PRICEFROMZEROESTVF

Updated 2023-10-13 12:10:39.610000

Syntax

SELECT * FROM [westclintech].[wct].[PriceFromZeroesTVF](
  <@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Rate, sql_variant,>
 ,<@CurveSpread, float,>
 ,<@Redemption, float,>
 ,<@Frequency, float,>
 ,<@Basis, nvarchar(4000),>
 ,<@LastCouponDate, datetime,>
 ,<@FirstCouponDate, datetime,>
 ,<@IssueDate, datetime,>
 ,<@CCZero, nvarchar(max),>
 ,<@CurveType, nvarchar(4000),>
 ,<@CurveStartDate, datetime,>
 ,<@CurveDayCount, nvarchar(4000),>
 ,<@CurveFrequency, int,>
 ,<@InterpMethod, nvarchar(4000),>)

Description

Use the SQL Server table-valued function PriceFromZeroesTVF to generate the details used to calculate the price from the Z-spread. PriceFromZeroesTVF is a way of researching or auditing the calculation of the price. The Z-spread is entered in decimal format (i.e. 1 basis point = .0001).

Arguments

@FirstCouponDate

For bonds where the first coupon period is either longer or shorter than a regular coupon period, the date of the first coupon payment.

@Basis

Interest basis code for the bond; the day-count convention used in the calculation of the accrued interest.

@Frequency

Coupon frequency of the bond; the number of times that the coupon interest is paid per year.

@LastCouponDate

For bonds where the last coupon period is either longer or shorter than the regular coupon period, the last coupon date prior to the maturity date.

@CurveStartDate

The start date for the curve; used to calculate the time-in-years associated with the coupon dates.

@Rate

Coupon rate of the bond (.01 = 1%). For stepped-rate bonds, an SQL statement which returns a result table consisting of the coupon start dates and the associated coupon rates.

@CurveDayCount

The day-count convention used in calculating the time-in-years associated with the coupon dates. Valid values are (0,1,2,3,4,21); see YEARFRAC documentation for more details.

@CCZero

An SQL statement which produces a resultant table containing 2 columns; the time in years and the rates to be used in the OAS calculation.

@IssueDate

For bonds where the first coupon period is either longer or short than a regular coupon period, the start date for the first period coupon interest.

@CurveFrequency

The compounding frequency used in the calculation of the discount factors when the supplied curve is the spot curve. Valid Values are (1,2,4).

@CurveSpread

Z-spread.

@Settlement

Settlement date of the bond.

@CurveType

Identifies the curve in @CCZero as either a spot curve (S) or a continuously compounded zero coupon curve (CC). Valid values are ('S', 'CC').

@InterpMethod

The interpolation method to calculate the rate associated with the coupon dates; use 'L' for linear interpolation and 'S' for cubic spline interpolation.

@Maturity

Maturity date of the bond.

@Redemption

Redemption value of the bond.

Return Type

table

{"columns": [{"field": "colName", "headerName": "Name", "header": "name"}, {"field": "colDatatype", "headerName": "Type", "header": "type"}, {"field": "colDesc", "headerName": "Description", "header": "description", "minWidth": 1000}], "rows": [{"id": "38697eb8-1dec-47df-b2eb-98d9a9346aef", "colName": "date_pmt", "colDatatype": "datetime", "colDesc": "\t Cash flow date"}, {"id": "4dcd3a10-3a97-4929-9478-fd3cb960831f", "colName": "T", "colDatatype": "float", "colDesc": "Time (in years)"}, {"id": "74c6b174-4b6d-489d-a005-9bb2042b1543", "colName": "delta", "colDatatype": "float", "colDesc": "Change in T from the previous coupon"}, {"id": "fe933120-3e36-45c1-be29-d235672156b1", "colName": "cczero", "colDatatype": "float", "colDesc": "\t Continuously compounded zero coupon rate"}, {"id": "2e048585-016c-48ff-9365-3c624ab8b0dd", "colName": "spot", "colDatatype": "float", "colDesc": "Spot rate; @Freq*(POWER(1/df,1/(@Freq*T))-1"}, {"id": "43bf1cf3-b29d-4a04-b01a-0bb912913c44", "colName": "pvf", "colDatatype": "float", "colDesc": "Discount factor from cczero; EXP(-cczero*T)"}, {"id": "e92d4513-f8e0-4a00-918b-8f9f54011798", "colName": "fwd", "colDatatype": "float", "colDesc": "Forward rate"}, {"id": "f8f3e452-b199-449c-9334-08baa58a11a4", "colName": "spread", "colDatatype": "float", "colDesc": "Z-spread"}, {"id": "5b7ba98c-4cfc-452b-82d2-98c5f473f79e", "colName": "df", "colDatatype": "float", "colDesc": "Discount factor for the forward period; 1/(1+(fwd + spread) * delta)"}, {"id": "52274f93-0141-49d3-a5a2-4e997d2b146b", "colName": "cf", "colDatatype": "float", "colDesc": "Cash flow amount from the bond"}, {"id": "21e6251c-a50c-4722-be05-dcac9f48939d", "colName": "dcf", "colDatatype": "float", "colDesc": "Discounted cash flow value of all cash flows greater than or equal to date_pmt"}]}

Remarks

If @Settlement is NULL then @Settlement = GETDATE().

If @Maturity is NULL then @Maturity = GETDATE().

