCashFlows() function generates an array with the remaining cash flows of a floating rate instrument.

Arguments FrnCashFlows() function is composed of 9 arguments:

3 Click OK.The Price of the floating rate notes appears in cell C14.

Step Action

Name Description


ZcDates Array of zero-coupon date.


StartDate Start date of the FRN (issue date).

Maturity Maturity date of the FRN.

QuotedMargin Margin applied to the index.

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Example usingrnCashFlows()

FrnCashFlows() is a function containing 4-column array array (Payment Date, Cash flows valuRate and Discount factor)

FloatingRateArray Array of floating leg rates.

FrnStructure Extended argument defining the FRN structure.

FrnMode Extended argument customizing the return value.

Name Description

Step Action


2 Choose Adfin Bond in Function Category and FrnCashFlows() in Function namthen click OK. The dialog box of the FrnCashFlows() function appears.a. In CalcDate: choose cell C4 the settlement date.b. In ZcDates: choose cells E5:E18 the zero-coupon dates.c. In ZcRates: choose cells F5:F18 the zero-coupon rates.d. In StartDate: choose cell C5 the start date of the FRN.e. In Maturity: choose cell C6.f. In QuotedMargin: choose cell C8 the margin applied to the index.g. In FloatingRateArray: choose cell C9 defining the value of the current index.h. In FrnStructure: choose cell C10.i. In FrnMode: choose cell C11.

3 Click OK. The first Payment Date of the floating rate notes appears in cell B20.

Step Action

1 Choose an array of cells (B20:C27) such as the original cell is at the upper-left corner of the array.



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ating Rates Notes



Step Action

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Convertible


onvertible Bonds

Reuters PowerPlus Pro V.4.5 supports the following convertible instruments that can be pricedvanilla, premium redemption, puttable, callable (hard and soft call), step up and multiple CurrenAdfin Bonds provides two groups of function:• Convertible-oriented (price, premium, implied vol, ratios and greeks).• Bond-oriented (cashflows, bond derivatives, yield).According to the following models:• One-factor model where the diffusion process concerns the stock price (in a tree for the bino

tree, in a mesh for finite differences).• A two-factor model (two-factor trinomial tree, with Hull & White process for the rate factor).

Retrievingconvertiblebonds data

To calculate a convertible bond price and its derivatives, the following data must be retrieved frthe datamapping (see “Integration of Reuters 3000 Database” on page 91):


Field Names Results returned by DeUpdate()

ADF_SETTLE The settlement rule

ADF_COUPON The coupon rate of the convertible bond

ADF_MATDATE The maturity date of the convertible bond

ADF_STRUCTURE The structure of the convertible bond

ADF_RATESTRUCTURE The ratestructure of the convertible bond

Step Action


2 Selection Reuters 3000 DataEngine in Function category and DeUpdate() in Function name then click OK.The dialog box of the DeUpdate() function appears. DeUpdate() is composed of 6 arguments (see “Integration of Reuters 3000 Database” on page 91 for more informa

Chapter 6 Adfin Bonds Functions Reuters PowerPlus Pro 4.5.1 WorkbookCon

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vertible Bonds


An equity historical volatility, needed for the convertible bond calculations, can be retrieved fromReuters database.

3 a. In CodeList: choose the RIC of the convertible bond (FR0180=, cell C4).b. In FieldList: choose the field names (ADF_SETTLE, ADF_COUPON, ADF_MATD

ADF_STRUCTURE, ADF_RATESTRUCTURE; cells B5:B9).c. In DestinationCell: choose cell C5.d. In DeMode: type SOURCE:TREASURY LAY:V.

4 Click OK.The settlement rule, coupon rate, maturity date, convstructure and ratestructure appearray of cells C5:C9.

Step Action


2 Selection Reuters 3000 DataEngine in Function category and DeUpdate() in Function name then click OK.The dialog box of the DeUpdate() function appears. DeUpdate() is composed of 6 arguments (“Integration of Reuters 3000 Database” on page 91 for more information

Step Action


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Convertible


Retrieve the real-time data for the underlying equity.

3 a. In CodeList: choose the RIC of the underlying stock (EAUG.PA; cell C12).b. In FieldList: choose the field name (VOLATILITY_90D; cell B13).c. In DestinationCell: choose cell C13.d. In DeMode: type SOURCE:EQUITY.

4 Click OK.The historical 90 days volatility for the underlying equity appears in cell C13.

Step Action


2 Selection Adfin Real Time in Function category and RtUpdate() in Function namthen click OK.The dialog box of the RtUpdate() function appears. RtUpdate() is composed of 6 arguments ( see “Integration of Reuters 3000 Database” on page 91 for more informa

3 a. In SourceAlias: type IDN.b. In InstrumentArray: choose the RIC of the underlying stock (EAUG.PA; cell C16).c. In FieldNameArray: choose the field names (LAST, YIELD; cells B17:B18).d. In DestinationCell: choose cell C17.e. In RtMode: type LAY:V.

Step Action


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vertible Bonds


AdConvPrice() AdConvPrice() calculates the main values of a convertible bond using a conversion structure (Theoretical price, Equity premium, Option premium, Total premium, Straight value, Break-evenperiod).

Arguments AdConvPrice() function is composed of 9 arguments:

4 Click OK.The last quoted price and the annual continuous dividend rate appear in cells C17:C

Step Action

Name Description


Maturity Maturity date of the convertible bond.

Coupon Coupon rate, expressed as a percentage.

RateArray Argument defining the interest rate model in the bond curre· Single-factor models: single interest rate or zero-coupon a· Two-factor model: a [dates/rates/rate volatilities/mean reversions] array.

EquityPrice Spot price of the underlying instrument.


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Example usingAdConvPrice()

EquityVolatility Volatility of the underlying instrument.

EquityDivArray Annual dividend rate or array of dividend dates and amoun

SpotFX Spot rate for the cross currency.

Spread Credit spread of the issuer expressed in basis points.

ConvStructure Extended argument defining the convertible structure.

RateStructure Extended argument defining the structure of the interest ratmodel.


AdMode Extended argument customizing the return value.

Name Description

Step Action


2 Choose Adfin Bond in Function Category and AdConvPrice() in Function name click OK.The dialog box of the AdConvPrice() function appears.


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vertible Bonds


3 a. In SettlementDate: choose cell C21 the settlement date.b. In Maturity: choose cell C7 the maturity date.c. In Coupon: choose cell C6 the coupon rate (in percentage).d. In RateArray: choose cell C22 the risk free rate (in percentage).e. In EquityPrice: choose cell C17 the spot price of the underlying.f. In EquityVolatility: choose cell C13 the volatility of the underlying (in percentage).g. In EquityDivArray: choose cell C18 the dividend rate (in percentage).h. In SpotFX: leave blank.i. In Spread: choose cell C23 the credit spread in basis point.j. In ConvStructure: type the formula “IOTYPE:CASH “&C8.

IOTYPE:CASH keyword determines that inputs and outputs are expressed in thecurrent currency.

k. In RateStructure: choose cell C9.l. In CalcStructure: choose cell C24.

CMT:TREE keyword specifies that the calculation model type is tree model (by dea tree is a one-factor tree).TITER:30 specifies that the number of discrete time steps is 30.

m. In AdMode: choose cell C25.

Step Action


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Convertible


AdConvPrice() is a function containing 6-cells array (Theoretical price, Equity premium, Optiopremium, Total premium, Straight value, Break-even period).

4 Click OK.The convertible bond price appears in cell B27.

Step Action

1 Choose an array of cells (B27:C32) such as the original cell is at the upper-left corner of the array.



Step Action

Chapter 6 Adfin Bonds Functions Reuters PowerPlus Pro 4.5.1 WorkbookExa

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mple: The Cheapest to Deliver


xample: The Cheapest to Deliver

This exercise demonstrates how to calculate in real-time the cheapest to deliver bond from the Bfutures contract.Follow these steps to calculate the cheapest to deliver bond:• Retrieve the RICs corresponding to the bond futures contract;• Calculate the conversion factor. This can be done using the BdConvFactor() function;• Calculate the futures price (=Price of the bond futures contract * Conversion factor);• Calculate the implied repo rate. The highest positive implied repo rate gives the CTD bond.

Step Action

1 Enter the following:a. in cell A1 the Bund contract code FGBL b. in cell B1 the maturity code (for example U0 for Sept. 2000 / cf. Page <RULES2>

RTW or Kobra workstations).c. In cell A3, enter the RtChain() function.d. IDN in Source Alias.

2 Reproduce the following RICs: <FGBLU0=DLV> a. Enter A1&B1&"=DLV" in InstrumentCode.b. Choose cell B3 in DestinationCell.c. Enter LIVE:YES in RtMode to ensure all changes to the basket of deliverable bon

are considered.

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 6 Adfin Bonds FunctionsDeliver

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Example: The Cheapest to


3 Click OK.

All RICs appears in cells B8:B11.

Step Action


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Step Action

4 Use the RtUpdate() function in cell B7, to retrieve real-time data for the followinfields: DISPLAY NAME, COUPON RATE, MATURITY DATE, PRIM ACT 1.


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5 a. In column G, retrieve the BondStructures for all bonds with the DeUpdate() functiob. In column H, calculate the settlement date with the BdSettle() functionandc. In column I, the yield to maturity with the AdBondYield() function.

d. In column J, calculate the conversion factor of the bonds with the BdConvFactor(function (see “BdConvFactor() arguments” on page 180).

Note: Apply the percentage format (%) to the Coupon argument.

6 In column K, calculate the future price for each bond.Future price = price of the bond futures contract (in cell B4) * conversion (in column J

Step Action


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7 Enter the AdStyleAttribute() function in cell D3 to find the nominal rate of the bfutures contract.a. In StyleTable, enter BDFUTURE.b. In StyleCode, choose cell A1.c. In StyleAttribute, enter RATE.The nominal rate of the bond futures contract appears in cell D3.

Step Action


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8 In D4, enter the BdConvFactor() function.a. In BondFutStructure, choose cell A1.b. In MaturityCode, choose cell B1.c. In Maturity, choose cell E.d. In Coupon, choose cell D3.e. In BdMode, enter RET:3.

Step Action


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dConvFactor()arguments

This function is composed of 6 arguments:

9 The end date of the delivery period appears in cell D4.a. In column L, enter the BdRepo() function.b. In CalcDate, choose the calculation date (column H).c. In Horizon Date, choose the end date of delivery period (cell D4).d. In NPV, choose the price of the bond in percentage format (column F).e. In FV, choose the future value in percentage format (column K).f. In RepoRate, enter nothing.g. In Maturity, choose the maturity date of the bond (column E).h. In Coupon, choose the coupon rate of the bond in percentage format (column D).i. In BondStructure, choose the BondStructure of the bond (column G).j. In RepoMode, enter RES:IMPRATE NPV:C FV:C

The implied repo rate appears in the range L8:L11.The highest positive implied repo rate gives the Cheapest To Deliver bond.

Step Action

Name Description

BondFutStructure Extended argument defining the bond futures structure.

MaturityCode String defining the 3-month futures contract maturity (exam"Z6").



ConvMode Extended argument defining deliverable bond oddities.

BdMode Extended argument customising the return value.

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CHAPT

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ER 7 ADFIN TERMSTRUCTURE FUNCTIONS

tents • Zero Coupon Yield Curve: Bootstrapping Method• Calculate a Forward Yield Curve• Zero Coupon Yield Curve: Vasicek-Fond Method• Zero Coupon Yield Curve: Basis Spline Method

Chapter 7 Adfin TermStructure Functions Reuters PowerPlus Pro 4.5.1 WorkbookZer

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o Coupon Yield Curve: Bootstrapping Method


ro Coupon Yield Curve: Bootstrapping Method

The objective is to build a European Zero Coupon yield curve based on deposits and GovernBonds.Reproduce the following table for Zero Coupon Curve calculation (C6:H25):• Instrument Type (D for deposits, B for Bonds)• Maturity date and Coupon rate for each Bond (see “Integration of Reuters 3000 Database”

page 91 for more information)• Bid price for Deposit and Bond instruments (can be retrieved from Real Time, see “Integrati

Real Time Data: Adfin Real Time Functions” on page 29).• Instrument structure for Deposit (EUR) and Bond (EUR1) instruments.

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Zero Coupon Yield Curve: Bootstrapping M


Calculate the Start and Maturity dates of the short period curve:

The FxCalcPeriod() is composed of 4 arguments:

FxCalcPeriod() is a function returning a 4-cells array (Start date and End date, Adjustment explanation, non-adjusted end date).

Step Action


2 Choose Adfin Forex & MM in Function Category and FxCalcPeriod() in Functioname then click OK.The dialog box of the FxCalcPeriod() function appears.

Name Description

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.

Step Action

1 a. In CalcDate: choose the trading date (E3). Put the absolute address ($E$3).b. In Cur1Cur2: enter the cross currency code (EUR, cell H6).c. In Period: enter the period code (ON located in the column B).

2 Click OK.The start date for the first period code (ON) appears in cell D6.

Step Action

1 Choose an array of cells (D6:E6) so that the original cell is at the left hand sidethe array.



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3 Press CTRL+SHIFT+ENTER to make it an array function.Fill down from cells D6:E6 to obtain the Start and End dates of all the deposits.

Step Action


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• Calculate the Start date of the long part of the curve (maturity greater than 2 years):

The BdSettle() function is composed of 2 arguments:

Step Action


2 Choose Adfin Bonds in Function Category and BdSettle() in Function name theclick OK.The dialog box of the BdSettle() function appears.

Name Description


BondStructure Extended argument defining the bond structure

Step Action

1 a. In CalcDate: choose the trading date (E3). Put the absolute address ($E$3).b. In BondStructure: choose cell H15.


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• Calculate Zero Coupon Curve using Deposit and Bond data:

The AdTermStructure() function is composed of 3 arguments:

2 Click OK.The start date for the first bond in the table appears in cell E15.Fill down from cells E15 to obtain the start date of all the bonds.

Step Action


2 Choose Adfin TermStructure in Function Category and AdTermStructure() in Function name then click OK.The dialog box of the AdTermStructure() function appears.

Step Action


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AdTermStructure() calculates a term structure from an instrument array.

Name Description

InstrumentArray Array of instruments as described later.



Step Action

1 a. In InstrumentArray: choose cells-array C6:H25.b. In RateStructure: choose cell D27 with the following keywords:

RM:YC DCB:AA RATETYPE:CMP IM:LIN ZCTYPE:RATE.

This structure means that the Rate Model used is a Yield Curve, the Day Count Bis Actual/Actual, the RATETYPE is compounded, the Interpolation Method is Lineand the Yield Curve is composed of rates.

