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oFRNctm_Dates( ) - Custom FRN Dates Function

Component

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

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

Dates

 

Four dates entered as an array:

 

Array (of Dates)

 

 

 

 

Valuation Date. The valuation date of the instrument.

 

Date

 

ValDate < SettleDate

 

 

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

 

Date

 

SettleDate < MatDate

 

 

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

 

Date

 

EffDate < MatDate

 

 

Maturity Date. The maturity date of the instrument.

 

Date

 

As above.

ResetFreq

 

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

PaymentFreq

 

The payment frequency of the instrument.

 

Enumerated Constant

 

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

BusDayConvention

 

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

ResetOffset

 

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.

 

Integer

 

ResetOffset >= 0

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 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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