If @Rate is NULL then @rate = 0.

If @CurveSpread is NULL then @CurveSpread = 0.

If @Redemption is NULL then @Redemption = 100.

If @Frequency is NULL then @Frequency = 2.

If @Basis is NULL then @Basis = 0.

If @CurveType is NULL then @CurveType = 'CC'.

If @CurveStartDate is NULL then @CurveStartDate = @Settlement.

If @CurveDayCount is NULL then @CurveDayCount = 1.

If @CurveFrequency is NULL then @CurveFrequency = 2.

If @CurveInterpMethod is NULL then @CurveInterpMethod = 'S'.

Examples

Example #1

In this example we put the continuously compounded zeroes into the #ccz temp table and then generate the table for a bond maturing on 2023-10-01 with a coupon rate of 5.25% paying interest semi-annually. The Z-spread is 327.6 basis points.

SELECT *

INTO #ccz

FROM

(

    VALUES

        (0.011, 0.0031936941106789),

        (0.25, 0.00319251640948496),

        (0.50, 0.0042807233899723),

        (1, 0.00544437632630534),

        (2, 0.00727274510130153),

        (3, 0.00859818036980457),

        (4, 0.0101034030456584),

        (5, 0.0116083325279126),

        (7, 0.0144258819802952),

        (10, 0.0163078262966277),

        (20, 0.0203301487469184),

        (30, 0.0250383019093584)

) n (T, z);

SELECT date_pmt,

       T,

       delta,

       cczero,

       spot,

       pvf,

       fwd,

       spread,

       df,

       cf,

       dcf

FROM wct.PriceFromZeroesTVF(   '2016-11-28',         --@Settlement

                               '2023-10-01',         --@Maturity

                               0.0525,               --@Rate

                               .03276,               --@CurveSpread

                               100,                  --@Redemption

                               2,                    --@Frequency

                               0,                    --@Basis

                               NULL,                 --@LastCouponDate

                               NULL,                 --@FirstCouponDate

                               NULL,                 --@IssueDate

                               'SELECT * FROM #ccz', --@ZeroRate

                               NULL,                 --@CurveType

                               NULL,                 --@CurveStartDate

                               NULL,                 --@CurveDayCount

                               NULL,                 --@CurveFrequency

                               NULL                  --@InterpMethod

                           );

This produces the following result.

{"columns":[{"field":"date_pmt","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"T","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"delta","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"cczero","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"spot","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"pvf","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"fwd","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"spread","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"df","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"cf","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"dcf","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"date_pmt":"2016-11-28 00:00:00.000","T":"0","delta":"0","cczero":"0","spot":"0","pvf":"1","fwd":"0","spread":"0","df":"1","cf":"-0.83125","dcf":"103.502027365186"},{"date_pmt":"2017-04-01 00:00:00.000","T":"0.33972602739726","delta":"0.33972602739726","cczero":"0.00350881820206844","spot":"0.00351189795414708","pvf":"0.99880867332508","fwd":"0.0035109103536241","spread":"0.03276","df":"0.987827815470335","cf":"2.625","dcf":"104.333277365186"},{"date_pmt":"2017-10-01 00:00:00.000","T":"0.841095890410959","delta":"0.501369863013699","cczero":"0.00521147294071892","spot":"0.0052182687046467","pvf":"0.995626244377106","fwd":"0.00637535180463102","spread":"0.03276","df":"0.980756300164378","cf":"2.625","dcf":"102.993889983888"},{"date_pmt":"2018-04-01 00:00:00.000","T":"1.33850364963504","delta":"0.497407759224078","cczero":"0.00602297416183348","spot":"0.00603205232691018","pvf":"0.991970636044199","fwd":"0.00740880708352874","spread":"0.03276","df":"0.980411115012765","cf":"2.625","dcf":"102.389762552763"},{"date_pmt":"2018-10-01 00:00:00.000","T":"1.83941605839416","delta":"0.500912408759124","cczero":"0.00698968529466172","spot":"0.00700191346081391","pvf":"0.98722535799592","fwd":"0.00959585269199607","spread":"0.03276","df":"0.979224218667594","cf":"2.625","dcf":"101.810538301124"},{"date_pmt":"2019-04-01 00:00:00.000","T":"2.33812457221081","delta":"0.498708513816654","cczero":"0.0077720912716469","spot":"0.00778721220286238","pvf":"0.981991999725694","fwd":"0.0106862599645359","spread":"0.03276","df":"0.978792483931442","cf":"2.625","dcf":"101.345608937404"},{"date_pmt":"2019-10-01 00:00:00.000","T":"2.83915126625599","delta":"0.501026694045175","cczero":"0.00839321809182726","spot":"0.00841085428141231","pvf":"0.976452067615507","fwd":"0.0113238119384381","spread":"0.03276","df":"0.978390134149869","cf":"2.625","dcf":"100.916466246591"},{"date_pmt":"2020-04-01 00:00:00.000","T":"3.33880678708265","delta":"0.49965552082666","cczero":"0.00907695979310007","spot":"0.00909758878915934","pvf":"0.970148414098621","fwd":"0.0130041947687565","spread":"0.03276","df":"0.97764484777313","cf":"2.625","dcf":"100.520425044865"},{"date_pmt":"2020-10-01 00:00:00.000","T":"3.83962780514505","delta":"0.500821018062398","cczero":"0.00985273922807535","spot":"0.00987704824766134","pvf":"0.962875796116978","fwd":"0.0150812715126159","spread":"0.03276","df":"0.976600730194965","cf":"2.625","dcf":"100.19395851426"},{"date_pmt":"2021-04-01 00:00:00.000","T":"4.33850364963504","delta":"0.49887584448999","cczero":"0.0106196279282639","spot":"0.0106478720207619","pvf":"0.954971965409403","fwd":"0.0165903111448544","spread":"0.03276","df":"0.975971886278109","cf":"2.625","dcf":"99.9695971740748"},{"date_pmt":"2021-10-01 00:00:00.000","T":"4.83941605839416","delta":"0.500912408759124","cczero":"0.0113675293068813","spot":"0.0113998957795993","pvf":"0.946473597240382","fwd":"0.0179252511011685","spread":"0.03276","df":"0.975239763244653","cf":"2.625","dcf":"99.805816481109"},{"date_pmt":"2022-04-01 00:00:00.000","T":"5.33828705514275","delta":"0.498870996748585","cczero":"0.0121215858413535","spot":"0.012158393375556","pvf":"0.937340653874319","fwd":"0.0195310258747135","spread":"0.03276","df":"0.974576727396549","cf":"2.625","dcf":"99.71477350252"},{"date_pmt":"2022-10-01 00:00:00.000","T":"5.8392647633946","delta":"0.500977708251858","cczero":"0.0128781063136676","spot":"0.0129196568533945","pvf":"0.927559187596237","fwd":"0.0210496039411538","spread":"0.03276","df":"0.973750214227297","cf":"2.625","dcf":"99.6909805681946"},{"date_pmt":"2023-04-01 00:00:00.000","T":"6.33812457221081","delta":"0.498859808816211","cczero":"0.0135945528107135","spot":"0.0136408606401575","pvf":"0.9174437863463","fwd":"0.0221016722882411","spread":"0.03276","df":"0.97336078620236","cf":"2.625","dcf":"99.7533914104735"},{"date_pmt":"2023-10-01 00:00:00.000","T":"6.83915126625599","delta":"0.501026694045175","cczero":"0.0142403011656465","spot":"0.0142911182467955","pvf":"0.907200700594317","fwd":"0.0225354672135218","spread":"0.03276","df":"0.973042343401939","cf":"102.625","dcf":"99.8584704916239"}]}