2 Click OK.The First Zero Coupon date in the table appears in cell C30.

Step Action

1 Choose an array of cells (C30:D49) such as the original cell is at the upper-left hcorner of the array.


3 Press CTRL+SHIFT+ENTER to make it an array function.

Chapter 7 Adfin TermStructure Functions Reuters PowerPlus Pro 4.5.1 WorkbookCal

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culate a Forward Yield Curve


alculate a Forward Yield Curve

The objective is to build a forward European Zero Coupon yield curve from a spot yield curvReproduce the following table:• a Zero Coupon yield curve starting the 31st May 2001.• a forward curve start date (15th June 2002)• Forward Period codes (6M, 1Y…).

Calculate theaturity Dates of

thecorrespondingorward periods

As explained previously the FxCalcPeriod() is composed of 2 arguments.


Step Action

1 Choose cell E5, and choose Insert ➤ Function.


Step Action

1 a. In CalcDate: choose the forward curve start date (E2). Put the absolute address ($E$2).

b. In Cur1Cur2: enter the cross currency code (EUR: cell $H6).c. In Period: enter the period code (6M: cell $D5).

2 Click OK.

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 7 Adfin TermStructure Functions Curve

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me

Calculate a Forward Yield


Calculate theforward Zero

Coupon Curvefrom the table

previouslydefined:

The AdRate() function is composed of 5 arguments:

Step Action

◆ To retrieve the End date: insert “RET:2” in the FxMode.Fill down from cell E5 to cell E15 to obtain the End dates of all forward periods.

Step Action

1 Choose cell F5, and choose Insert ➤ Function.

2 Choose Adfin TermStructure in Function Category and AdRate() in Function nathen click OK.The dialog box of the AdRate() function appears.


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I

Name Description

CalcDate Calculation date of the yield curve.

DateArray Input array of dates.

RateArray erm Structure array. Depending on the model, this array haseveral forms: a single value if the Yield To Maturity YTM is used,a 1 dimensional array containing Vasicek-Fong coefficient iis specified,a 2-dimensional array containing the dates (row or column depending on the array orientation specified with the LAY keyword) and the values for the rates/discount factors if a ZCCurve is used,a 2-dimensional array containing the dates (row or column depending on the array orientation specified with the LAY keyword), the values for the rates/discount factors and the volatilities if BDT is used.a 2-dimensional array containing the dates, the values for trates/discount factors, the volatilities and the mean-reversioHW is used.The model used is specified through the keyword RM (RateModel) in the RateStructure argument.

RateStructure Extended argument defining the interest rate model.


Step Action

1 In CalcDate: choose the forward start date of the curve: cell E2.a. In DateArray: choose the array of forward dates E5:E15.b. In RateArray: choose in this array argument the spot yield curve (Dates and Zero

Coupon rates): A3:B24.c. In RateStructure: choose cell D17 with the following keywords

RM:YC DCB:AA RATETYPE:CMP IM:LIN ZCTYPE:RATE

This structure means that the Rate Model used is a Yield Curve, the Day Count Bis Actual/Actual, the RATETYPE is compounded, the Interpolation Method is Lineand the Yield Curve is composed of rates.


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AdRate() is an array function containing forward Discount factors.

2 Click OK.The First Forward Discount Factor in the table appears in cell F5.

Step Action

1 Choose an array of cells (F5:F15) such as the original cell is at the upper-left hcorner of the array.



Step Action


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Convert thosescount Factorso Zero Coupon

Rates.

The AdRateConv() function is composed of 4 arguments:

Step Action

1 Choose cell G5, and choose Insert ➤ Function.

2 Choose Adfin TermStructure in Function Category and AdRateConv() in Functiname then click OK.The dialog box of the AdRateConv() function appears.

Name Description

StartDate Start date of the period.

EndDate End date of the period.

RateMode Extended argument defining the type of conversion.

Rate Rate to be converted.

Step Action

1 a. In StartDate: choose the forward start date of the curve: cell E2 (Put the absoluteaddress ($E$2).

b. In EndDate: choose the end date of the forward period (E5 for 6M).c. In RateMode: define your rate mode:

In the example, FROM:DF TO:AA, means from Discount Factors to Actual/Actualrates.

d. In Rate: choose cell F5 (the discount factor).


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2 Click OK.Fill down from cells G5 to cell E15 to obtain the rates corresponding to all forward discfactors.

Step Action


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o Coupon Yield Curve: Vasicek-Fond Method


ro Coupon Yield Curve: Vasicek-Fond Method

The objective is to build from scratch a European Zero Coupon yield curve based on EuropeGovernment Bonds only using the Vasicek-Fong method.Reproduce the following table for Zero Coupon Curve calculation (C6:H56):• Instrument Type (B for Bonds).• Maturity date and Coupon rate for each Bond (can be retrieved from the database, see

“Integration of Reuters 3000 Database” on page 91).• Bid market price for Bond instruments (can be retrieved from Real Time).• Bond Structure (use a BondStyle such as “EUR1” or retrieved the BondStructure as explain

the part “Integration of Reuters 3000 database”).

rfs-doc@reuters 195


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Calculate theStart date for

each Bond:

As explained previously, the BdSettle() function is composed of 2 arguments.

Step Action

1 In the exercise, choose cell D8, and choose Insert ➤ Function.

2 Choose Adfin Bonds in Function Category and BdSettle() in Function name theclick OK. The dialog box of the BdSettle() function appears.

Step Action

1 a. In CalcDate: choose the trading date (E4). Put the absolute address ($E$4).b. In BondStructure: choose cell H8.

2 Click OK.The start date for the first bond in the table appears in cell E8.Fill down from cell D8 to cell D56 to obtain the start date of all the bonds.


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Zero Coupon Yield Curve: Vasicek-Fond M


Calculate theVasicek-Fong

coefficients

As explained previously, the AdTermStructure() function is composed of 3 arguments.

AdTermStructure() calculates a term structure from an instrument array (in the example the function will return Vasicek-Fong coefficients)

Step Action

1 In the exercise, choose cell J9, and choose Insert ➤ Function.

2 Choose Adfin TermStructure in Function Category and AdTermStructure() in Function name then click OK. The dialog box of the AdTermStructure() function appears.

Step Action

1 a. In InstrumentArray: choose cells-array C8:H56.b. In RateStructure: choose cell K4 with the following keywords:

RM:VF

RM:VF means that the Rate Model used is Vasicek-Fong.

2 Click OK.The first Vasicek-Fong coefficient appears in cell J9.

Step Action

1 Choose an array of cells (J9:J14) such as the original cell is at the upper-left hacorner of the array.



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Generate theZero Coupon

ield curve fromVasicek-Fong

coefficients:

Define periods for your yield curves dates, in the example: 1M, 3M, 6M, 1Y, 1Y6M, 2Y, 3Y, 4Y, 30Y.Calculate the Maturity Dates of the corresponding periods:


Step Action

Step Action

1 In the exercise, choose cell K18, and choose Insert ➤ Function.



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As explained previously, the FxCalcPeriod() function is composed of 4 arguments.


Step Action

1 a. In CalcDate: choose the zero coupon curve start date (E4). Put the absolute addr($E$4).

b. In Cur1Cur2: enter the cross currency code (EUR).c. In Period: enter the period code (6M: cell $J18).

2 Click OK.

Step Action

1 To retrieve the End date: insert “RET:2” in the FxMode.

2 Fill down from cells K18 to cell K27 to obtain the End dates of all forward perio


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Calculate thescount Factors

from VasicekFong

coefficients:

As explained previously, the AdRate() function is composed of 5 arguments.

AdRate() is an array function containing Discount factors.

Step Action

1 In the exercise, choose cell L18, and choose Insert ➤ Function.


Step Action

1 a. In CalcDate: choose the start date of the curve: cell J9.b. In DateArray: choose the array of dates K18:K27.c. In RateArray: choose in this array argument the Vasicek-Fong coefficients: J9:J14d. In RateStructure: choose cell K4 with the following keywords

RM:VF

Note: RM:VF means that the Rate Model used is Vasicek-Fong.

2 Click OK.The first Discount Factor in the table appears in cell L18.

Step Action

1 Choose an array of cells (L18:L26) such as the original cell is at the upper-left hcorner of the array.



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4 Then convert your discount factors to rates using AdRateConv() as explained previously.

Step Action


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o Coupon Yield Curve: Basis Spline Method


ro Coupon Yield Curve: Basis Spline Method

The objective is to build from scratch a European Zero Coupon yield curve based on EuropeGovernment Bonds only using the basis spline method.The same InstrumentArray as in the previous example will be used, but the Yield Curve will bgenerated at a different Calculation Date: change cell E4 to 21Jan2002.

Calculate thebasis splineparameters:

As explained previously, the AdTermStructure() function is composed of 3 arguments.

Step Action

1 In the exercise, choose cell J9, and choose Insert ➤ Function.

2 Choose Adfin TermStructure in Function Category and AdTermStructure() in Function name then click OK.The dialog box of the AdTermStructure() function appears.

Step Action

1 In InstrumentArray: choose cells-array C8:H56.Re-use the same InstrumentArray as in the previous example.

2 In RateStructure: choose cell K4 with the following keywords:RM:BSPLINE SMOOTH:CONT MDWA:YES

Note: RM:BSPLINE means that the Rate Model used is basis spline; SMOOTH:CONmeant that the smoothing spine method is continuous and MDWA:YES indicates thavolatility of the bond is taken into account.

3 Click OK.The first basis spline parameters appear in cell J9.


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Zero Coupon Yield Curve: Basis Spline M


AdTermStructure() calculates a term structure from an instrument array (in the example the function will return basis spline parameters)

Step Action

1 Choose an array of cells (J9:K27) such as the original cell is at the upper-left hcorner of the array.




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Generate theZero Coupon

ield curve fromBasis Splines

parameters:

Define periods for your yield curves dates, in the example: 1M, 3M, 6M, 1Y, 1Y6M, 2Y, 3Y, 4Y, 30Y.Calculate the Maturity Dates of the corresponding periods:

As explained previously, the FxCalcPeriod() function is composed of 4 arguments.

Step Action

1 In the exercise, choose cell N9, and choose Insert ➤ Function.


Step Action

1 In CalcDate: choose the zero coupon curve start date (E4). Put the absolute add($E$4).

2 In Cur1Cur2: enter the cross currency code (EUR).

3 In Period: enter the period code (6M: cell $M9).

4 Click OK.


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Calculate thescount Factorsm basis spline

parameters:

Step Action

1 To retrieve the End date only: insert “RET:2” in the FxMode.

2 Fill down from cells N9 to cell N18 to obtain the End dates of all forward period

Step Action

1 In the exercise, choose cell O9, and choose Insert ➤ Function.



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As explained previously, the AdRate() function is composed of 5 arguments.

Step Action

1 a. In CalcDate: choose the start date of the curve: cell J9.b. In DateArray: choose the array of dates N9:N18.c. In RateArray: choose in this array argument the basis spline parameters: J9:K27.d. In RateStructure: choose cell K4 with the following keywords

RM:BSPLINE SMOOTH:CONT MDWA:YES

2 Click OK.The first Discount Factor in the table appears in cell L18.


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AdRate() is an array function containing Discount factors.

Step Action

1 Choose an array of cells (09:019) such as the original cell is at the upper-left hacorner of the array.



4 Then convert your discount factors to rates using AdRateConv() as explained previously.


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rfs-doc@reuters 209

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ER 8 ADFIN SWAPS FUNCTIONS

tents • Interest Rates Swaps• Interest Rates Swaps Examples• Overnight Indexed Swaps (OIS)• Asset Swaps• Currency Swaps• Currency Swap Examples

Chapter 8 Adfin Swaps Functions Reuters PowerPlus Pro 4.5.1 WorkbookInte

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rest Rates Swaps


terest Rates Swaps

This exercise demonstrates how to calculate the fixed rate swap starting from a zero coupon racurve. The exercise also presents the Net Present Value calculation of a swap starting from a zcoupon curve as well as the cash-flow calculation. Before using the Adfin Swaps functions, it is necessary to retrieve a zero coupon rate curve. Oexercise uses the European Zero Coupon real-time curve 0#EURZ=R from Reuters. You can aretrieve other zero coupon curve code in Kobra on page « ZERO/1 ».Reproduce the following table using the same cell addresses and then use the RtUpdate() funto obtain real-time data.

IrsStructureconcept

Most of the Interest Rate Swap functions rely on the IrsStructure concept. The IrsStructure argument is a group of keywords that specify all calculation parameters necessary to calculateInterest Rate Swap correctly.

Step Action

1 Retrieve the fields MATURITY DATE and PRIM ACT 1 for the swaps code.

2 Enter cell B2 in SourceAllias

3 Choose cells B8:B19 in InstrumentArray, then cells C6:D6 in FieldNameArray, choose C8 in DestinationCell.

Note: Apply the percentage format (%) in the PRIM ACT 1 column.

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 8 Adfin Swaps FunctionsSwaps

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H

Interest Rates


For example, IrsStructure integrates calculation conventions (Act/Act, 30/360...) of the floatingfixed swap leg as well as the frequency of cash flows, the national or international calendar to etc... Some keywords have been especially created to specify the characteristics of both swap legs (LBOTH), characteristics of the floating leg (LFLOAT) or characteristics of the fixed leg only (LFIXED).

Example ofIrsStructure

It means: the two swap legs use the European calendar (specified by the keywords LBOTH CLDR:EMU), the floating leg has a semi-annual coupon frequency (LFLOAT FRQ:2) and an anfrequency for the fixed leg (LFIXED FRQ:1).Reuters PowerPlus Pro also provides some Irs Styles for the major types of Interest Rate Swatraded internationally.

ow to view IRSstyles

LBOTH CLDR:EMU LFLOAT FRQ:2 LFIXED FRQ:1

Step Action

1 Choose Reuters ➤ Settings ➤ Style Management ➤ IRS Styles.


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rest Rates Swaps


You must indicate EUR_AB6E structure in the IrsStructure argument of the Interest Rate Swafunctions to price a standard Euribor swap. The structures contained in Style Management are generic structures intended to facilitate theof the Adfin Swaps functions. If you want to know the keywords of the EUR_AB6E Irs Style clicthe Structure button:

ow to create anew structure


2 Double click EUR_AB6E Euro Annual Bond Basis vs 6-Month Euribor IrsStructA dialog box opens indicating all the calculation parameters taken into account by thiIrsStructure.

Step Action

Step Action

◆ Choose the structure of your choice in the Style Management dialog box then cNew.Alternatively, you can specify the set of characteristics of your swap using the structukeywords directly in the Adfin Swaps functions (IrsStructure).

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 8 Adfin Swaps Functionsmples

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Interest Rates Swaps Exa


terest Rates Swaps Examples

The exercises analyse a 6-month Euribor swap so it uses the EUR_AB6E style in the IrsStrucargument.

