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oFRNctm_Dates( ) - Custom FRN Dates Function


Resolution - Bond Pricing



Function Definition

oFRNctm_Dates(Dates, ResetFreq, PaymentFreq, BusDayConvention, ResetOffset, HolidaySchedule, OutputFlag)

Returns the instrument's coupon and reset schedule.



Bond Types

Floating rate note instruments, which have different coupon rates and exact coupon periods, no odd first or last coupon periods, no ex-dividend period, and a reset cycle that is computed backwards from maturity.



Function Parameters





Parameter Type






Four dates entered as an array:


Array (of Dates)





Valuation Date. The valuation date of the instrument.




ValDate < SettleDate



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




SettleDate < MatDate



Effective Date. The first date from which interest begins to accrue.




EffDate < MatDate



Maturity Date. The maturity date of the instrument.




As above.



The rate reset frequency of the instrument.

Note that if the FRN has a stub first or last period then this parameter is set equal to the Payment Frequency.

Enumerated Constant


1 - Annual
2 - Semi-Annual
3 - Quarterly
4 - Monthly
5 - Bi-Weekly
6 - Weekly



The payment frequency of the instrument.


Enumerated Constant


1 - Annual
2 - Semi-Annual
3 - Quarterly
4 - Monthly
5 - Bi-Weekly
6 - Weekly



Array of two Enumerated Constants:

BusinessDayCon (RS): Business day convention for reset dates. Used to determine the start and end date of each rate reset date.

BusinessDayCon (CP): 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, or an Array of Enumerated Constants


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



Used to determine the reset date for each floating rate reset. The reset date precedes the effective date for each coupon period by the number of days equal to the reset offset.




ResetOffset >= 0



Schedule of non-business days (excluding weekends)


Date Range


Leave blank if not applicable



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 Rate Reset Table consisting of 5 columns; Leg, ResetDate, EffectiveDate, TerminalDate, and Source. Entering a 2 will output the Cash Flow Table consisting of 3 columns; Leg, Effective Date, and Terminal Date.


Enumerated Constant


1 - ResetTable
2 - Cash Flow Table








See Also

Parameter Types

FRN Function Parameters

oFRNctm_Price( ) - Custom FRN Price Function

oFRNctm_DM( ) - Custom FRN Discount Margin Function

oFRNctm2_Dates( ) - Custom2 FRN Date Function

oFRNctm_CFM( ) - Custom FRN Cash Flow Map Function

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