Example #2

In this example we use the same curve as from the previous example, but we are going to generate the table for a stepped rate bond.

--Put the step information into the #step table
SELECT date_step,
       rate_step
INTO   #step
  FROM (   VALUES ('2020-10-01', .0425),
                  ('2024-10-01', .0625)) n (date_step, rate_step);

--The bond to be evaluated
SELECT date_pmt,
       T,
       delta,
       cczero,
       spot,
       pvf,
       fwd,
       spread,
       df,
       cf,
       dcf
  FROM wct.PriceFromZeroesTVF('2016-11-28', --@Settlement
                              '2026-10-01', --@Maturity
                              'SELECT date_step, rate_step FROM #step', --@Rate
                              .00836, --@Spread
                              100, --@Redemption
                              2, --@Frequency
                              0, --@Basis
                              NULL, --@LastCouponDate
                              NULL, --@FirstCouponDate
                              NULL, --@IssueDate
                              'SELECT * FROM #ccz', --@ZeroRate
                              NULL, --@CurveType
                              NULL, --@CurveStartDate
                              NULL, --@CurveDayCount
                              NULL, --@CurveFrequency
                              NULL --@InterpMethod
    );

This produces the following result.

{"columns":[{"field":"date_pmt","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"T","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"delta","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"cczero","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"spot","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"pvf","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"fwd","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"spread","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"df","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"cf","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"dcf","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"date_pmt":"2016-11-28 00:00:00.000","T":"0","delta":"0","cczero":"0","spot":"0","pvf":"1","fwd":"0","spread":"0","df":"1","cf":"0","dcf":"103.501622687138"},{"date_pmt":"2017-04-01 00:00:00.000","T":"0.33972602739726","delta":"0.33972602739726","cczero":"0.00350881820206844","spot":"0.00351189795414708","pvf":"0.99880867332508","fwd":"0.0035109103536241","spread":"0.00836","df":"0.995983341394615","cf":"0","dcf":"103.501622687138"},{"date_pmt":"2017-10-01 00:00:00.000","T":"0.841095890410959","delta":"0.501369863013699","cczero":"0.00521147294071892","spot":"0.0052182687046467","pvf":"0.995626244377106","fwd":"0.00637535180463102","spread":"0.00836","df":"0.992666318903131","cf":"0","dcf":"103.919029953062"},{"date_pmt":"2018-04-01 00:00:00.000","T":"1.33850364963504","delta":"0.497407759224078","cczero":"0.00602297416183348","spot":"0.00603205232691018","pvf":"0.991970636044199","fwd":"0.00740880708352874","spread":"0.00836","df":"0.992217515133103","cf":"0","dcf":"104.686769334422"},{"date_pmt":"2018-10-01 00:00:00.000","T":"1.83941605839416","delta":"0.500912408759124","cczero":"0.00698968529466172","spot":"0.00700191346081391","pvf":"0.98722535799592","fwd":"0.00959585269199607","spread":"0.00836","df":"0.99108586704675","cf":"0","dcf":"105.507882835931"},{"date_pmt":"2019-04-01 00:00:00.000","T":"2.33812457221081","delta":"0.498708513816654","cczero":"0.0077720912716469","spot":"0.00778721220286238","pvf":"0.981991999725694","fwd":"0.0106862599645359","spread":"0.00836","df":"0.990590841195326","cf":"0","dcf":"106.456853380752"},{"date_pmt":"2019-10-01 00:00:00.000","T":"2.83915126625599","delta":"0.501026694045175","cczero":"0.00839321809182726","spot":"0.00841085428141231","pvf":"0.976452067615507","fwd":"0.0113238119384381","spread":"0.00836","df":"0.990234196259994","cf":"0","dcf":"107.468037209281"},{"date_pmt":"2020-04-01 