SwIrsSolve() In this exercise, one determines the fixed rate to apply to a swap Annual Bond Basis Vs 6-MonEuribor initialised on the 25/07/01, with a forward start date of 27/07/01. SwIrsSolve() function calculates the fixed rate or the floating rate spread equivalent to a predenet present value.

Arguments SwIrsSolve() is composed of 10 arguments:

Example usingSwIrsSolve()


Name Description


ZcDates Array of zero-coupon dates.


StartDate Start date of the swap (effective date).

Maturity Maturity date of the swap (expressed as a date or a code sas "1Y").

FixedRate Rate of the swap fixed leg.

CurFloatingRate Rate of the swap floating leg for the current calculation peri

NetPresentValue Present value of the swap or one of its legs.

IrsStructure Extended argument defining the interest rate swap structur

SwMode Extended argument customising the return value.


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rest Rates Swaps Examples


Step Action

1 a. In cell G7, insert the date of calculation.b. In cell G8, insert the date of the beginning of the swap.c. In cell G9, insert the maturity of the swap in date or period format (i.e. 4Y for 4 yed. In cell G11, insert the floating rate or use the real-time rate for the 6 months Eurib

from the RtGet() formula: RtGet("IDN", " EURIBOR6MD=", " LAST")%.e. In cell G12, insert 0 for the current value of the swap. The objective of the exercise

determine the fixed rate for a swap whose Net Present Value is null.f. In cell G13, insert the IRS Structure EUR_AB6E.g. In cell G14, insert the argument RES:FIXED to obtain the result for the swap fixed


3 Choose Adfin Swaps in Function Category and SwIrsSolve() in Function name click OK.


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SwIrsPx() This exercise shows how to calculate the current value (NPV) of a swap using a zero coupon cThe SwIrsPx() function calculates the current value of an Interest Rate Swap.

Arguments SwIrsPx() is composed of 9 arguments:

4 The dialog box of the SwIrsSolve() function appears.a. In CalcDate: Choose cell G7b. In ZcDates: Choose cells C8:C19,c. In ZcRates: Choose cells D8:D19,d. In StartDate: Choose cell G8,e. In Maturity: Choose cell G9,f. In FixedRate: Enter 0. Fixed Rate is the rate to determine,g. In CurFloatingRate: Choose cell G11,h. In NetPresentValue: Choose cell G12,i. In IrsStructure: Choose cell G13,j. In SwMode: Choose cell G14.

5 Click OK.The fixed rate of the swap appears in cell G16.

Step Action


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Example usingSwIrsPx()

For the continuation of this exercise, we will use the file created for the SwIrSolve() function exercise.Two additional arguments are however necessary (see the following figure):

Name Description









SwMode Extended argument customising the return value. If this argument is not indicated, the result obtained is the NPV ofswap.

Step Action

1 a. In cell G5, insert the amount of the swap to be priced,b. In cell G10, insert the swap fixed rate.



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3 Choose Adfin Swaps in Function Category and SwIrsPx() in Function name thclick OK.The dialog box of the SwIrsPx() function appears.a. In CalcDate: Choose cell G7,b. In ZcDates: Choose cells C8:C19,c. In ZcRates: Choose cells D8:D19,d. In StartDate: Choose cell G8,e. In Maturity: Choose the G9 cell,f. In FixedRate choose cell G10,g. In CurFloatingRate: Choose cell G11,h. In IrsStructure: Choose cell G13,i. In SwMode: Leave blank.

4 Click OK.The NPV of the swap then appears in cell G18,

5 Multiply this NPV by the Amount to get a weighted NPV.Note: If the result from SwIrsSolve() function (cell G16) is entered into cell G10 (FixedRate), an NPV of zero is returned by the function.

Step Action


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wIrsCashFlows()

This exercise shows how to calculate a swap using a zero coupon curve. The SwIrsCashFlowfunction generates the array of the remaining cash flows of an IRS.

Arguments SwIrsCashFlows() is composed of 9 arguments:

Example usingwIrsCashFlows

()

To finish our exercise, the remaining cash flows will be generated from the preceding swap.

Name Description









SwMode Extended argument customising the return value. If this argument is not indicated, the function returns an array of 5columns (Date, Payment of the floating part, Payment of thfixed part, Zero Coupon Rates, Discount factor).

Step Action



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2 Choose Adfin Swaps in Function Category and SwIrsCashFlows() in Function nthen click OK.The dialog box of the SwIrsCashFlows () function appears. a. In CalcDate: Choose cell G7,b. In ZcDates: Choose cells C8:C19,c. In ZcRates: Choose cells D8:D19,d. In StartDate: Choose cells G8,e. In Maturity: Choose cell G9,f. In FixedRate choose cell G10,g. In CurFloatingRate: Choose cell G11,h. In IrsStructure: Choose cell G13,i. In SwMode: Leave blank.

3 Click OK.The first payment date of coupon appears in cell B24.

4 Choose the range B24:F31, press F2, then Ctrl+Shift+Enter.

Note: To improve the presentation, the column headings in row 23 were added manu

Step Action

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rnight Indexed Swaps (OIS)


vernight Indexed Swaps (OIS)

An Overnight Indexed Swap (OIS), also called a Money Swap, is a Fixed/Floating Interest RateSwap with the Floating Leg tied to a daily overnight (or Tom/Next in some markets) rate referenThe term generally ranges from one week to one year.To price an OIS in Reuters Reuters PowerPlus Pro, you must use the IRS Swap functions (SwIrsPx(), SwIrsSolve(), SwIrsCashFlows()) which were seen in the first part. Two styles have been created in the Style Database (go to Reuters menu, Settings option, theStyle Management as explained at the beginning of this swap part) to hold all of the calculatioparameters for the Overnight Indexed Swap:OIS_EONIA

To make OIS related calculations historical data is generally required. The data may be stored ilocal database (see Style Management). To retrieve these data from the database, a new keyw"IDX:" will be used in the IrsStructure to specify which data have to be retrieved for the calculat

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Overnight Indexed Swap


This historical database is in the Reuters menu, Settings option, then Style Management andIndex History Styles part: you get the EURO OVERNIGHT INDEX AVERAGE by clicking on oEONIA:

However, the EONIA index changes daily and it is important to update the database each day.For that reason, it is necessary to retrieve the EONIA index history in Excel using the RtHistorfunction. Choose Adfin Real Time in Function Category and RtHistory() in Function name click OK. In cell D1 the RtHistory function is: =RtHistory(A1,A2,A3,A4,A5)The retrieved history can be used to update the "oEONIA" style in Reuters PowerPlus Pro (refethe preceding figure) using to the AdHistoryUpdate() function. Choose Adfin Common in Function Category and AdHistoryUpdate() in Function name then click OK.

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rnight Indexed Swaps (OIS)


Note: Format all closing rates as percentages.

Once the index database has been updated, the OIS_EONIA style can be used in the IrsStrucargument to calculate the Overnight Indexed Swap (see the previous figure). If you want to change or add some keywords in the OIS IrsStructure, you can use keywords LFIXED to indicate the fixed leg or LFLOAT for the floating leg plus all keywords available in thline help menu.


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Asset


sset Swaps

Definition An asset swap makes it possible, through a swap rate or currency, to modify the asset characteristics (bond, etc). The most common operation consists of transforming the cash flowsfixed rate bond into floating rate cash flows. The following parameters can be changed, according to the needs of the investor: frequency opayment, currency, type of rate.

ricing an assetswap

To price an asset swap in Reuters PowerPlus Pro, the same functions are used as pricing an interest rate swap (SwIrsPx(), SwIrsSolve(), SwIrsCashFlows()).

Purpose of theexercise

The following exercise proposes to calculate the array of cash flows for an asset swap. The swcomposed of a bond with an issue date of 05/17/99, maturity date of August 2004 with a coupo5.50% and an interest rate swap with a start date of 10/01/00.It is necessary to retrieve a zero coupon rate curve. We can use the European Zero Coupon real-time curve 0#EURZ=R from Reuters (see figure in the first part of Adfin Swap chapter).

wlrsCashFlows()

To generate the array of cash flows for an asset swap, the SwIrsCashFlows() function is used

Arguments SwIrsCashFlows () is composed of 9 arguments:

Name Description









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Example Reproduce the following table:

SwMode Extended argument customising the return value. If this argument is not indicated, the function returns an array of 5columns (Date, Payment of the floating part, Payment of thfixed part, Zero Coupon Rates, Discount factor).

Name Description

Step Action

1 a. In cell G7, insert the calculation date.b. In cell G8, insert the issue date of the bond.c. In cell G9, insert the swap maturity in date or period format.d. In cell G10, insert the coupon rate.e. In cell G11, insert the BondStructure with the issue date keyword (ISSUE:17AUGf. In cell G12, insert the start date of the swap.g. In cell G13, insert the current value of the floating rate index or as follows use the

real-time rate of Euribor 6 months retrieved with the RtGet() formula: RtGet("IDN""EURIBOR6MD=", "LAST")%.

h. In cell G14, insert the floating leg structure of the swap.i. In cell G16, we want to insert the asset swap structure.

The function used is BdIrsStructure() which returns the IRS structure correspondia swap whose fixed cash flows match those of the bond.


3 Choose Adfin Bonds in Function Category and BdIrsStructure() in Function nathen click OK.The dialog box of the BdIrsStructure() function appears.


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Thus, in cell G16 we have the following Asset Swap structure which will calculate the fixed leg the floating leg:

4 In BondStructure: choose cell G11.The result gives us the Asset Swap fixed part. It is enough to add cell G14 to includefloating leg ("BdIrsStructure(G11)&G14").

LFIXED FRQ:1 ACC:AA CLDR:EMU SETTLE:3WD CFADJ:NO DMC:FOLLOWING EMC:LASTDAY PX:CLEAN REFDATE:MATURITY ISSUE:17AUG99 RP:0 LBOTH CLDR:EMU LFLOAT FRQ:2

Step Action


2 Choose Adfin Swaps in Function Category and SwIrsCashFlows() in Function n

3 Click OK.The dialog box of the SwIrsCashFlows() function appears.

Step Action

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4 a. In CalcDate: Choose cell G7,b. In ZcDates: Choose cells C8:C19,c. In ZcRates: Choose cells D8:D19,d. In StartDate: Choose the G12,e. In Maturity: Choose cell G9,f. In FixedRate: Choose cell G10,g. In CurFloatingRate: Choose cell G13,h. In IrsStructure: Choose cell G15,

5 Click OK.The first payment date of the coupon appears in cell B24.

6 Choose the range B24:F31, press the F2 key to edit, then press Ctrl+Shift+Ente

Note: To improve the presentation, the column headings in row 23 were added manu

Step Action


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Currency


urrency Swaps

Adfin Swaps functions also provides calculation for Currency Swaps.

Purpose of theexercise

The exercise illustrates how to calculate the Net Present Value, as well as cash-flow calculatioThe swap used in the example is a fix-flo currency swap based on the exchange of a fixed debdenominated in Euro (Euro is paid) against a floating debt denominated in Sterling (Sterling is received).

he CsStructureConcept

The Currency Swap function relies on the CsStructure concept. The CsStructure argument group of keywords that specify all the calculation parameters necessary to calculate a currencyswap correctly as IrsStructure was for Interest Rate Swaps.For example, CsStructure integrates calculation conventions (Act/Act, 30/360...) of the floatingfixed swap leg as well as the frequency of cash flows, the national or international calendars toetc. As explained in the IrsStructure part, some keywords were especially created to specify the characteristics of both swap legs (LBOTH), characteristics of the received leg (LRECEIVED) ocharacteristics of the paid leg only (LPAID). For example, the keywords « LBOTH CLDR:EMU LRECEIVED CUR:USD LPAID CUR:EUR »specify that the two legs of the swap use the European calendar that the paid leg is in US Dollaand the received leg is in Euro. To access the complete list of available arguments, click for example on the online help for theSwCsPx() function then on CsStructure (see the following figure). The CsStructure help lists all the available arguments. The default values are indicated at thebottom of the page.

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rency Swaps


Reuters PowerPlus Pro does not have a style management database for currency swaps. So inecessary to follow Adfin models and examples to create your own CsStructure.


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Currency Swap Exa


urrency Swap Examples

This exercise illustrates how to calculate the fixed rate of a currency swap based on the exchana debt denominated in Euro against debt denominated in British pounds. It will also present thePresent Value calculation of a currency swap using a zero coupon curve, as well as cash-flow calculations. Before using the Adfin Currency Swaps functions, it is necessary to retrieve the discount factcurve and swap points for the currencies exchanged.

iscount factorcurve for

currenciesexchanged(EUR/GBP)

Our exercise uses the Euro (0#EURZ=R) and Sterling (0#GBPZ=R) real-time discount factor cufrom Reuters.Reproduce the following table with the same cell addresses and use the RtUpdate() function toobtain real-time data. Retrieve the following fields MATURITY DATE and SECOND ACTIVITY 1 for the RICs, expiry t(EURTNZ=R), and at the 10 year maturity (EUR10YZ=R). To do this, choose cell A3, insert theRtUpdate() function and reference the following cells. Repeat the same procedure for the Sterling real-time discount factor curve (0#GBPZ=R).


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rency Swap Examples


Swap pointsbetween

currenciesexchanged(EURGBP)

The Swap Points & Outrights model provides the facility to calculate and display cross swap pand outrights in real-time for any currency or cross currency pair (choose from the Reuters methe Model Browser item, then go to the Models part, FX and Money, and choose Swap Poinand Outrights). When the model is launched, in the Display box click on Long, then type EURGBP. In the part omodel called Long Dates from Zero (in the bottom right hand corner) add the maturity accordto the maturity of the discount factors of the yield curve: 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y and 10 y in oexample.

Copy the Swap point EUR / GBP from ON (overnight) to 10Y in your spreadsheet (see the follofigure).In the range I4:J21, we calculate the mid of the Bid and Ask array of the Swap Points EUR/GBpasted from the model: cell J4: 0.3145=(0.23598 + 0.393038)/2


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These swap points will be used in the Currency Swap functions in the FxArray argument.

SwCsPx() SwCsPx() function calculates the net present value of a currency swap or one of its legs.

Arguments This function is composed of 12 arguments:

Name Description


StartDate Start date of the swap.

Maturity Maturity date of the swap.

PaidRate Fixed rate if the paid leg is fixed, floating rate spread if the leg is floating.


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rency Swap Examples


CurPaidRate Floating rate of the paid leg for the current calculation perioapplicable.

ReceivedRate Fixed rate if the received leg is fixed, floating rate spread if received leg is floating.

CurReceivedRate Floating rate of the received leg for the current calculation pif applicable.

ZcPaidArray Array of zero-coupon dates and rates or discount factors fopaid currency.

ZcReceivedArray Array of zero-coupon dates and rates or discount factors foreceived currency.

FxArray Array of (N+1) cells x 2 cells (dates, rates) where N is the number of swap point periods.

