Cash Flow Map Calculations

 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 non-business 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 Ex-dividend Date The date (if applicable) that the bond will next go ex-dividend. 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., Cum-Dividend or Ex-Dividend.

 In This SectionCash Flow Map Output 