00:00:00.000","T":"3.33880678708265","delta":"0.49965552082666","cczero":"0.00907695979310007","spot":"0.00909758878915934","pvf":"0.970148414098621","fwd":"0.0130041947687565","spread":"0.00836","df":"0.989438008625027","cf":"0","dcf":"108.527899374891"},{"date_pmt":"2020-10-01 00:00:00.000","T":"3.83962780514505","delta":"0.500821018062398","cczero":"0.00985273922807535","spot":"0.00987704824766134","pvf":"0.962875796116978","fwd":"0.0150812715126159","spread":"0.00836","df":"0.988396344081404","cf":"0","dcf":"109.686406251673"},{"date_pmt":"2021-04-01 00:00:00.000","T":"4.33850364963504","delta":"0.49887584448999","cczero":"0.0106196279282639","spot":"0.0106478720207619","pvf":"0.954971965409403","fwd":"0.0165903111448544","spread":"0.00836","df":"0.987705918215434","cf":"2.125","dcf":"110.974111659239"},{"date_pmt":"2021-10-01 00:00:00.000","T":"4.83941605839416","delta":"0.500912408759124","cczero":"0.0113675293068813","spot":"0.0113998957795993","pvf":"0.946473597240382","fwd":"0.0179252511011685","spread":"0.00836","df":"0.987004498239291","cf":"2.125","dcf":"110.230418361514"},{"date_pmt":"2022-04-01 00:00:00.000","T":"5.33828705514275","delta":"0.498870996748585","cczero":"0.0121215858413535","spot":"0.012158393375556","pvf":"0.937340653874319","fwd":"0.0195310258747135","spread":"0.00836","df":"0.986276919392796","cf":"2.125","dcf":"109.55677911869"},{"date_pmt":"2022-10-01 00:00:00.000","T":"5.8392647633946","delta":"0.500977708251858","cczero":"0.0128781063136676","spot":"0.0129196568533945","pvf":"0.927559187596237","fwd":"0.0210496039411538","spread":"0.00836","df":"0.985480369801351","cf":"2.125","dcf":"108.956154759395"},{"date_pmt":"2023-04-01 00:00:00.000","T":"6.33812457221081","delta":"0.498859808816211","cczero":"0.0135945528107135","spot":"0.0136408606401575","pvf":"0.9174437863463","fwd":"0.0221016722882411","spread":"0.00836","df":"0.985031360981537","cf":"2.125","dcf":"108.436466365238"},{"date_pmt":"2023-10-01 00:00:00.000","T":"6.83915126625599","delta":"0.501026694045175","cczero":"0.0142403011656465","spot":"0.0142911182467955","pvf":"0.907200700594317","fwd":"0.0225354672135218","spread":"0.00836","df":"0.984756507144421","cf":"2.125","dcf":"107.959278187028"},{"date_pmt":"2024-04-01 00:00:00.000","T":"7.33850364963504","delta":"0.499352383379048","cczero":"0.0147766151388781","spot":"0.014831336911699","pvf":"0.897234302594697","fwd":"0.0222446322490272","spread":"0.00836","df":"0.98494754305786","cf":"2.125","dcf":"107.505428845894"},{"date_pmt":"2024-10-01 00:00:00.000","T":"7.83941605839416","delta":"0.500912408759124","cczero":"0.0152063475575432","spot":"0.0152643025966874","pvf":"0.887622370190932","fwd":"0.0216182571606571","spread":"0.00836","df":"0.985205677655716","cf":"2.125","dcf":"107.023380138229"},{"date_pmt":"2025-04-01 00:00:00.000","T":"8.33835203941966","delta":"0.498935981025495","cczero":"0.0155466098978735","spot":"0.0156071910378595","pvf":"0.87841765766788","fwd":"0.021002178617298","spread":"0.00836","df":"0.985561671909673","cf":"3.125","dcf":"106.505494693139"},{"date_pmt":"2025-10-01 00:00:00.000","T":"8.83931015603613","delta":"0.500958116616479","cczero":"0.0158205489413649","spot":"0.0158832866987564","pvf":"0.869494962354469","fwd":"0.0204846041316566","spread":"0.00836","df":"0.985755887983147","cf":"3.125","dcf":"104.940783936959"},{"date_pmt":"2026-04-01 00:00:00.000","T":"9.33822797411648","delta":"0.498917818080342","cczero":"0.0160462682052243","spot":"0.0161108113834412","pvf":"0.860842506441363","fwd":"0.0201459001641204","spread":"0.00836","df":"0.985977330319372","cf":"3.125","dcf":"103.332171817322"},{"date_pmt":"2026-10-01 00:00:00.000","T":"9.83922349427576","delta":"0.500995520159284","cczero":"0.0162460601755568","spot":"0.016312222819078","pvf":"0.852272798840747","fwd":"0.0200702847346114","spread":"0.00836","df":"0.985956581375948","cf":"103.125","dcf":"101.676772454395"}]}

Example #3

In this example we will generate a table for multiple bonds using a single SQL statement. We will use the same CMT curve as in the previous example, which is stored in the temp table #z. We populate the #bonds table with some information about the bonds. We then generate the table for all the bonds in the SELECT.