CsStructure Extended argument defining the currency swap structure.

SwMode Extended argument customising the return value.

Name Description


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Currency Swap Exa


Example Reproduce the following table:

Step Action

1 a. In cell C24, enter the calculation date.b. In cell C28, enter EURGBP.c. In cell C30, enter the start date of the swap.d. In cell C31, enter the maturity date of the swap.e. In cell C33, enter the fixed rate of the paid leg (GBP).f. In cell C34, enter the floating rate of the paid leg for the current calculation period

(enter the figure 0).g. In cell E33, enter the fixed rate of the received leg (EUR).h. In cell E34, enter the floating rate of the received leg for the current calculation pe

(enter the figure 0).i. In cell C36, enter the following swap CsStructure:

«LRECEIVED LTYPE:FLOAT CUR:GBP CLDR:UKG LPAID LTYPE:FIXED CUR:EUR CLDR:EMU CROSS:EURGBP»

The received leg is the floating leg which currency is GBP based on the British calenThe paid leg is the fixed leg which currency is EUR based on the European calendar

2 In cell C37, enter the SwMode argument. The keyword « ZCTYPE:DF » defines a discount factor curve. The keyword « DC:GBdefine the currency used for discounting both legs



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4 Choose Adfin Swaps in Function Category and SwCsPx() in Function name thclick OK.The dialog box of the SwCsPx() function appears.a. In CalcDate: choose cell C24b. In StartDate: choose cell C30c. In Maturity: choose cell C31d. In PaidRate: choose cell C33e. In CurPaidRate: choose cell C34f. In ReceivedRate: choose cell E33g. In CurReceivedRate: choose cell E34h. In ZcPaidArray: choose cells F5:G21,i. In ZcReceivedArray: choose cells B5:C21,j. In FxArray: choose cells I4:J21,k. In CsStructure: choose cell C36l. In SwMode: choose cell C37

5 Click OK.The Net Present Value of the swap appears in cell C40. To obtain the Net Present Valthe floating leg and the Net Present Value of the fixed leg, extend the result range (seprevious figure), choose the range C40:E40, press the F2 key to edit, then press Ctrl+Shift+Enter..

Step Action


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Currency Swap Exa


SwCsSolve() Fixed rate calculation of a currency swap using zero coupon curves: SwCsSolve()SwCsSolve() function calculates the fixed rate or the floating rate spread for any leg equivalenpredefined net present value.


Note: SwCsSolve() function requires the keyword « RES: » in the SwMode argument. In ourexercise, the keyword « RES: PAID » is used to specify that we want to calculate the fixrate of the paid leg.

Name Description











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


SwMode Extended argument customising the return value


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rency Swap Examples


Example usingSwCsSolve()

CsCashFlows()

SwCsCashFlows() function generates an array with the remaining cash flows of the currency s

Step Action


2 Choose Adfin Swaps in Function Category and SwCsSolve() in Function name click OK.The dialog box of the SwCsSolve() function appears.

3 a. In CalcDate: choose cell C24b. In StartDate: choose cell C30c. In Maturity: choose cell C31d. In PaidRate: choose cell C33e. In CurPaidRate: choose cell C34f. In ReceivedRate: choose cell E33g. In CurReceivedRate: choose cell E34h. In ZcPaidArray: choose cells E5:F21,i. In ZcReceivedArray: choose cells B5:C21,j. In FxArray: choose cells I4:J21,k. In NetPresentValue: Insert 0l. In CsStructure: choose cell C36m. In SwMode: choose cell C37

4 Click OK.


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Name Description













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rency Swap Examples


Example usingCsCashFlows

()

SwMode The return value depends on the value of SwMode. The devalue is a vertical 18-column array containing for all remaincash flows the following data:Column #1: DateColumn #2: Principal payment of the paid leg in paid currenColumn #3: Interest payment of the paid leg in paid currencColumn #4: Principal payment of the received leg in receivecurrencyColumn #5: Interest payment of the received leg in receivedcurrencyColumn #6: Zero-coupon rate of the paid currencyColumn #7: Discount factor of the paid currencyColumn #8: Zero-coupon rate of the received currencyColumn #9: Discount factor of the received currencyColumn #10: Outright rateColumn #11: Conversion rate to the discount currency for thpaid legColumn #12: Conversion rate to the discount currency for treceived legColumn #13: Discount factor in discount currency for the paColumn #14: Discount factor in discount currency for the received legColumn #15: Principal payment of the paid leg in discount currencyColumn #16: Interest payment of the paid leg in discount currencyColumn #17: Principal payment of the received leg in discocurrencyColumn #18: Interest payment of the received leg in discoucurrency

Name Description

Step Action



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2 Choose Adfin Swaps in Function Category and SwCsCashFlows() in Function nthen click OK.The dialog box of the SwCsCashFlows() function appears.a. In CalcDate: choose cell C24b. In StartDate: choose cell C30c. In Maturity: choose cell C31d. In PaidRate: choose cell C33e. In CurPaidRate: choose cell C34f. In ReceivedRate: choose cell E33g. In CurReceivedRate: choose cell E34h. In ZcPaidArray: choose cells F5:G21,i. In ZcReceivedArray: choose cells B5: C21,j. In FxArray: choose cells I4:J21,k. In CsStructure: choose cell C36l. In SwMode: choose cell C37

3 Click OK.The first payment date of the coupon appears in cell A45.

Step Action


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rency Swap Examples


4 Extend the result range, choose the range A45:E57, and press the F2 key to edthen press Ctrl+Shift+Enter.

Step Action

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CHAPT

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ients


ER 9 ADFIN CREDIT FUNCTIONS

tents • Overview of Adfin Credit Functions• Calibrate a Default Probability Curve from a Credit Default Swap Curve and a Discount Fac

Curve• Calculate the Net Present Value (NPV) of a Credit Default Swap with the Probability Curve

Model• Calibrate Cox Ingersoll Ross Coefficients from a Credit Default Swap Spread Curve• Calculate the Spread of a Credit Default Swap from the Cox Ingersoll Ross Intensity Coeffic

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rview of Adfin Credit Functions


verview of Adfin Credit Functions

Adfin Credit covers the pricing and valuation of any european or american credit default swapscross-currency credit default swaps, with your own recovery rate assumption. Credit risk is handled using the deterministic Cox-Ingersoll-Ross default intensity model, or bootstrapping of the default probability term structure.

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Calibrate a Default Probability Curve from a Credit Default Swap Curve and a Discount Factor


alibrate a Default Probability Curve from a Credit Default Swap Curve aDiscount Factor Curve

Objective The objective is to calibrate a default probability curve from a Credit Default Swap curve and aDiscount Factor curve for an American Credit Default Swap (CDS) in order to price a Credit Default Swap.

trieve the CDSSpread Curve

from Real Time

Reproduce the following table to get your CDS Spread Curve:

Chapter 9 Adfin Credit Functions Reuters PowerPlus Pro 4.5.1 WorkbookCal

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ibrate a Default Probability Curve from a Credit Default Swap Curve and a Discount Factor Curve


trieve the EUReld Curve from

Real Time

Reproduce the following table to get the EUR Discount Factor Yield Curve:

To get the RIC: for instance for the first period (1W, cell A13), from the period code generate thefor the Discount Factor using concatenation of cells:

Step Action

◆ a. In column A choose CDS rics (cells A4:A7).b. In column B choose a StartDate (cells B4:B7).c. In column C get the maturity date from the ric (using the Excel function Mid() for

instance, cells C4:C7).d. In column D retrieve the Real Time for the choose RIC using the RtUpdate() func

(see “Integration of Real Time Data: Adfin Real Time Functions” on page 29for minformation, cells D4:D7).

e. In column E define your CdsStructure (cells E4:E7), in the example:CDSTYPE:AMERCDS DMC:M CLDR:EMU_FI LFLOAT AOD:YES LFIXED FRQ:2 CCM:M

The CDS is American, the Date Modified Convention is Modified, the Calendar usthe pricing is the European calendar, the floating leg pays accrued interests in cadefault, the fixed leg is semi-annual and its Coupon Calculation Method is Moneymarket Actual/360.


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AdCreditStructure()

Arguments The AdCreditStructure() function is composed of 6 arguments.

Step Action

1 Choose cell B13 and type =”EUR”&A13&”Z=R”.

2 Fill down from cell B13 to cell B27 to obtain the RIC for all the periods.a. In cell C12 enter the calculation date (today’s date in the example) and in cell D1

100% as first discount factor.b. In cell B12 use RtUpdate() to retrieve the maturity date and the discount factor

corresponding to each RIC.

Step Action


2 Choose Adfin Credit in Function Category and AdCreditStructure() in Functionname then click OK.The dialog box of the AdCreditStructure() function appears. This function builds a RiskModel array.

Name Description


RateArray Argument defining the interest rate model.

InstrumentArray Array of instruments used for the calibration.

CreditStructure Extended argument defining the structure of the credit mod


AdMode Extended argument customizing the return value


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ibrate a Default Probability Curve from a Credit Default Swap Curve and a Discount Factor Curve


Example usingCreditStructur

e()Step Action

1 a. In CalcDate: choose the calculation date (B4).b. In RateArray: choose the zero coupon curve (dates and df): C12:D27.c. In InstrumentArray: choose the CDS spread curve (start date, maturity date, CDS

spread, CdsStructure): B4:E7.d. In CreditStructure: choose B30, the CreditStructure is:

RISKMODEL:CURVE RECOVERY:0.3 NBDAYS:5 INSTTYPE:CDS

The Rismodel is a Probability Curve, the Recovery rate in case of default of the CD30%, the time steps to price this American CDS is 5 days, the Instrument Type isCDS.

e. In RateStructure choose B29, the RateStructure is:RM:YC ZCTYPE:DF IM:CUBD

The RateModel is a Yield Curve, the curve is based on Discount Factors and the Interpolation Method is cubic on discount factors.

2 Click OK.The first date of the Default Probability curve appears in cell A33.

3 Choose an array of cells (A33:B37) such as the original cell is at the upper-left hcorner of the array.



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culate the Net Present Value (NPV) of a Credit Default Swap with the Probability Curve Risk Model


alculate the Net Present Value (NPV) of a Credit Default Swap with the robability Curve Risk Model

AdCdsNpv()

Arguments The AdCdsNpv() function is composed of 9 arguments.

Step Action


2 Choose Adfin Credit in Function Category and AdCdsNpv() in Function name tclick OK.The dialog box of the AdCdsNpv() function appears. This function calculates the NPVCredit Default Swap.

Name Description

SettlementDate Calculation date.

StartDate Start date.

Maturity Maturity date or code.

Spread Credit Default Swap spread in b.p.


CreditArray Argument defining the credit model

CdsStructure Extended argument defining the structure of the cds



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Calculate the Net Present Value (NPV) of a Credit Default Swap with the Probability Curve Risk


Example usingAdCdsNpv() Step Action

1 a. In Settlement Date: choose the calculation date of the CDS(B4).b. In StartDate: choose the start date (Today for instance: cell C12).c. In Maturity: in the cell E33, input the maturity code (4Y in the example) or the ma

date of the CDS.d. In Spread: in the cell E34, input the spread from which the NPV of the CDS will b

calculated (200 bp in the example).e. In RateArray: choose the zero coupon curve (dates and df): C12:D27.f. In InstrumentArray: choose the default probability curve previously calculated wit

AdCreditStructure() : A33:B37.

2 a. As explained previously in CdsStructure: choose E4, the CdsStructure is:CDSTYPE:AMERCDS DMC:M CLDR:EMU_FI LFLOAT AOD:YES LFIXED FRQ:2 CCM:M

b. As explained previously, in CreditStructure: choose B30, the CreditStructure is:RISKMODEL:CURVE RECOVERY:0.3 NBDAYS:5 INSTTYPE:CDS

c. As explained previously in RateStructure choose B29, the RateStructure is:RM:YC ZCTYPE:DF IM:CUBD


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culate the Net Present Value (NPV) of a Credit Default Swap with the Probability Curve Risk Model


3 Click OK.The total NPV of the CDS appears in cell E35.

Step Action


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Calibrate Cox Ingersoll Ross Coefficients from a Credit Default Swap Spread


alibrate Cox Ingersoll Ross Coefficients from a Credit Default Swap read Curve

In the example, the Real Time CDS Spread curve and Discount factors curve used in the previexample will be reused.

AdCreditStructure

Arguments As explained previously, The AdCreditStructure() function is composed of 6 arguments.

Example usingAdCredit

Structure()

Step Action


2 Choose Adfin Credit in Function Category and AdCreditStructure() in Functionname then click OK.The dialog box of the AdCreditStructure() function appears. This function builds a RiskModel array.

Step Action

1 a. In SettlementDate: choose the calculation date (B4).b. In RateArray: choose the zero coupon curve (dates and df): C12:D27.c. In InstrumentArray: choose the CDS spread curve (start date, maturity date, CDS

spread, CdsStructure): B4:E7.d. In CreditStructure: choose B30, the CreditStructure is:

RISKMODEL:CIR RECOVERY:0.3 NBDAYS:5 INSTTYPE:CDS

Note: The Rismodel is the Cox Ingersoll Ross, the Recovery rate in case of default oCDS is 30%, the time steps to price this American CDS is 5 days, the Instrument TypeCDS, the CIR calibration is done with an approximate formula.e. In RateStructure choose B29, the RateStructure is:

RM:YC ZCTYPE:DF IM:CUBD

The RateModel is a Yield Curve, the curve is based on Discount Factors and the Interpolation Method is cubic on discount factors.

2 Click OK.The first date of the CIR intensity coefficient appears in cell B33.


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3 Choose an array of cells (B33:B35) such as the original cell is at the upper-left hcorner of the array.a. Press F2 to edit the function in the cell.b. Press CTRL+SHIFT+ENTER to make it an array function.

Step Action

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Calculate the Spread of a Credit Default Swap from the Cox Ingersoll Ross Intensity Coef


alculate the Spread of a Credit Default Swap from the Cox Ingersoll Rotensity Coefficients

AdCdsSpread()

Arguments The AdCdsSpread() function is composed of 6 arguments.

Step Action


2 Choose Adfin Credit in Function Category and AdCdsSpread() in Function namthen click OK.The dialog box of the AdCdsSpread() function appears. This function calculates the Nof a Credit Default Swap.

Name Description

SettlementDate Calculation date.

StartDate Start date.

Maturity Maturity date or code.

Spread Credit Default Swap spread in b.p.


CreditArray Argument defining the credit model.

CdsStructure Extended argument defining the structure of the cds.




