The cash flow map is a table of six columns by n rows (where n is the number of the bond's cash flows). The definition of each output from the cash flow map is set out in the following table: 



Variable 
Definition 

. 

Nominal Date 
Notional date for the coupon payment. 

Actual Date 
Actual date of the coupon payment, adjusted for any nonbusiness day (if applicable). 

Coupon Amount 
Value of the coupon payment. 

Face Value 
Redemption value of the bond. 

Total Cash Flow 
Coupon plus redemption value of the bond. 

Number of Days in Period 
Number of days between coupons, based on the appropriate accrual convention. 







Cash flow payments are used not only in the general bond function process but also to determine the amount of accrued interest as at the settlement date. The definition of each output from the Cash Flow Map function is set out in the following table:


Variable 
Definition 



Previous Coupon Date 
The date of the previous periodic coupon payment (if any). Used to determine the number of days accrued between that payment and the settlement date. 

Next Coupon Date 
The date of the next periodic coupon payment. Used to determine the length of the current coupon period. 

Days to Maturity 
The number of days between the settlement date and the maturity date of the bond. 

Years to Maturity 
The number of years between the settlement date and the maturity date of the bond. 

Days to Next Coupon 
Based on the relevant accrual convention, the length of the current coupon payment period is used to determine the proportion of the period that has elapsed as at the settlement date. 

Days Accrued 
Based on the relevant accrual convention, the number of days accrued is used to determine the proportion of the current accrual period that has elapsed as at the settlement date. 

Number of Cash Flows Remaining 
The total number of coupon payments falling between the settlement date and the maturity date of the bond. 

Next Exdividend Date 
The date (if applicable) that the bond will next go exdividend. On this, and all subsequent days up to the next coupon date, the payment is made to the bond seller and accrued interest is therefore negative. 

Days in Coupon Period (actual) 
The actual number of days in the coupon period. 

Days in Coupon Period (accrual) 
The assumed number of days in the coupon period for accrued interest purposes. 

Dividend State 
The state of the current dividend, i.e., CumDividend or ExDividend. 
In This Section 
Copyright 2013 Hedgebook Ltd.