--Establish the CMT curve
SELECT *
INTO #par
FROM
(
    VALUES
        (0.25, 0.00396),
        (0.5, 0.00520),
        (1, 0.00614),
        (2, 0.00823),
        (3, 0.00987),
        (4, 0.01138),
        (5, 0.01290),
        (7, 0.01605),
        (10, 0.01839),
        (20, 0.02216),
        (30, 0.02593)
) n (T, r);
--Convert the CMT curve to continuously compounded zeroes
SELECT *
INTO #z
FROM wct.CMTCURVE('SELECT * FROM #par', 'S', 2)
WHERE bootstrap = 'False';
--Enter some bonds into a table
SELECT *
INTO #bonds
FROM
(
    VALUES
        ('A', '2025-11-03', 0.0333, 226.7),
        ('B', '2023-05-12', 0.0447, 252),
        ('C', '2029-07-17', 0.0654, 413.6),
        ('D', '2022-08-06', 0.0673, 264.8),
        ('E', '2030-02-18', 0.0649, 404.1),
        ('F', '2024-08-17', 0.047, 237.4),
        ('G', '2023-04-07', 0.0488, 253.6),
        ('H', '2026-05-29', 0.0584, 227.2),
        ('I', '2023-11-06', 0.0426, 245.1),
        ('J', '2027-04-20', 0.0572, 338.9)
) n (id_bond, maturity, rate, spread);
SELECT b.id_bond,
       k.date_pmt,
       k.T,
       k.delta,
       k.cczero,
       k.spot,
       k.pvf,
       k.fwd,
       k.spread,
       k.df,
       k.cf,
       k.dcf
FROM #bonds b
    CROSS APPLY wct.PriceFromZeroesTVF(   '2016-11-28',       --@Settlement
                                          b.maturity,         --@Maturity
                                          b.rate,             --@Rate
                                          b.spread / 10000,   --@Spread
                                          NULL,               --@Redemption
                                          2,                  --@Frequency
                                          0,                  --@Basis
                                          NULL,               --@LastCouponDate
                                          NULL,               --@FirstCouponDate
                                          NULL,               --@IssueDate
                                          'SELECT * FROM #z', --@ZeroRate
                                          NULL,               --@CurveType
                                          NULL,               --@CurveStartDate
                                          NULL,               --@CurveDayCount
                                          NULL,               --@CurveFrequency
                                          NULL                --@InterpMethod
                                      ) k
ORDER BY 1,
         2;

This produces the following result.