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culate the Spread of a Credit Default Swap from the Cox Ingersoll Ross Intensity Coefficients


Example usingAdCdsSpread() Step Action

1 a. In Settlement Date: choose the settlement date of the CDS(B4).b. In StartDate: choose the start date (Today for instance: cell C12).c. In Maturity: in the cell E33, input the maturity code (4Y in the example) or the ma

date of the CDS.d. In Npv: in the cell E34, input the Npv from which the spread of the CDS will be

calculated (1% in the example).e. In RateArray: choose the zero coupon curve (dates and df): C12:D27.f. In CreditArray: choose the default probability curve previously calculated with

AdCreditStructure(): B33:B35.

2 a. As explained previously in CdsStructure: choose E4, the CdsStructure is:CDSTYPE:AMERCDS DMC:M CLDR:EMU_FI LFLOAT AOD:YES LFIXED FRQ:2 CCM:M

b. As explained previously, in CreditStructure: choose B30, the CreditStructure is:RISKMODEL:CIR RECOVERY:0.3 NBDAYS:5 INSTTYPE:CDS

c. As explained previously in RateStructure choose B29, the RateStructure is:RM:YC ZCTYPE:DF IM:CUBD

3 Click OK.The total Spread of the CDS appears in cell E35.

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ER 10 ADFIN FOREX & MONEYMARKET, AND ADFIN COMMON FUNCTIONS

tents • Calendar, Currency & Cross Currency Styles• Adfin Forex&Money and Adfin Common Functions

Chapter 10 Adfin Forex & MoneyMarket, and Adfin Common Functions Reuters PowerPlus Pro 4.5.1 WorkbookCal

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endar, Currency & Cross Currency Styles


alendar, Currency & Cross Currency Styles

Most Adfin Forex & MoneyMarket functions make use of the Styles concept. The Styles are Reuters PowerPlus Pro databases which take account of all the characteristicsnecessary to correctly price financial instruments.For example, Currency Style is a group of arguments, which specifies all the calculation parameters necessary for the currency calculations (day-count bases 360 or 365, direct or indiquotation....). Calendar Style integrates the calendars of public holidays for all the markets. ThCross-Currency Style integrates calculation conventions for the cross. It is possible to see styles by selecting in the Reuters menu the Settings option then Style Management. In the Style Management dialog box, choose the Currency Style section.

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 10 Adfin Forex & MoneyMarket, and Adfin Common Functions Styles

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Calendar, Currency & Cross Currency


Step Action

1 Double click for example on the EUR - Euro Currency Style.A dialog box opens indicating all the parameters of calculations taken into account byCurrency Style. Thus by using the EUR code in an Adfin Forex & MoneyMarket functthe characteristics of this currency will be automatically taken into account in calculat

Chapter 10 Adfin Forex & MoneyMarket, and Adfin Common Functions Reuters PowerPlus Pro 4.5.1 WorkbookAdf

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in Forex&Money and Adfin Common Functions


dfin Forex&Money and Adfin Common Functions

StyleAttribute()

AdStyleAttribute() function returns the value of a style attribute. This function is located in theAdfin Common category.

Arguments This function is composed of 3 arguments:=AdStyleAttribute(StyleTable, StyleCode, StyleAttribute)

Example with AdStyleAttribute function:

Name Description

StyleTable String argument defining the style table, e.g. CUR for curre

StyleCode Style code, EUR in the table.

StyleAttribute Keyword corresponding to the style attribute, e.g. QM for Quotation Mode in the EUR style.

Step Action

1 a. In cell A3, enter the ISO code of a currency, for example EUR.b. In cell B1, enter the QM argument.

2 Choose cell B3 then insert the AdStyleAttribute() function in the Adfin Style category.

3 a. In StyleTable, enter CUR.b. In StyleCode, choose cell A3 and put relative address: $A3.c. In StyleAttribute, choose cell B1 and put relative address: B$1.

Name Description

QM Quotation Mode (Direct or Indirect),

YB Money market Year Basis (360 or 365),

CLDR Calendar code,

DTS FX market spot offset (0, 1 or 2 days),

DTM Money market spot offset (0, 1 or 2 days).

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 10 Adfin Forex & MoneyMarket, and Adfin Common Functionsnctions

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Adfin Forex&Money and Adfin Common Fu


DfAddWD() DfAddWD() function adds a number of working days to a date. This function is located in the ACommon category.

Arguments This function is composed of 4 arguments:=DfAddWD(Calendars, CalcDate, NbDays, DfMode )

Example usingDfAddWD()

Returns the value of a style attribute.The AdStyleAttribute() function retrieves the calendar code corresponding to the currency (seprevious section).

Step Action

◆ Click OK.The Quotation Mode for the currency EUR appears. It is possible to obtain all the othcharacteristics (see the following figure).

Name Description

Calendars String of calendar codes (example: “FRA,UKG”).

NbDays Number of working days (from -366 to 366).

DfMode Extended argument customising the return value.


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DfAddPeriod() DfAddPeriod() function adds a period (number of calendar days, working days, weeks, monthyears) to a date. This function is located in the Adfin Common category.

Arguments This function is composed of 4 arguments:=DfAddPeriod(Calendars, CalcDate, Period, DfMode)

Step Action

1 a. In cell A1, enter the calculation date.b. In cell C1, enter the figure 2 to indicate working days from the calculation date va

2 Choose cell C3 and insert the DfAddWD() function from the Adfin Common category.a. In Calendars, choose cell B3.b. In CalcDate, choose cell A1.c. In NbDays, choose cell C1.

3 Click OK.Convert the result obtained to a date format.

Name Description

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


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In the following figure, 3 months are added to the 02-Jun-99 date.Example of period code: 5D for 5 days, 2M for 2 months, 1Y for 1 year.

fListHolidays() Lists one or several calendars holidays between two dates.DfListHolidays() function lists one or several calendars holidays between two dates. This funcis located in the Adfin Common category.



Period Period code {iD, iM, iW, iWD, iY, with i as integer}iD i calendar daysiM i monthsiW i weeksiWD i working days (from -366 to 366)iY i years


Name Description


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=DfListHolidays(Calendars, StartDate, EndDate, DfMode)

• Example use with the DfListHolidays() function

FxCross() FxCross() function calculates the spot cross rate assuming that the cross value date and the sdates are equal.

Arguments This function is composed of 4 arguments, it is located in the Adfin Forex & Money Market category:=FxCross(Cur1Cur2, Spot1BA, Spot2BA, FxMode)

Name Description

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

StartDate Period start date.

EndDate Period end date.


Step Action

1 a. In cell B1, type the currency code.b. Use the AdStyleAttribute() function to obtain the relevant calendar.c. In cell B2, enter the start date.d. In cell D2, enter the end date.

2 Choose cell D4 and insert the DfListHolidays() function in the Adfin Common category.a. In Calendars, choose cell D1.b. In StartDate, choose cell B2.c. In EndDate, choose cell D2.

The DfMode argument customises the return value. The keyword RET:B9 createsarray with 2 columns and 9 rows.

3 Click OK.The first value appears in cell D4.

4 Choose the range D4:E12, press the F2 key to edit, and then press Ctrl+Shift+E


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Example usingFxCross()

Use the RtGet() function to obtain the fieldname (BID/ASK) spot rates for real-time currencies.

Name Description

Cur1Cur2 Cross currency code (example: " GBPEUR ").

Spot1BA Cur1 spot rates (array Bid/Ask).

Spot2BA Cur2 spot rates (array Bid/Ask).

FxMode Extended argument customising the return value.

Step Action

1 In cell B5, enter the formula =B2&B3 to add the character strings.

2 In cell C5, insert the FxCross() function in Adfin Forex & MoneyMarket categor

3 a. In Cur1Cur2, choose cell C5.b. In Spot1BA, choose cells C2:D2.c. In Spot2BA, choose cells C3:D3.

4 Click OK.The first value appears in cell C5.


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xSwpToSwpP() FxSwpToSwpP() function calculates the cross swap points from swap points using a period tocorrect the calculation when the cross value date is different from the spot dates.

Arguments This function is composed of 8 arguments:=FxSwpToSwpP(CalcDate, Period, Cur1Cur2, Spot1BA, Spot2BA, Swp1BA, Swp2BA, FxMode

5 Choose the range C5:D5, press the F2 key to edit, then press Ctrl+Shift+Enter.

Step Action

Name Description

CalcDate Calculation date (contract or trading date).

Period Period code (example: "1W").

Cur1Cur2 Cross currency code (example GBPEUR).

Spot1BA Cur1 spot rates (array Bid/Ask), example GBP.

Spot1BA Cur2 spot rates (array Bid/Ask, example EUR.

Swp1BA Cur1 swap points (array Bid/Ask), example GBP.


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Example usingxSwpToSwpP()

Reproduce exactly the following table:

Use the RtGet() function to obtain the fieldname (BID/ASK) spots rates for real-time currenciesswap point.

Swp2BA Cur2 swap points (array Bid/Ask), example EUR.

FxMode Extended argument customising the return value.

Name Description

Step Action

1 a. In cell C3, enter the GBP code.b. In cell C4, enter the EUR code.c. In cell C5, enter the formula =C3&C4.d. In cell C6, enter 1M for 1 month.

2 a. In cell E4, enter =C3&”=” to obtain the RIC from the currency code.b. In cell E5, enter =C4&”=” to obtain the RIC from the currency code.

3 a. In cell E8, enter =C3&C6&”=” to obtain the swap point 1M RIC from the GBP currb. In cell E9, enter =C4&C6&”=” to obtain the swap point 1M RIC from the EUR curr


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Use the FxCalcPeriod() function to calculate the start date and the end date of a period.

xDepToSwpP() FxDepToSwpP() function calculates the synthetic swap points from deposits using a period.

Step Action

◆ a. In cell E11, enter =TODAY().

Step Action

1 In cell F12, Enter all arguments requested to obtain the following formula:=FxCalcPeriod(E12,C5,C6). This is an array function. Extend the result to cell G12, press the F2 key to edit, then pCtrl+Shift+Enter.

2 Choose cell F15 and insert the FxSwpToSwpP() function.

3 Enter all arguments requested to obtain the following formula:=FxSwpToSwpP(F12,C6,C5,F4:G4,F5:G5,F8:G8,F9:G9).

4 Click OK.

5 This is an array function. Extend the result to cell G15, press the F2 key to edit, press Ctrl+Shift+Enter


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sk).

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Arguments This function is composed of 7 arguments:=FxDepToSwpP(CalcDate, Period, Cur1Cur2, Spot12BA, Dep1BA, Dep2BA, FxMode)

Example usingDepToSwpP()

Reproduce the following figure:

Use the RtGet() function to obtain the fieldnames (BID/ASK) spot rates for real-time currenciesdeposit rates.

Note: Apply the percentage format (%) to all deposit rates.

For example in cell F11, =RtGet("IDN",E11,F3)%.

Name Description

CalcDate Calculation date (contract or trading date).

Period Period code.

Cur1Cur2 Cross currency code, example GBPEUR.

Spot12BA Cur1Cur2 spot rates (array Bid/Ask).

Dep1BA Cur1 deposit rates (in real value) for the period (array Bid/A

Dep2BA Cur2 deposit rates (in real value) for the period (array Bid/A

FxMode Extended argument customising the return value. RES:SWfor the swap points.

Step Action

1 a. In cell C3, enter the GBP code.b. In cell C4, enter the EUR code.c. In cell C5, enter the formula =C3&C4.d. In cell C6, enter 1M for 1 month.

2 a. In cell E4, enter =C3&”=” to obtain the RIC from the currency code.b. In cell E5, enter =C4&”=” to obtain the RIC from the currency code.

3 a. In cell E11, enter =C3&C6&”D=” to obtain the 1M deposit RIC from the GBP curreb. In cell E12, enter =C4&C6&”D=” to obtain the 1M deposit RIC from the EUR curre


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ress

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Use the FxCalcPeriod() function calculates the start date and the end date of a period.

AdInterp() AdInterp() interpolates a point from a curve according to a linear, loglinear, volatility or cubic spmethod.

Arguments AdInterp() function is composed of 4 arguments:

Step Action

◆ a. In cells F8 and G8, calculate the spot cross rate GBPEUR with the FxCross() funb. In cell E15, enter =TODAY().

Step Action

1 In cell F15, enter all arguments requested to obtain the following formula:=FxCalcPeriod(E15,C5,C6).This is an array function. Extend the result to cell G15, press the F2 key to edit, then pCtrl+Shift+Enter.

2 Choose cell F18 and insert the FxDepToSwpP() function.

3 Enter all arguments requested to obtain the following formula:=FxDepToSwpP(F15,C6,C5,F8:G8,F11:G11,F12:G12,"RES:SWP12")

4 Click OK.

5 This is an array function. Extend the result to cell G18, press the F2 key to edit, press Ctrl+Shift+Enter.

Exam

interpousing AdIn

),

=AdInterp( X, DateArray, ValueArray, InterpMode)

ple oflinearlationterp()

In the example, for each bond in the table below (European benchmark curve, EUBMK= curvecalculate the interpolated yield at the date of 19th Feb 2005.

Name Description

X X value to be used for the interpolation.

DateArray Array of X dates.

ValueArray Array of Y values.

InterpMode Extended argument defining the interpolation.

Step Action

1 In the exercise, choose cell G9, and choose Insert ➤ Function.

Ex

u

the

then

Feb

t

ample of cubicinterpolation

sing AdInterp()

To perform a CUBIC interpolation, use the same function with the same arguments but changeInterpMode:

2 Choose Adfin Common in Function Category and AdInterp() in Function name click OK.The dialog box of the AdInterp() function appears.

3 a. In X, choose cell E6 (date at which we want to calculate the interpolated value, 1905)

b. In DateArray, choose cells C4:C19. c. In ValueArray, choose cells D4:D19. Add a percentage symbol (%)d. In InterpMode type: IM:LIN to perform a linear interpolation or leave the argumen

blank as the default value for IM is IM:LIN.

4 Click OK.The interpolated rate at the « X » date appears in cell G9.

Step Action

Step Action


u

rned

then

Feb

then

Example oflinear

extrapolationsing AdInterp()

Calculate the Extrapolated yield at the date of 6th May 2035 (an extrapolated value will be retueven if the date is out of the array boundaries).


3 a. In X, choose cell E6 (date at which we want to calculate the interpolated value, 1905)

b. In DateArray, choose cells C4:C19. c. In ValueArray, choose cells D4:D19. Add a percentage symbol (%)d. In InterpMode type: IM:CUBR to perform a cubic interpolation on rates.

4 Click OK.The interpolated rate at the « X » date appears in cell G10.

Step Action

Step Action



6th

3 a. In X, choose cell F12 (date at which we want to calculate the extrapolated value, May 05)

b. In DateArray, choose cells C4:C19. c. In ValueArray, choose cells D4:D19. Add a percentage symbol (%)d. In InterpMode type: IM:LIN to perform a linear extrapolation.

