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FRN Function Parameters

The following table defines each of the parameters used in the various floating rate note functions.

 

Parameter

Definition

.

Accrual Basis (Coupon)

Used to determine the length (in years) of each coupon period, which is used in turn to calculate the coupon amount for that period.

Accrual Basis (Reset)

Used to adjust the forward rate derived from the supplied curve for a projected valuation.

Business Day Convention (Payments)

Used in the routine for determining the start and end date of each payment period.

Business Day Convention
(Resets)

Used in the routine for determining the start and end date of each rate reset period.

Discount Margin

The margin over the reference rate, such that the sum of the reference rate and the discount margin equal the discount rate that equates the present values of the FRN's future cash flows to its current price.

Effective Date

The first date from which interest begins to accrue.

Ex-Dividend Days

The number of days in the ex-coupon period, assuming the FRN trades ex-dividend. Set this parameter to zero if there is no ex-dividend period.

Ex-Dividend Type

Defines whether the ex-dividend period is measured in calendar or business days.

Notional Amount

The principal schedule of the FRN. Required for amortizing and accreting the FRN.

First Coupon Date

The date that the first coupon is paid, if the FRN has an odd first coupon period. Should be left blank if there is no odd first period.

Holiday Schedule

Schedule of non-business days (excluding weekends).

Interpolation Method

The method used to calculate rates and discount factors from the supplied zero curve (if applicable).

Issue Date

The original issue date of the FRN. Only needed if the bond has an odd first coupon period and the bond is being valued within that period.

Maturity Date

The maturity date is used to determine the FRN's coupon dates, and the coupon vector will include all payments between the nominated valuation date and the maturity date.

Notional Flag

Flags whether the face value amounts are notional only or if they are actually paid.

Output Flag

Basis for determining which results are to be returned from the function.

Past Reset Rates

The rate(s) observed at the rate reset date(s) immediately before the valuation date.

Payment Frequency

The payment frequency of the coupons. Weekly, Bi-Weekly, Monthly, Quarterly, Semi-Annual, and Annual are supported.

Penultimate Coupon Date

Date that the penultimate coupon is paid, if the FRN has an odd last coupon period. Should be left blank if there is no odd last period.

Quoted Margin (Coupon)

The margin, in basis points, that is added to the resulting coupon rate (computed from the collection of rate resets), when the rate reset is more frequent than the payment frequency.

Quoted Margin (Reset)

The margin, in basis points, that is added to each rate reset.

Rate Reset Offset

The number of business days by which the actual rate reset date precedes the accrual start date.

Reset Cycle

Determines how the FRN's reset cycle is computed. Backwards from the maturity date and forwards from the effective date are supported.

Reset Frequency

The rate reset frequency of the FRN. Weekly, Bi-Weekly, Monthly, Quarterly, Semi-Annual, and Annual are supported.

Settlement Date

The date on which the trade will settle. This is typically 1-3 business days after the trade.

Valuation Date

The date on which the deal is valued.

 

 

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