{"columns":[{"field":"id_bond"},{"field":"date_pmt","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"T","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"delta","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"cczero","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"spot","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"pvf","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"fwd","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"spread","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"df","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"cf","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"dcf","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"id_bond":"A","date_pmt":"2016-11-28 00:00:00.000","T":"0","delta":"0","cczero":"0","spot":"0","pvf":"1","fwd":"0","spread":"0","df":"1","cf":"-0.23125","dcf":"95.0097825098982"},{"id_bond":"A","date_pmt":"2017-05-03 00:00:00.000","T":"0.427397260273973","delta":"0.427397260273973","cczero":"0.00488895994677621","spot":"0.00489494030107585","pvf":"0.997912653457241","fwd":"0.00489407131583491","spread":"0.02267","df":"0.988356362897293","cf":"1.665","dcf":"95.2410325098982"},{"id_bond":"A","date_pmt":"2017-11-03 00:00:00.000","T":"0.931506849315068","delta":"0.504109589041096","cczero":"0.00605717904895895","spot":"0.00606636067024757","pvf":"0.994373584128795","fwd":"0.00706015983493015","spread":"0.02267","df":"0.985234042566849","cf":"1.665","dcf":"94.6980488811812"},{"id_bond":"A","date_pmt":"2018-05-03 00:00:00.000","T":"1.42609489051095","delta":"0.494588041195881","cczero":"0.00691632352708726","spot":"0.00692829620704671","pvf":"0.990185149499441","fwd":"0.00855247319664044","spread":"0.02267","df":"0.984792575176714","cf":"1.665","dcf":"94.4523130340305"},{"id_bond":"A","date_pmt":"2018-11-03 00:00:00.000","T":"1.92974452554745","delta":"0.503649635036497","cczero":"0.00807825910934","spot":"0.00809459566464854","pvf":"0.984531902856185","fwd":"0.011400912599356","spread":"0.02267","df":"0.983129688520385","cf":"1.665","dcf":"94.2458703851485"},{"id_bond":"A","date_pmt":"2019-05-03 00:00:00.000","T":"2.42573579739904","delta":"0.495991271851596","cczero":"0.00901332004331098","spot":"0.00903366057233246","pvf":"0.978373350240675","fwd":"0.0126911216649106","spread":"0.02267","df":"0.982763499951248","cf":"1.665","dcf":"94.1981109258729"},{"id_bond":"A","date_pmt":"2019-11-03 00:00:00.000","T":"2.92950034223135","delta":"0.503764544832307","cczero":"0.00976770923282181","spot":"0.00979160014615088","pvf":"0.971791010376493","fwd":"0.0134455888424006","spread":"0.02267","df":"0.982131344729019","cf":"1.665","dcf":"94.1852334799225"},{"id_bond":"A","date_pmt":"2020-05-03 00:00:00.000","T":"3.4263820470717","delta":"0.496881704840354","cczero":"0.0105061587438068","spot":"0.0105338019695171","pvf":"0.964642113082482","fwd":"0.0149148824043574","spread":"0.02267","df":"0.981667130304318","cf":"1.665","dcf":"94.2338163705429"},{"id_bond":"A","date_pmt":"2020-11-03 00:00:00.000","T":"3.92993979200876","delta":"0.503557744937055","cczero":"0.0112738374371404","spot":"0.0113056720780991","pvf":"0.95666165043998","fwd":"0.0165661055513303","spread":"0.02267","df":"0.980625156446065","cf":"1.665","dcf":"94.3286555493411"},{"id_bond":"A","date_pmt":"2021-05-03 00:00:00.000","T":"4.42609489051095","delta":"0.496155098502192","cczero":"0.0120198262141217","spot":"0.0120560177359841","pvf":"0.948189510238019","fwd":"0.0180086239403827","spread":"0.02267","df":"0.980216384203112","cf":"1.665","dcf":"94.5273676231217"},{"id_bond":"A","date_pmt":"2021-11-03 00:00:00.000","T":"4.92974452554745","delta":"0.503649635036497","cczero":"0.0127892509233546","spot":"0.0128302294590461","pvf":"0.938898649855612","fwd":"0.0196475632563554","spread":"0.02267","df":"0.979131548714008","cf":"1.665","dcf":"94.7702046614379"},{"id_bond":"A","date_pmt":"2022-05-03 00:00:00.000","T":"5.42588971450919","delta":"0.496145188961744","cczero":"0.0135920167410981","spot":"0.013638307275075","pvf":"0.92890502048928","fwd":"0.0216841870136692","spread":"0.02267","df":"0.978467725249467","cf":"1.665","dcf":"95.1250633841378"},{"id_bond":"A","date_pmt":"2022-11-03 00:00:00.000","T":"5.92960500586625","delta":"0.503715291357059","cczero":"0.0144272785991282","spot":"0.0144794405414506","pvf":"0.918009019356879","fwd":"0.023563242705389","spread":"0.02267","df":"0.977241614859237","cf":"1.665","dcf":"95.5533966107671"},{"id_bond":"A","date_pmt":"2023-05-03 00:00:00.000","T":"6.42573579739904","delta":"0.496130791532792","cczero":"0.0152231255196444","spot":"0.0152812086816465","pvf":"0.906812312386276","fwd":"0.0248872392353133","spread":"0.02267","df":"0.976949262435293","cf":"1.665","dcf":"96.1136815029677"},{"id_bond":"A","date_pmt":"2023-11-03 00:00:00.000","T":"6.92950034223135","delta":"0.503764544832307","cczero":"0.015956177997922","spot":"0.0160199975083457","pvf":"0.89532514077514","fwd":"0.025468579974386","spread":"0.02267","df":"0.976323653640453","cf":"1.665","dcf":"96.7164464052924"},{"id_bond":"A","date_pmt":"2024-05-03 