4 Click OK.The extrapolated rate at the « X » date appears in cell G12.

If you want to prevent the user from extrapolating add “OBC:YES” (Out of Boundaryinterpolation Check) in the InterpMode argument.

Step Action

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ER 11 ADFIN OPTIONS FUNCTIONS

tents • Overview of Adfin Options Functions• Structure Concepts• Adfin Options Functions• Pricing a Bermudan Option with OpPremium()• Pricing a Warrant• Pricing of Cap, Floor and Collar

Chapter 11 Adfin Options Functions Reuters PowerPlus Pro 4.5.1 WorkbookOve

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ons s,

f

rview of Adfin Options Functions


verview of Adfin Options Functions

Reuters PowerPlus Pro provides functions to analyse European, American and Bermudan optibased on numerous financial instruments such as indexes, stocks, interest rates, bonds, futurecommodities and currencies.Those functions handle not only the calculations of premiums and volatility but also those ocommon risk measures known as derivatives (delta, gamma, theta, vega and rho).Various calculation models are available in Reuters PowerPlus Pro 4.5:• Black and Scholes• Whaley• Garman-Kohlhagen• Binomial Tree• Trinomial Tree• Black Derman Toy• Hull and White…

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 11 Adfin Options Functionsncepts

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ium()

Structure Co


ructure Concepts

Most of the Adfin Option functions use the three structures described below.

ptionStructureArgument

The OptionStructure argument is used to define the option characteristics such as the option ty(call or put), the calendar linked to the option, the day count basis, the dividend payment date aamount, the exercise mode of the option (American, European or Bermudan) and the underlyinasset type (option on commodities, on currencies, on futures or on securities).To access the complete list of the available arguments, click on the on-line help of the OpPremfunction for instance.

Chapter 11 Adfin Options Functions Reuters PowerPlus Pro 4.5.1 WorkbookStru

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cture Concepts


RateStructureArgument

Most of the Adfin Options functions use the RateStructure argument. The RateStructure is a groarguments, which specify the rate model for pricing instruments.One can choose the rate type (continuous, money market…), the rate model (Yield Curve, conrate, BDT, Hull-White…), the zero-coupon yield curve type (rate or discount factor)…To access the complete list of the available arguments, click on the on-line help of the OpPremfunction for instance (see the preceding figure and choose RateStructure instead of OptionStructure).

CalcStructureArgument

The CalcStructure argument is used to define the possible calculation methods. It is a very impoargument for option pricing.It is in the CalcStructure that one can choose calculation model type: (tree, formula, or finite differences), the formula type (Black & Scholes Model, Whaley Model…).To access the complete list of the available arguments, click on the on-line help of the OpPremfunction for instance (see the preceding figure and click on CalcStructure instead of OptionStructure).

Reuters PowerPlus Pro 4.5.1 Workbook Chapter 11 Adfin Options Functionsnctions

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dfin Options Functions

OpHistVol()

Arguments OpHistVol() is composed of 2 arguments:=OpHistVol(PriceArray, OpMode)

Example usingOpHistVol()

Reproduce exactly the following table:

Step Action


2 Choose Adfin Options and choose OpHistVol().OpHistVol() function calculates the historical volatility of an option from a set of underprices.

Name Description

PriceArray 1-dimensional (for HVM:CLOSE) or 2-dimensional (for HVMarray containing the prices (the orientation of this array shobe specified with the LAY keyword in OpMode if it is differefrom the default orientation).

OpMode Extended argument customising the return value.

Step Action

1 a. In cell B3, use RtGet() function to obtain the real-time quotation of the desired eq(in our example FTE.PA).

b. In cell A5, use RtHistoryInfo() function to obtain equity historical fields.c. In cell A7, use RtHistory() function to obtain equity historical data.

Specify as arguments NBEVENTS:100 in HistoryStructure (Number of historical dretrieved) and NULL:SKIP in HistoryMode (to skip the dates with any null field).

Note: For more details on the RtHistoryInfo() and RtHistory() functions use, see “Integration of Real Time Data: Adfin Real Time Functions” on page 29.

2 Choose cell D8 and insert OpHistVol() function, which is in the Adfin Options function category. a. In the dialog box of the function, for the PriceArray argument, choose cells B8:B1

Chapter 11 Adfin Options Functions Reuters PowerPlus Pro 4.5.1 WorkbookAdf

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in Options Functions


plied volatilitycalculation:

OpImpliedVol()

Arguments OpImpliedVol() function is composed of 10 arguments:=OpImpliedVol(CalcDate, ExpiryDate, SpotPrice, StrikePrice, Premium, RiskFreeRateArray, ReturnArray, OptionStructure, RateStructure, CalcStructure)

3 Click OK.

Step Action

Step Action


2 Choose Adfin Options and choose OpImpliedVol().

Name Description


ExpiryDate Expiry date of the option.

SpotPrice Market or spot price of the underlying instrument.


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Example usingOpImpliedVol()


StrikePrice Exercise or strike price of the option.

Premium Market or spot price of the option.

RiskFreeRateArray Term Structure array. Depending on the model, this array has several shapes:• a Constant Yield (Value),• a Zero Coupon Curve (Date, Value),

ReturnArray Dividend array (Date, Dividend)Commodities: carrying costsCurrencies: risk free rate for the foreign currencyFutures: 0Stocks: annual security yield

OptionStructure Extended argument defining the option structure

RateStructure Extended argument defining the interest rate model


Name Description

Step Action

1 a. In cell B1, insert the calculation date. Use as example =today() function.b. In cell A5, insert the RIC for the equity.c. In cells B4 and B5, insert LAST and YIELD fieldnames.

Use RtGet() function to obtain real-time data for the equity.

2 a. In cell A9, insert the option RIC.b. In cells B8, C8 and D8, enter LAST, STRIKE PRICE and EXPIRE DATE fieldnam

Use RtUpdate() function to obtain real-time data for the option.For more details on RtUpdate() function, see “Integration of Real Time Data: AdfiReal Time Functions” on page 29.

3 In cell B11, enter the risk-free rate. Apply the percentage format (%) to this rate


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4 a. In cells B14, B15 and B16, define the OptionStructure Argument. CALL EXM:EUR UI:SEC

b. In B14 enter the CALL argument.c. In B15 enter the Exercise Mode of the option: EXM:EUR (European Option)d. In B16 set the underlying asset to UI:SEC (UI:SEC has to be chosen for options o

indexes, stocks, and bonds).

5 a. In cell E14 define the RateStructure: RATETYPE:CONT

To specify continuous rates are used.

6 a. In cells H14 and H15, define the CalcStructure. To choose the Black and Scholes model to price this option add the two followingkeywords in the CalcStructure:CMT:FORM FT:BS

CMT:FORM (to specify that the Calculation Model Type is a formula), FT:BS (to seFormula Type to Black and Scholes).


8 Choose Adfin Options and choose OpImpliedVol(), then click OK.Reuters PowerPlus Pro opens the OpImpliedVol() function dialog box,

9 Enter all arguments requested to obtain the following formula: =OpImpliedVol(B1,D9,B5,C9,B9,B11,C5,B14:B16,E14,H14:H15)

Step Action


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Adfin Options Fu


OpPremium() OpPremium() function calculates the premium of an option.

Arguments OpPremium() is composed of 10 arguments:=OpPremium (CalcDate, ExpiryDate, SpotPrice, StrikePrice, Volatility, RiskFreeRate, ReturnArOptionStructure, RateStructure, CalcStructure)

10 Click OK.

Step Action

Name Description







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Example usingOpPremium()


RiskFreeRateArray Term Structure array. Depending on the model, this array has several shapes:• a Constant Yield (Value),• a Zero Coupon Curve (Date, Value),• a (Date, Rate, Volatility) array for the Black Derman Toy

model• a (Date, Rate, Volatility, Mean-reversion) array for the H

White model.

ReturnArray Dividend array (Date, Dividend)Commodities: carrying costsCurrencies : risk free rate for the foreign currencyFutures : 0Stocks: annual security yield.

OptionStructure Extended argument defining the option structure.



Name Description

Step Action

1 In cell B1, enter the calculation date. Use for example =today() function.

2 a. In cell A5, enter the RIC for the equity.b. In cells B4 and B5, enter LAST and YIELD fieldnames.

Use RtUpdate() function to obtain real-time data for the equity.



4 a. In cell B11, enter the risk free rate (apply the percentage format).b. In cell B18, enter the volatility (apply the percentage format)


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Adfin Options Fu


reek indicatorscalculation:

OpCalcDeriv()

OpCalcDeriv() function returns in an array all derivatives (delta, gamma, theta, vega, rho, geaand break even time) of an option. In the case of a currency option 4 more derivatives are retuby the function: delta foreign, gamma foreign, theta foreign, vega foreign and rho foreign).

Arguments OpCalcDeriv() is composed of 11 arguments:=OpCalcDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePriceArray, Volatility, RiskFreeRateArrayReturnArray, OptionStructure, RateStructure, CalcStructure, AdMode)

5 a. In cells B14, B15 and B16, define the OptionStructure argument as explained in tpreceding example.

b. In cell E14 define the RateStructure as explained in the preceding example.c. In cells H14 and H15, define the CalcStructure as explained in the preceding exa


7 Choose Adfin Options in Function Category and OpPremium() in Function namthen click OK. The dialog box of the OpPremium() function appears. Enter all arguments requested to obtain the following formula: =OpPremium(B1,D9,B5,C9,B18,B11,C5,B14:B16,E14,H14:H15)

8 Click OK.

Step Action


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Example usingOpCalcDeriv()


Name Description






RiskFreeRateArray Term Structure array. Depending on the model, this array has several shapes:a Constant Yield (Value),a Zero Coupon Curve (Date, Value),a (Date, Rate, Volatility) array for the Black Derman Toy moa (Date, Rate, Volatility, Mean-reversion) array for the Hull White model.

ReturnArray Dividend array (Date, Dividend)Commodities: carrying costsCurrencies: risk free rate for the foreign currencyFutures: 0Stocks: annual security yield

OptionStructure Extended argument defining the option structure.




Step Action

1 In cell B1, enter the calculation date.Use for example =today() function.

2 a. In cell A5, enter the RIC for the equity.b. In cells B4 and B5, enter LAST and YIELD fieldnames.



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4 a. In cell B11, enter the risk free rate (apply the percentage format).b. In cell B18, enter the volatility (apply the percentage format)c. In cells B14, B15 and B16, define the OptionStructure argument as explained in t

preceding example.d. In cell E14 define the RateStructure as explained in the preceding example.e. In cells H14 and H15, define the CalcStructure as explained in the preceding exa


6 Choose Adfin Options in Function Category and OpCalcDeriv() in Function nathen click OK.The dialog box of the OpCalcDeriv() function appears.

7 Enter all arguments requested to obtain the following formula: =OpCalcDeriv(B1,D9,B5,C9,B18,B11,C5,B14:B16,E14,H14:H15,)

Step Action


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8 Click OK.The delta of the option is displayed. a. Press F2 to edit the function in the cell. b. Press Ctrl+Shift+Enter to make it an array function.

Step Action

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Pricing a

OpPrem

Argumray,

Exa

ion

ial


Bermudan Option with OpPremium()

ium() OpPremium() function can also calculate the premium of a Bermudan option.

ents As explained previously, OpPremium() is composed of 10 arguments:=OpPremium (CalcDate, ExpiryDate, SpotPrice, StrikePrice, Volatility, RiskFreeRate, ReturnArOptionStructure, RateStructure, CalcStructure)

mple To price a Bermudan Option the OptionStructure has to be changed.Reproduce the following table.

Step Action

1 a. In cell B1, enter the calculation date.b. In cell B2 enter the expiry date.c. In cell B3 enter the spot.d. In cell B4 enter the strike.e. In cell B5 enter the Volatility.f. In cell B6 enter the RiskFreeRate.g. In cell B7 enter the Dividend if required.

2 In cells B9 define the OptionStructure for the Bermudan described below:Our option is a PUT; it can be exercised at the following dates:• between the 27Mar03 and the 03Apr03 or• between the 27May03 and the 02Jun03 or• the 15Sep03 or• at maturityFor Bermudan options use EXM:DDMMMYY:DDMMMYY to specify a Bermudan opt(can be priced with a Binomial or Trinomial tree). To specify Bermudan Options with variable strike use EXM:DDMMMYY:DDMMMYY:Strike (only available with a Trinompricing explained below).The OptionStructure will be:PUT EXM:27MAR03:03APR03 EXM:27MAY03:02JUN03 EXM:15SEP03:15SEP03

Chapter 11 Adfin Options Functions Reuters PowerPlus Pro 4.5.1 WorkbookPric

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e

ing a Bermudan Option with OpPremium()


3 In cells B10, define the CalcStructure:NBBRANCH:3 CMT:TREE TITER:30

This CalcStructure means that the Bermudan option will be priced with a Trinomial Trand the calculation will be performed on 30 steps.


5 Choose Adfin Options in Function Category and OpPremium() in Function namthen click OK.The dialog box of the OpPremium() function appears.

6 Enter all arguments requested to obtain the following formula: =OpPremium(B1,B2,B3,B4,B5,B6,B7,B9,,B10)

7 Click OK.

Step Action

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tion).

Pricing a W


ricing a Warrant

Reuters PowerPlus Pro 4.5 supports warrant products.All the functions described previously are used to perform premium, implied volatility and derivacalculations according to the following models:• The Black and Scholes model, • The Constant Elasticity of Variance model,• The Cox, Ross and Rubinstein model.

Note: The Reuters database provides views for warrants (see “Integration of Reuters 3000 Database” on page 91): from a warrant RIC, a DeUpdate() function will return the followresults according to the field names:

To be able to use the OpPremium() function, we need to retrieve the following data from the Database:


Field Names Results returned by DeUpdate()

CALL_PUT_TYPE « C » for Call « P » for Put

ADF_STRUCTURE The OptionStructure of the warrant

EXPIRATION_DATE The expiration date of the warrant

Step Action


2 Choose Reuters 3000 DataEngine in Function category and DeUpdate() in Funcname then click OK.The dialog box of the DeUpdate() function appears. DeUpdate() is composed of 6 arguments (see “Integration of Reuters 3000 Database” on page 91 for more informa


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ing a Warrant


Retrieve the Volatility of the underlying stock (which RIC is CARR.PA) from the database.

