Component 
Resolution  Bond Pricing 




Function Definition 
oFRNstd_DM(Model, CleanPrice, ValuationDate, SettlementDate, EffectiveDate, MaturityDate, ResetFreq, QuotedMargin, NotionalAmount, LastResetRate, ForecastResetRate, DiscountRate, AccrualBasis, BusDayConvention, HolidaySchedule, OutputFlag) Returns the instrument's discount margin, clean price, dirty price, accrued interest, and the risk statistics. 




Bond Types 
Floating rate note instruments, which have no odd first or last coupon periods, no exdividend period, a reset frequency equal to the coupon frequency, a reset cycle that is computed backwards from maturity, and a constant face value over the life of the deal. Unable to value FRN's with different coupon rates / exact coupon periods. 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

Model 

Valuation model of the instrument. see FRN Pricing 

Enumerated Constant 

1  Equal/Equal 

CleanPrice 

Clean price of the instrument. 

Double 

CleanPrice >= 0 

ValuationDate 

The valuation date of the instrument. 

Date 

ValDate < SettleDate 

SettlementDate 

The date on which the trade will settle. This is typically 13 business days after the trade. 

Date 

SettleDate < MatDate 

EffectiveDate 

The first date from which interest begins to accrue. 

Date 

EffDate < MatDate 

MaturityDate 

The maturity date of the instrument. 

Date 

As above. 

ResetFreq 

The rate reset frequency of the instrument. 

Enumerated Constant 

1  Annual 

Quoted Margin 

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

Double 

QuotedMargin >= 0 

NotionalAmount 

Redemption value for the instrument paid at each rate reset date. 

Double 

FaceValue >= 0 

LastResetRate 

The rate observed at the previous rate reset date 

Double 

LastResetRate >= 0 

ForecastResetRate 

The constant forecasted rate at each of the instrument's reset dates. 

Double 

ForecastReset >=0 

DiscountRate 

The discount rate of the instrument, expressed as a decimal. 

Double 

DiscountRate >= 0 

AccrualBasis 

Convention used to determine projected cash flow amounts.


Enumerated Constant 

1  Act/Act (actual) 

BusDayConvention 

Business day convention for coupon payments dates. Used to determine the start and end date of each payment date. 

Enumerated Constant 

1  No Adjustment 

HolidaySchedule 

Schedule of nonbusiness days (excluding weekends) 

Date Range 

Leave blank if not applicable 

OutputFlag 

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function. Entering a 0 will output: Discount Margin, Clean Price, Accrued Interest, Dirty Price, Macaulay Duration, Modified Duration, Convexity, and Price Value of a Basis Point. Entering a 4 will output: Macaulay Duration, Modified Duration, Convexity, and Price Value of a Basis Point. 

Enumerated Constant 

0  All eight outputs 








See Also oFRNstd_Price( )  Standard FRN Price Function oFRNctm_DM( )  Custom FRN Discount Margin Function 
Copyright 2013 Hedgebook Ltd.