00:00:00.000","T":"7.42609489051095","delta":"0.496594548279601","cczero":"0.0165648170342617","spot":"0.0166336051042566","pvf":"0.884253137108956","fwd":"0.025214343452037","spread":"0.02267","df":"0.976773208384992","cf":"1.665","dcf":"97.3968695395347"},{"id_bond":"A","date_pmt":"2024-11-03 00:00:00.000","T":"7.92974452554745","delta":"0.503649635036497","cczero":"0.0170697336500368","spot":"0.017142785282509","pvf":"0.873402629782314","fwd":"0.0246664713263831","spread":"0.02267","df":"0.976714161096522","cf":"1.665","dcf":"98.0478798204568"},{"id_bond":"A","date_pmt":"2025-05-03 00:00:00.000","T":"8.42595127292636","delta":"0.496206747378916","cczero":"0.01747617260553","spot":"0.0175527496408354","pvf":"0.863075264724144","fwd":"0.024114496217459","spread":"0.02267","df":"0.977311916238482","cf":"1.665","dcf":"98.720438980819"},{"id_bond":"A","date_pmt":"2025-11-03 00:00:00.000","T":"8.92964686558993","delta":"0.503695592663563","cczero":"0.0178164255632276","spot":"0.0178960179847127","pvf":"0.852915849562704","fwd":"0.02364799758214","spread":"0.02267","df":"0.977201716612357","cf":"101.665","dcf":"99.3472125193953"},{"id_bond":"B","date_pmt":"2016-11-28 00:00:00.000","T":"0","delta":"0","cczero":"0","spot":"0","pvf":"1","fwd":"0","spread":"0","df":"1","cf":"-0.198666666666667","dcf":"102.648830003221"},{"id_bond":"B","date_pmt":"2017-05-12 00:00:00.000","T":"0.452054794520548","delta":"0.452054794520548","cczero":"0.00500122961565088","spot":"0.00500748790550487","pvf":"0.997741723924604","fwd":"0.00500688734310863","spread":"0.0252","df":"0.986528783477171","cf":"2.235","dcf":"102.847496669888"},{"id_bond":"B","date_pmt":"2017-11-12 00:00:00.000","T":"0.956164383561644","delta":"0.504109589041096","cczero":"0.00608595898902354","spot":"0.00609522811276086","pvf":"0.994197721392096","fwd":"0.00707125178801113","spread":"0.0252","df":"0.983992171833481","cf":"2.235","dcf":"102.016896541109"},{"id_bond":"B","date_pmt":"2018-05-12 00:00:00.000","T":"1.4507299270073","delta":"0.494565543445656","cczero":"0.00697113970742677","spot":"0.00698330303256611","pvf":"0.989937725864745","fwd":"0.0087011651604313","spread":"0.0252","df":"0.983510126784615","cf":"2.235","dcf":"101.441532660844"},{"id_bond":"B","date_pmt":"2018-11-12 00:00:00.000","T":"1.9543795620438","delta":"0.503649635036497","cczero":"0.00813221721962181","spot":"0.0081487728902947","pvf":"0.984232195108231","fwd":"0.0115098578544649","spread":"0.0252","df":"0.981846727644795","cf":"2.235","dcf":"100.907336716437"},{"id_bond":"B","date_pmt":"2019-05-12 00:00:00.000","T":"2.45037645448323","delta":"0.495996892439435","cczero":"0.00905304105064306","spot":"0.00907356138893745","pvf":"0.97806088270338","fwd":"0.0127213349191744","spread":"0.0252","df":"0.981538377867951","cf":"2.235","dcf":"100.538003031225"},{"id_bond":"B","date_pmt":"2019-11-12 00:00:00.000","T":"2.95414099931554","delta":"0.503764544832307","cczero":"0.00980338142204124","spot":"0.00982744729896279","pvf":"0.971454767210453","fwd":"0.0134988253947548","spread":"0.0252","df":"0.98087769501398","cf":"2.235","dcf":"100.194008684926"},{"id_bond":"B","date_pmt":"2020-05-12 00:00:00.000","T":"3.45101258894362","delta":"0.496871589628086","cczero":"0.0105435671737345","spot":"0.010571407777634","pvf":"0.96426803052974","fwd":"0.0149999495809582","spread":"0.0252","df":"0.98041694329171","cf":"2.235","dcf":"99.9123005189483"},{"id_bond":"B","date_pmt":"2020-11-12 00:00:00.000","T":"3.95457033388068","delta":"0.503557744937055","cczero":"0.0113112083200892","spot":"0.0113432545636436","pvf":"0.956254709522214","fwd":"0.0166413928702266","spread":"0.0252","df":"0.979365208486278","cf":"2.235","dcf":"99.6729700759728"},{"id_bond":"B","date_pmt":"2021-05-12 00:00:00.000","T":"4.4507299270073","delta":"0.49615959312662","cczero":"0.0120568280685839","spot":"0.0120932429823029","pvf":"0.94775269073816","fwd":"0.0180803003750011","spread":"0.0252","df":"0.978977499608233","cf":"2.235","dcf":"99.53803544408"},{"id_bond":"B","date_pmt":"2021-11-12 00:00:00.000","T":"4.9543795620438","delta":"0.503649635036497","cczero":"0.0128279559942984","spot":"0.0128691832043866","pvf":"0.938422914733352","fwd":"0.019739860966505","spread":"0.0252","df":"0.977867012243769","cf":"2.235","dcf":"99.4405088691141"},{"id_bond":"B","date_pmt":"2022-05-12 00:00:00.000","T":"5.450527962456","delta":"0.496148400412207","cczero":"0.0136327842742979","spot":"0.013679353226681","pvf":"0.928387682709864","fwd":"0.0217864491505843","spread":"0.0252","df":"0.977218828807184","cf":"2.235","dcf":"99.4562398353049"},{"id_bond":"B","date_pmt":"2022-11-12 00:00:00.000","T":"5.95424325381306","delta":"0.503715291357059","cczero":"0.0144678167553667","spot":"0.0145202725964131","pvf":"0.917461281161283","fwd":"0.0236430922516988","spread":"0.0252","df":"0.975987760971296","cf":"2.235","dcf":"99.5397887202537"},{"id_bond":"B","date_pmt":"2023-05-12 