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oFRNstd_CFM( ) - Standard FRN Cash Flow Map Function

Component

Resolution - Bond Pricing

 

 

Function Definition

oFRNstd_CFM(Model, ValuationDate, SettlementDate, EffectiveDate, MaturityDate, ResetFreq, QuotedMargin, NotionalAmount, LastResetRate, ForecastResetRate, AccrualBasis, BusDayConvention, HolidaySchedule, OutputFlag)

Generates the instrument's cash flow map.

 

 

Bond Types

Floating rate note instruments, which have no odd first or last coupon periods, no ex-dividend 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
2 - Equal/Exact

ValuationDate

 

The valuation date of the instrument.

 

Date

 

ValDate < SettleDate

SettlementDate

 

The date on which the trade will settle. This is typically 1-3 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
2 - Semi-Annual
3 - Quarterly
4 - Monthly
5 - Bi-Weekly
6 - Weekly

QuotedMargin

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

AccrualBasis

 

Convention used to determine projected cash flow amounts.

 

see Day Count Conventions

 

Enumerated Constant

 

1 - Act/Act (actual)
2 - Act/Act (bond)
3 - Act/360
4 - Act/365
5 - Act/365 ISDA
6 - Act/365 JGB (NL)
7 - 30/360 ISDA
8 - 30/360 PSA
9 - 30E/360
10 - 30E+/360
11 - Act/365L

BusDayConvention

 

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


see Business Day Conventions

 

Enumerated Constant

 

1 - No Adjustment
2 - Previous
3 - Following
4 - Mod Previous
5 - Mod Following
6 - EOM No Adjust
7 - EOM previous
8 - EOM following

HolidaySchedule

 

Schedule of non-business 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 1 will output the Dates Table consisting of 4 columns; Leg, Effective Date, Terminal Date, and Source. Entering a 2 will output the Cash Flow Table consisting of 5 columns; Leg, Payment Date, Days in Period, Reset Rate, and Total Cash Flow

 

Enumerated Constant

 

1 - Dates Table
2 - Cash Flow Table

 

 

 

 

 

 

 

See Also

Parameter Types

FRN Function Parameters

oFRNstd_Price( ) - Standard FRN Price Function

oFRNstd_DM( ) - Standard FRN Discount Method Function

oFRNctm_CFM( ) - Custom FRN Cash Flow Map Function

oFRNctm2_CFM( ) - Custom2 FRN Cash Flow Map Function

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