3 a. In CodeList: choose the RIC of the warrant (FR0150036.PA, cell A3).b. In FieldList: choose the field names (ADF_STRUCTURE, EXPIRATION_DATE,

CALL_PUT_TYPE)c. In DestinationCell, choose B3d. In DeMode: type SOURCE:EQUITY

Step Action


2 Choose Reuters 3000 DataEngine in Function category and DeUpdate() in Funcname then click OK.The dialog box of the DeUpdate() function appears. DeUpdate() is composed of 6 arguments (see “Integration of Reuters 3000 Database” on page 91 for more informa

Step Action


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3 a. In CodeList: choose the RIC of the underlying stock (CARR.PA, cell A7)b. In FieldList: choose the field names (VOLATILITY_200D)c. In DestinationCell, choose B7d. In DeMode: type SOURCE:EQUITY

Step Action


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ing a Warrant


Pricing thewarrant usingOpPremium()

As explained previously, OpPremium() is composed of 10 arguments:=OpPremium (CalcDate, ExpiryDate, SpotPrice, StrikePrice, Volatility, RiskFreeRate, ReturnArOptionStructure, RateStructure, CalcStructure)

4 a. In CodeList: choose the RIC of the underlying stock (CARR.PA, cell A7)b. In FieldList: choose the field names (VOLATILITY_200D)c. In DestinationCell, choose B7d. In DeMode: type SOURCE:EQUITY

Step Action


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Step Action

1 a. In cell B12, enter the calculation date.b. In cell B13 enter the spot price (market price, can be retrieved from Real Time).c. In cell B17 enter the RiskFreeRate (this rate can be retrieved from Real Time).d. In cell B15 enter the Dividend if required (can also be retrieved from Real Time).

2 In cells B16, define the CalcStructure:We want to price the option with a Binomial Tree on 60 steps (binomial and trinomialmodels are recommended to price American warrants):CMT:TREE TITER:60

It means that the Option will be price using a Tree on 30 calculation steps. If you do nspecify the number of branches, the default value is NBBRANCH:2, the option will bepriced with a Binomial Tree.Use the data returned from the database for the following arguments:• OptionStructure:NBWARRANT:5000000 CALL NBSTOCK:716141771 EXM:A CONVRATION:1

This warrant is CALL, and it is an American warrant. By default the dividend type iscontinuous, you do not need to specify DIVTYPE:CONT.

- Volatility (46.23%),- Expiry date (17 Jun 03).


4 Choose Adfin Options in Function Category and OpPremium() in Function namthen click OK.The dialog box of the OpPremium() function appears.

5 Enter all arguments requested to obtain the following formula: =OpPremium(B12,B3,B13,B14,B7%,B17,B15,D3,,B16)


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ing a Warrant


6 Click OK.

Step Action

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Pricing of Cap, Floor and


ricing of Cap, Floor and Collar

Reuters PowerPlus Pro V.4.5 supports the following Cap, Floor and Collar instruments that canpriced: vanilla cap, amortizing cap, digital cap, and barrier cap.Adfin Options provides functions to perform cap/floor and caplets/florets premium calculations,implied volatility and derivatives calculations according to the following models:• The Black and Scholes model.• The Black, Derman and Toy model. • The Hull and White model.

dCapFloorCaplets()

AdCapFloorCaplets() generates an array with the caplet/floret premiums of a cap, floor, and c

Arguments AdCapFloorCaplets() function is composed of 11 arguments:

Name Description


RateArray Term Structure array. Depending on the model, this array has severa• a (Dates, Rates, Constant volatility) array if BS is specified.• a (Dates, Rates, Volatilities) array if BDT is specified.• a (Dates, Rates, Constant volatility, constant mean-reversion) if H

specifiedThe model used is specified through the keyword RM (Rate Model) iRateStructure argument.

StartDate Start date of the cap, floor, or collar.

ExpiryDate Expiry date of the cap, floor, or collar.

CapStrikePrice Exercise or strike price of the cap.

FloorStrikePrice Exercise or strike price of the floor.

FirstRate Rate of the cap, floor, or collar for the current calculation period.

CapFloorStructure Extended argument defining the cap/floor structure.

RateStructure Extended argument defining the structure of the interest rate model.



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ing of Cap, Floor and Collar


Example usingdCapFloorCapl

ets()



Name Description

Step Action


2 Choose Adfin Options in Function Category and AdCapFloorCaplets() in Functname then click OK.The dialog box of the AdCapFloorCaplets() function appears.


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3 a. In CalcDate: choose cell H3 the calculation date.b. In RateArray, choose cells B4:D25 the (Dates, Rates, Constant volatility) array.c. In StartDate, choose cell H4 the start date of the cap.d. In ExpiryDate, choose cell H5 the expiry date of the cap, floor, or collar.e. In CapStrikePrice, choose cell H6 the Exercise or strike price of the cap.f. In FloorStrikePrice, choose cell H7 the Exercise or strike price of the floor.g. In FirstRate, leave blank.

4 a. In CapFloorStructure, type the keywords “CAP FRQ:4 CCM:MMA0” to specify a quarterly cap option with money market actual/360 rate.

b. In RateStructure, choose cell H10. RM:BS keyword specifies that the rate model is Black & Scholes.ZCTYPE:RATE keyword specifies zero-coupon ratesIM:LIN keyword specifies linear interpolation.

c. In CalcStructure, choose cell H11. CMT:FORM keyword specifies that the calculation model type is a formula.FT:BS keyword specifies that the formula type is Black & Scholes.

Step Action


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AdCapFloorCaplets() is vertical 5-column array containing for all caplets or floorlets, the date,strike price, the volatility, the forward rate, the premium and the notional.

5 Click OK.The caplet date appears in cell G14.

Step Action

1 Choose an array of cells (G14:L23) such as the original cell is at the upper-left corner of the array.



Step Action


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Pricing ofcaplet/flooret

premiums withamortization

schedule

Using the same Adfin Option function, AdCapFloorCaplets(), the keyword AMORT:DDMMYY:must be added into the CapFloorStructure argument to specify an amortization schedule.In our exercise, the cap option contains the following amortization schedule:

Then the CapFloorStructure will be:

Where AMORT:25JAN03:0.25 indicates that 0.25 is redeemed at the date 25JAN03.

Dates Amount

25JAN03 25%

25OCT03 25%

25APR04 25%

25APR05 25%

CAP FRQ:4 CCM:MMA0 AMORT:25JAN03:0.25 AMORT:25OCT03:0.25 AMORT:25APR04:0.25 AMORT:25APR05:0.25


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CapFloorDeriv()

AdCapFloorDeriv() generates an array with the caplet/floret derivatives of a cap, floor, and co

Arguments AdCapFloorDeriv() function is composed of 11 arguments:

Name Description


RateArray Term Structure array. Depending on the model, this array has several f• a (Dates, Rates, Constant volatility) array if BS is specified.• a (Dates, Rates, Volatilities) array if BDT is specified.• a (Dates, Rates, Constant volatility, constant mean-reversion) if HW

specifiedThe model used is specified through the keyword RM (Rate Model) in RateStructure argument.


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Example usingCapFloorDeriv

()

StartDate Start date of the cap, floor, or collar.

ExpiryDate Expiry date of the cap, floor, or collar.

CapStrikePrice Exercise or strike price of the cap.

FloorStrikePrice Exercise or strike price of the floor.

FirstRate Rate of the cap, floor, or collar for the current calculation period.

CapFloorStructure Extended argument defining the cap/floor structure.

RateStructure Extended argument defining the structure of the interest rate model.



Name Description

Step Action


2 Choose Adfin Options in Function Category and AdCapFloorDeriv() in Functionname then click OK.The dialog box of the AdCapFloorDeriv() function appears.

3 a. In CalcDate: choose cell H3 the calculation date.b. In RateArray, choose cells B4:D25 the (Dates, Rates, Constant volatility) array.c. In StartDate, choose cell H4 the start date of the cap.d. In ExpiryDate, choose cell H5 the expiry date of the cap, floor, or collar.e. In CapStrikePrice, choose cell H6 the Exercise or strike price of the cap.f. In FloorStrikePrice, choose cell H7 the Exercise or strike price of the floor.g. In FirstRate, leave blank. h. In CapFloorStructure, choose cell H9. i. In RateStructure, choose cell H10. j. In CalcStructure, choose cell H11.


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AdCapFloorDeriv() is vertical 6-column array containing for the global value, the global forwardall caplets or floorlets, the delta, the gamma, the vega, the theta, the BPV and the convexity.

Note: Please refer to the on-line help for any interpretation of the function.

4 Click OK.The global delta of the cap appears in cell G27.

Step Action

1 Choose an array of cells (G27:L38) such as the original cell is at the upper-left corner of the array.



Step Action

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ER 12 ADFIN EXOTICS FUNCTIONS

tents • Adfin Exotics• Structure Concepts• Exercises with Adfin Exotics

Chapter 12 Adfin Exotics Functions Reuters PowerPlus Pro 4.5.1 WorkbookAdf

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rrier

in Exotics


dfin Exotics

The Adfin Exotics functions (part of Adfin Options) support various exotics option types: AsiaBarrier, Basket, Binary, Chooser, Cliquet, Compound, Double Barrier, ExlookBack, FxLinked, PoRainbow, Bermuda Vanilla, Dual Strike, Best Of Option and American 2 Colour options.Specific exotic functions can be found in the Adfin Options module of Reuters PowerPlus ProFunctions are provided to calculate the premium, the implied volatility and the Greeks when applicable.For example:• OpAsianPremium() calculates the premium of an Asian option.• OpBinaryImpliedVol() calculates the implied volatility of an all-or-nothing binary option or

one-touch/no-touch binary option.• OpBarrierderiv() returns in an array all derivatives (delta, gamma, theta, vega, rho) of a ba

option.

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Structure Co


ructure Concepts

xoticStructureArgument

The Adfin Exotics functions are based on the ExoticStructure concept. The ExoticStructureargument is a group of keywords, which specifies the parameters necessary to define an ExotiOption.For example, ExoticStructure integrates calculation methods (Asian option, Binary option, Baoption, Rainbow option...) of the exotics option, the option type (CALL or PUT), the exercise m(EXM:AMERICAN or EXM:EURO), the knock-out barrier flag (KO), knock-in down-barrier andknock-out up-barrier flag (KIKO), rebate amount for barrier and double barrier options (REBATTo access the complete list of the available arguments, click for example on the online help of OpBarrierPremium() function, then click ExoticStructure.

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RateStructureArgument

Most of the Adfin Exotic functions use the RateStructure argument. The RateStructure is a gof arguments, which specifies the rate model for pricing instruments.One can choose the rate type (continuous, discounted…), the rate model (Yield Curve, Yield to Yield To Worst…), the zero-coupon yield curve type (rate or discount factor)…To access the complete list of the available arguments, click on the on-line help of any Adfin Exfunctions for instance (see “Adfin Options Functions” on page 273 more details).Reuters PowerPlus Pro provides some Rate Model styles for the principal types of Rate Modeavailable (see “Adfin Bonds Functions” on page 145).

CalcStructureArgument

The CalcStructure argument is used to define the possible calculation methods. It is a very important argument for option pricing.It is in the CalcStructure that one can choose the calculation model type: (tree or formula), theformula type (Black & Scholes Model)… See “Adfin Options Functions” on page 273 for more information.

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Exercises with Adfin E


xercises with Adfin Exotics

In our exercise, we determine the premium of an average rate Asian Option, the implied volatila Binary option and derived values (Greeks) of a knock-out barrier option. Pay particular attention to the ExoticStructures of these three kinds of Exotic Options, as they dfrom one another.

pAsianPremium()

OpAsianPremium() function calculates the premium of an Asian optionAs explained in the On-line help, Asian options are options where the final payoff is based on taverage level of the underlying asset price over a period of time. The sampling frequency, the averaging period and the mathematical type of the average allow multiple variations.Asian options comprise average rate options and average strike options. Average rate optionsthe difference between the average of the underlying prices and the strike price, whereas average-strike options pay the difference between the underlying price at maturity and the aveof the underlying prices. The strike price for the latter is therefore set when the option expires.Our example is based on premium calculation of an average rate Asian option.

Arguments OpAsianPremium() is composed of 13 arguments:=OpAsianPremium(CalcDate, FirstFixingDate, ExpiryDate, SpotPrice, StrikePrice, AveragePricNbFixing, Volatility, RiskFreeRateArray, ReturnArray, ExoticStructure, RateStructure, CalcStruc

Name Description


FirstFixingDate Date of the first fixing for the average calculation.


SpotPrice Spot price of the underlying stock.

StrikePrice Strike price of the option (ignored for average strike options

AveragePrice Average of the underlying prices from the first fixing date tocalculation date.

NbFixing Number of fixings used to calculate the average.

Volatility Anticipated volatility of the underlying.

RiskFreeRateArray Array of data depending on the rate model chosen.

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Example usingpAsianPremiu

m()


ReturnArray Array of annual continuous yield rate for each asset.

ExoticStructure Extended argument defining the option structure.



Name Description

Step Action

1 a. In cell C2, enter the Calculation Date. Use for example =today() function.b. In cell C3, enter the First fixing date of the option.c. In cell C4, enter the ExpiryDate.d. In cell C5, enter the Spot price of the underlying stock.e. In cell C6, enter the Strike Price.f. In cell C7, enter the Average Price of the Asian option.g. In cell C8, enter the Number of Fixings.h. In cell C9, enter the Volatility (do not forget to apply the percentage format).i. In cell C10, enter the Risk Free Rate (do not forget to apply the percentage formaj. In cell C11, enter the Return Array (do not forget to apply the percentage format).

2 In cell C12, enter the ExoticStructure.• the keyword « UI:SEC » defines the underlying asset type (Securities)• the keyword « AVE:ARI » specifies an arithmetic average• the keyword « CALL » specifies a CALL option• the keyword « ASIAN:RATE » specifies an average rate Asian option• the keyword « EXM:E » specifies a European Asian option

3 In cell C13, enter the RateStructure.• the keyword « RATETYPE:CONT » defines the type of the yearly rates.

4 In cell C14, enter the CalcStructure.• the keyword « CMT:FORM » specifies that the calculation model type is a formula.• the keyword « FT:BS » specifies that the formula type used to price this option is B

and Scholes.



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pBinaryImpliedVol()

OpBinaryImpliedVol() function calculates the implied volatility of a barrier option.As explained in the On-line help, All-or-nothing binary (or digital) options pay a pre-determined amount of cash if the underlying price at expiry is in the money (i.e. above the option strike prica call or below for a put). These binary options are referred to as cash-or-nothing. Asset-or-notbinary options are similar except that the holder receives the asset instead of the cash amountThe example is based on an All or Nothing Asset Option.

Arguments OpBinaryImpliedVol() is composed of 12 arguments:=OpBinaryImpliedVol(CalcDate, ExpiryDate, SpotPrice, BarrierPrice, StrikePrice, CashAmountPremium, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure)

6 Choose Adfin Option in Function Category and OpAsianPremium() in Functionname then click OK.The dialog box of the OpAsianPremium() function appears. Fill in the function with thargument described before.

7 Enter all arguments requested to get the following formula:=OpAsianPremium(C2,C3,C4,C5,C6,C7,C8,C9,C10,C11,C12,C13,C14)

8 Click OK. The premium appears in cell C15.

Step Action


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Example usingpBinaryImplied

Vol()


Name Description



SpotPrice Spot price of the underlying stock.