00:00:00.000","T":"6.45037645448323","delta":"0.496133200670169","cczero":"0.0152611280390583","spot":"0.0153195019270838","pvf":"0.90625004698114","fwd":"0.0249348690398573","spread":"0.0252","df":"0.97573010594068","cf":"102.235","dcf":"99.7537673808454"},{"id_bond":"C","date_pmt":"2016-11-28 00:00:00.000","T":"0","delta":"0","cczero":"0","spot":"0","pvf":"1","fwd":"0","spread":"0","df":"1","cf":"-2.37983333333333","dcf":"104.994975518907"},{"id_bond":"C","date_pmt":"2017-01-17 00:00:00.000","T":"0.136986301369863","delta":"0.136986301369863","cczero":"0.00334935507547406","spot":"0.00335216118655479","pvf":"0.999541289476093","fwd":"0.0033501235614545","spread":"0.04136","df":"0.993912608828764","cf":"3.27","dcf":"107.374808852241"},{"id_bond":"C","date_pmt":"2017-07-17 00:00:00.000","T":"0.632876712328767","delta":"0.495890410958904","cczero":"0.00560588831496741","spot":"0.00561375215650362","pvf":"0.996458449968017","fwd":"0.00623887107764271","spread":"0.04136","df":"0.976940469356951","cf":"3.27","dcf":"104.762444601716"},{"id_bond":"C","date_pmt":"2018-01-17 00:00:00.000","T":"1.13594890510949","delta":"0.503072192780722","cczero":"0.00634274565201079","spot":"0.00635281389818632","pvf":"0.992820859059262","fwd":"0.00728303924667951","spread":"0.04136","df":"0.976113563621777","cf":"3.27","dcf":"103.965238878653"},{"id_bond":"C","date_pmt":"2018-07-17 00:00:00.000","T":"1.63138686131387","delta":"0.49543795620438","cczero":"0.00738807719428907","spot":"0.00740173993382864","pvf":"0.98801953213217","fwd":"0.00980858754916244","spread":"0.04136","df":"0.975275916356659","cf":"3.27","dcf":"103.239368124033"},{"id_bond":"C","date_pmt":"2019-01-17 00:00:00.000","T":"2.13552361396304","delta":"0.50413675264917","cczero":"0.00850281343362593","spot":"0.0085209135339035","pvf":"0.982005903561195","fwd":"0.0121471429489039","spread":"0.04136","df":"0.973733616239642","cf":"3.27","dcf":"102.586574936972"},{"id_bond":"C","date_pmt":"2019-07-17 00:00:00.000","T":"2.63107460643395","delta":"0.49555099247091","cczero":"0.009332279463951","spot":"0.00935408622855993","pvf":"0.975745071893072","fwd":"0.012948137734295","spread":"0.04136","df":"0.973792847177221","cf":"3.27","dcf":"102.08383931094"},{"id_bond":"C","date_pmt":"2020-01-17 00:00:00.000","T":"3.13355227148331","delta":"0.502477665049357","cczero":"0.0100663026044084","spot":"0.0100916777709279","pvf":"0.968949014208597","fwd":"0.0139585198652566","spread":"0.04136","df":"0.972955419146606","cf":"3.27","dcf":"101.561165690789"},{"id_bond":"C","date_pmt":"2020-07-17 00:00:00.000","T":"3.63163656267105","delta":"0.49808429118774","cczero":"0.0108189032105944","spot":"0.0108482182127894","pvf":"0.961471529912018","fwd":"0.0156140740896454","spread":"0.04136","df":"0.972405191176469","cf":"3.27","dcf":"101.114192422577"},{"id_bond":"C","date_pmt":"2021-01-17 00:00:00.000","T":"4.13594890510949","delta":"0.504312342438444","cczero":"0.0115848115698058","spot":"0.011618428410701","pvf":"0.95321558020946","fwd":"0.0171741918135502","spread":"0.04136","df":"0.971326900612313","cf":"3.27","dcf":"100.713599984945"},{"id_bond":"C","date_pmt":"2021-07-17 00:00:00.000","T":"4.63138686131387","delta":"0.49543795620438","cczero":"0.0123295365847985","spot":"0.012367619169448","pvf":"0.944496919325264","fwd":"0.0186320209896829","spread":"0.04136","df":"0.971135592997038","cf":"3.27","dcf":"100.416616649303"},{"id_bond":"C","date_pmt":"2022-01-17 00:00:00.000","T":"5.13570590535784","delta":"0.504319044043973","cczero":"0.0131171204280717","spot":"0.0131602293327373","pvf":"0.934853288366008","fwd":"0.0204546359447723","spread":"0.04136","df":"0.969768158336758","cf":"3.27","dcf":"100.131231891219"},{"id_bond":"C","date_pmt":"2022-07-17 00:00:00.000","T":"5.6312084473993","delta":"0.495502542041455","cczero":"0.01393272014514","spot":"0.013981363207225","pvf":"0.924540842333761","fwd":"0.0225107363105059","spread":"0.04136","df":"0.969322764390752","cf":"3.27","dcf":"99.9827527640762"},{"id_bond":"C","date_pmt":"2023-01-17 00:00:00.000","T":"6.13552361396304","delta":"0.504315166563742","cczero":"0.0147635030450522","spot":"0.0148181276262327","pvf":"0.91339959506567","fwd":"0.0241863854146115","spread":"0.04136","df":"0.968001700665612","cf":"3.27","dcf":"99.87701814201"},{"id_bond":"C","date_pmt":"2023-07-17 00:00:00.000","T":"6.63107460643395","delta":"0.495550992470911","cczero":"0.015533765078881","spot":"0.0155942460246639","pvf":"0.902121962038574","fwd":"0.025226927120069","spread":"0.04136","df":"0.968056818304335","cf":"3.27","dcf":"99.9085564770529"},{"id_bond":"C","date_pmt":"2024-01-17 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See Also

BONDPRICEFROMZEROES - Bond pricing from the zero coupon curve

CMTCURVE - Constant Maturity Treasury curve

LOGNORMALIRLATTICE - LogNormal Interest Rate Lattice

OAC - Option Adjusted Convexity

OAD - Calculate the option-adjusted duration on a bond.

OAS - Option Adjusted Spread

PRICEFROMIRLATTICE - Bond Pricing using Option Adjusted Spread

ZSPREAD - Calculate the zero-volatility or static spread on a bond.