BarrierPrice Price of the barrier of the option.

StrikePrice Strike price of the option.

CashAmount Fixed amount of cash paid if applicable.


RiskFreeRateArray Array of data depending on the rate model chosen.

ReturnArray Array of annual continuous yield rate for each asset.

ExoticStructure Extended argument defining the option structure.



Step Action

1 a. In cell C2, entry the Calculation Date. Use for example =today() function.b. In cell C3, enter the ExpiryDate.c. In cell C4, enter the Spot price of the underlying stock.d. In cell C5, enter the Barrier Price of the option.e. In cell C6, enter the Strike Price.f. In cell C7, enter the Cash Amount.g. In cell C8, enter the Premium Amount.h. In cell C9, enter the Risk Free Rate (do not forget to apply the percentage formati. In cell C10, enter the Return Array (do not forget to apply the percentage format)


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2 In cell C11, enter the ExoticStructure.• the keyword « UI:SEC » defines the underlying asset type (Securities)• the keyword « EXM:E » specifies a European Binary option• the keyword « BINARY:ASSET » specifies an asset or nothing option• the keyword « CALL » specifies a CALL option

3 In cell C12, enter the RateStructure.• the keyword « RATETYPE:CONT » defines the type of the yearly rates (continuo

rates are used in the Black and Scholes model)

4 In cell C13, enter the CalcStructure.• the keyword « CMT:FORM » specifies that the calculation model type is a formula• the keyword « FT:BS » specifies that the formula type used to price this option is B

and Scholes


6 Choose Adfin Option in Function Category and OpBinaryImpliedVol() in Functiname then click OK.The dialog box of the OpBinaryImpliedVol() function appears.

7 Enter all arguments requested to obtain the following formula: =OpBinaryImpliedVol(C2,C3,C4,C5,C6,C7,C8,C9,C10,C11,C12,C13)

Step Action


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pBarrierDeriv() OpBarrierDeriv() function returns an array of all the derivatives (delta, gamma, theta, vega, rha barrier option.As explained in the On-Line help, Barrier options are options where the right to exercise dependwhether the underlying asset price reaches a predefined barrier level during the lifetime of the option.The exercise is based on a single barrier option. Note that it is also possible to evaluate doubbarrier options.

Arguments OpBarrierDeriv() is composed of 12 arguments:=OpBarrierDeriv(CalcDate, ExpiryDate, SpotPrice, StrikePrice, BarrierPrice, Volatility, RiskFreeRateArray, ReturnArray, ExoticStucture, RateStructure, CalcStructure, AdMode)

8 Click OK.The implied volatility of the barrier option appears in cell C15.

Step Action

Name Description



SpotPrice Spot price of the underlying stock


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Example usingpBarrierDeriv()


StrikePrice Strike price of the option

BarrierPrice Price of the barrier of the option

Volatility Anticipated volatility of the underlying

RiskFreeRateArray Array of data depending on the rate model chosen

ReturnArray Array of annual continuous yield rate for each asset

ExoticStructure Extended argument defining the option structure


CalcStructure Extended argument defining the calculation method

AdMode Extended argument customising the return value

Name Description

Step Action

1 a. In cell C2, entry the Calculation Date. Use for example =today() function.b. In cell C3, enter the Expiry Date of the option.c. In cell C4, enter the Spot Price of the option.d. In cell C5, enter the Strike Price of the option.e. In cell C6, enter the Barrier Price.f. In cell C7, enter the Volatility (do not forget to apply the percentage format).g. In cell C8, enter the risk free rate (do not forget to apply the percentage format).h. In cell C9, enter the return array (do not forget to apply the percentage format).

2 In cell C10, enter the ExoticStructure.• the keyword « UI:SEC » defines the underlying asset type (Securities)• the keyword « EXM:E » specifies a European Asian option• the keyword « KO » KO to specifies a knock-out barrier option

3 In cell C11, enter the RateStructure.• the keyword « RATETYPE:CONT » defines the type of the yearly rates (continuous

are used in the Black and Scholes model)


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4 In cell C12, enter the CalcStructure.• the keyword « CMT:FORM » specifies that the calculation model type is a formula• the keyword « FT:BS » specifies that the formula type used to price this option is B

and Scholes


6 Choose Adfin Option in Function Category and OpBarrierDeriv() in Function nathen click OK.The dialog box of the OpBarrierDeriv() function appears.

7 Enter all arguments requested to obtain the following formula: =OpBarrierDeriv(C2,C3,C4,C5,C6,C7,C8,C9,C10,C11,C12)

8 Click OK.The Delta ratio appears in cell C15.

9 Choose the range C15:G15, press the F2 key, and then press Ctrl+Shift+Enter.The Greeks appear in the range C15:G15:

Step Action

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M and Reuters PowerPlus Pro Functions


OM and Reuters PowerPlus Pro Functions

Developed in C++ for optimal performance, the Reuters PowerPlus Pro functions are fully integinto the familiar Microsoft Excel spreadsheet environment. However, for greater openness andflexibility, you can now access most of Reuters PowerPlus Pro functionality outside Excel in a Microsoft Windows (NT, 2000 and XP) development environment thanks to a series of COM components included within Reuters PowerPlus Pro product.Reuters PowerPlus Pro 4.5 now provides AdfinXRealTime which permits to use the same applications within Excel or whatever COM objects container (IE, VB, VBA or Visual C++).

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AdfinX An


dfinX Analytics

Description: To make it as convenient as possible and satisfy all developer profiles, AdfinX Analytics offers different but complementary interfaces: an improved function oriented API upgraded for functioparity with Excel and an object oriented API based on the new analytic library architecture.• An improved Function Oriented API (or the AdfinXAnalyticsFunctions API) which is aimed

standard users and performs the same analytical calculations as the Reuters PowerPlus PrExcel functions.

• The Object-Orientated API based on the new analytic library architecture.The API provides the following interfaces: AdxBondModule, AdxConvBondModule, AdxDateMoAdxExoticModule, AdxForexModule, AdxSwapModule…Development support is only provided as part of a Premium Support agreement.

Note: See below how AdfinXAnalytics exposes Analytics methods in VB/VBA:

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inX Analytics


dfinXAnalyticsexample

Reuters PowerPlus Pro provides you with some examples to help you to use the AdfinXAnalymethods.To access the set of AdfinXAnalytics examples available, choose:

Samples are grouped by development platform: C++, VBA, Internet Explorer and VB.

C:\Program Files\Reuters\Common\Adfin\Samples\AdfinX\Module folder.


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AdfinX An


dxBondModulexample in VBA Step Action

1 Choose in the Excel folder the Bonds.xls file.This example is intended to show how to use the AdxBondModule interface to calculsome basic parameters of a bond.

2 You can change all yellow cells and insert your own inputs. Click on Calculate run the AdxBondModule sample.To access to all methods in this sample, you are able to view the VBA code used.


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3 Choose Tools ➤ Macros ➤ Visual Basic Editor or press Alt+F11.The VBA code of Bond.xls file appears in your Visual Basic Editor.

Step Action


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dxBondModuleexample in

ternet ExplorerStep Action

1 Choose in the IE folder, the Bonds.htm file.The following web page appears.

2 You can change all yellow cells and insert your own inputs. Click on the Calculbutton to run the AdxBondModule sample.To access to all methods in this sample, you are able to view the VBScript code used

3 Choose in the View menu, the Source option.

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aEngine ActiveX (DEX)


ataEngine ActiveX (DEX)

Description: The COM server architecture of the 3000 Data Engine was released within PPPro 4.0 to greatlimprove performance in value added data retrieval within Excel. It provides functional parity witExcel Data Engine functions. It has been enhanced to support of all new feature in 3000 Data Engine, such as retrieval from DBU.These functions are gathered in a library named DEX (DataEngine ActiveX), a new ActiveX/Cinterface for developers wishing to retrieve Reuters 3000 data flexibly outside of the Excel contaThe DataEngine ActiveX library (DEXLib) provides the following interfaces: MrvInstrument, MrvInstrumentBag, MrvLookup, and MrvQuery.You can see below how DEX exposes the DataEngine interfaces and its members (methods, properties and event) in VB/VBA:

DataEngineActiveX

examples

Reuters PowerPlus Pro provides you with some samples to help you to use the DataEngine ActiveX methods.To view the set of DataEngine ActiveX examples available, go in

The aim of this example is to help you to develop applications using DEX.

C:\Program Files\Reuters\Common\Dex\Samples

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DataEngine ActiveX


DataEnginectiveX example

in VBStep Action

1 Choose in the VB folder, the Dex_ex1.exe file.The following Form appears.

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aEngine ActiveX (DEX)


You can either retrieve data from Reuters Treasury database or Equity databases.

2 To access to all methods in this sample, you are able to view the VB code usedClick on the Dex_ex1.vbp file in the same directory (VB folder).The VB code of Dex_ex1.exe file appears.

Step Action

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AdfinX Rea


dfinX Real Time

Description: To complete the ActiveX availability of its development tools, Reuters PowerPlus Pro 4.5 now includes AdfinXRealTime. This API offers the functional parity with Adfin RealTime module available in Excel.The RealTime API provides the following interfaces: AdxRtChain, AdxRtContribute, AdxRtHistoand AdxRtList.As for AdfinXAnalytics and DEX, the support on AdfinXRealTime is based on a Premium SuppAgreement.You can see below how AdfinXRealTime exposes the RealTime interfaces and its members in VB/VBA:

dfinXRealTimeexamples

Reuters PowerPlus Pro provides you with some samples to help you to use the Real Time Actmethods.


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inX Real Time


To view the set of DataEngine ActiveX examples available, go in

dfinXRealTimexample in VBA

The aim of this example is to help you to develop applications using ActiveX Controls.

C:\Program Files\Reuters\Common\Adfin\Samples\Realtime.

Step Action

1 Choose in the Excel folder the RtChain.xls file.

2 You can change the instrument name (.FCHI) and insert your own input. Click onChain button to run the AdxRtChainModule sample.

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ER 14 INSERTING CHARTS IN EXCEL WITH REUTERS POWERPLUS PRO

tents • How to Insert a Chart in Excel

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ow to Insert a Chart in Excel

How to insert achart in Excel Step Action

1 Enter a RIC in the cell B2, (the Reuters code, RTR.L in our example). Press Entand click the cell again to make sure that it is highlighted.

2 In order to insert the Chart object, choose the cell B2 and chose the Insert Chaoption in the Reuters menu of Reuters PowerPlus Pro.

3 Click and drag across the cells where you want to position the Chart display.This automatically inputs the required cell range into the Insert Chart dialog box. Youneed to move the dialog box before you click and drag. In the Insert Chart dialog boxchoose the zone B5:J16 and click the Next button.

The dialog box now shows the reference for the cell that contains the Reuters code (can change this reference if it is not correct).

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4 Click Finish.This dismisses the dialog box and displays Chart in the specified position on the she

• The Chart obtained in Excel with Reuters PowerPlus Pro is identical to the ReuteGraphics or Graphics Object in Kobra.

• To modify the Chart object properties, e.g. colours, right-click the Chart object anchoose the Properties option.

Step Action

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ER 15 ERRORS MESSAGES IN REUTERS POWERPLUS PRO

tents • General Excel Error Messages• Real Time Error Messages• Reuters PowerPlus Pro Licensing Error Messages

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eneral Excel Error Messages

Error Description Possible Reasons Fix

#NAME? Occurs when Microsoft Excel does not recognise text in a formula. If this message appears in a cell where an Adfin function is pasted, this can be due to different types of errors.

• Adfin is not loaded and a sheet using Adfin functions is opened. As Adfin functions are not recognised by Excel (they are not loaded), no calculation will be done and “#NAME?” will appear.

• The Adfin function is misspelled. Thus, Excel can not recognise the function to use. To get rid of such errors use the function wizard so that the proper function is pasted and all the required arguments are entered.

• Use the button fcheck that the required functionbeen entered correctly.

• Check that ReutPowerPlus Pro hbeen loaded (Reuters menu mappear in the Exmenu tool).

#REF! Occurs when a cell reference in one of the function parameters is not valid.

Cells referenced by other formulas have been deleted, pasted over or moved.

Choose the cell, enedit mode by pressithe F2 key or Shitf+edit the function witfunction wizard andcheck that the functparameters are corrand not invalid.

##### • The formula in the cell produces a result that is too long to fit in the cell.

• The formula in the cell has returned a negative value and the cell has been formatted with a date format.

Drag the boundary between the columnheadings to increaswidth of the columnreduce the amount data displayed by changing the numbformat and reducingnumber of decimal places.

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#VALUE! Occurs when a wrong type of argument or operand is used.

The argument may be misspelled or may use a wrong format. For instance, the bond price or coupon must be entered in percentage format.

• Choose the celpress F2 to edit function and chethat the functionparameters are right cell and thathey contain valvalues.

• Choose Format ➤ Cells from the Formatdialog choose thNumber tab andcheck the applieformat (see Excconventions).


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eal Time Error Messages


#N/A Invalid field name

• The field name is not valid for the instrument code.

• The field name is valid, but is not listed in the Appendix_A file when working in direct API mode. Thus Reuters PowerPlus Pro cannot process the request.

The file Appendix_Alocated in the produdirectory. A new fielname can be addedthe file.

#N/A Invalid item name

Occurs when the instrument name is not recognised by the real-time source.

#N/A ND No data available for request if history request expand date range.

#N/A N/A Most of the time, this message is displayed while the real-time is invoked, before the requested value appears.

The first thing to tryclick on the Restart button (in the Real Tdialog box) to restarAdfin Real Time.

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Reuters PowerPlus Pro Licensing Error Me


euters PowerPlus Pro Licensing Error Messages

Introduction A Reuters PowerPlus Pro licensing error always returns the following dialog box:

The m_log.dat file, which is accessed from the path C:\Documents and Settings\pppro\LocSettings\Application Data\reuters\common\Adfin, must be checked for details.

rror messages Error Description Possible Reasons Fix

No Reply from Server

The Adfin ELS Licensing library is not able to contact the ELS server to permission the software.

• The ELS server is not in the DNS or host files.

• An incorrect IP address has been specified during the install process.

• The ELS server is down (contact network administrator).

Cannot Find Server

Occurs when the Adfin ELS Licensing library is not able to contact the ELS server on a specified port number, to permission the software.

• An incorrect port number was specified during the install process.

• The port number was not written to the services file.

Check services file iWinnt\System32\drietc\services directoMake sure that the entries (els_port 2100/tcp, els_port2100/udp) athe file. You may however hdifferent port id the default is 2100.

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License not found

Occurs when Reuters PowerPlus Pro doesn’t have any ELS license to run the software.

Contact your Reutetechnical representato get ELS license
