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oFRNctm_CFM( ) - Custom FRN Cash Flow Map Function

Component

Resolution - Bond Pricing

 

 

Function Definition

oFRNctm_CFM(DiscountMargin, Dates, ResetFreq, PaymentFreq, QuotedMarginRS, QuotedMarginCP, NotionalAmount, NotionalFlag, PastResetRates, ZeroCurve, AccrualBasis, BusDayConvention, ResetOffset, HolidaySchedule, InterpMethod)

Generates the instruments cash flow map, consisting of seven columns; Leg, Payment Date, Reset Rate, Coupon, Notional, Total Cash Flow, and Present Value of Cash Flow. Discount factors are calculated by iterative compounding.

 

 

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

.

DiscountMargin

 

The margin over the reference rate, expressed in basis points.

 

Double

 

DiscountMargin >= 0

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

QuotedMarginRS

The margin, in basis points, that is added to each rate reset. If the margin is constant for every reset, then enter a single margin, overwise an array (1 for each rate reset) of margins is required.

 

Double, or an Array of Doubles

QuotedMarginRS >= 0

QuotedMarginCP

 

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. If the margin is constant for every reset, then enter a single margin, overwise an array (1 for each rate reset) of margins is required.

 

Double, or an Array of Doubles

 

QuotedMarginCP >= 0

NotionalAmount

 

Redemption value for the instrument paid at each rate reset date. If the face value is constant at each rate reset date, then enter a single value, otherwise an array (1 for each rate reset) of face values is required.

 

Double, or an Array of Doubles

 

FaceValue >= 0

NotionalFlag

 

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

 

Enumerated Constant

 

1 - Notional Only
2 - Actually Paid

PastResetRates

 

The rates observed at the previous rate reset dates. If all the previous rate reset rates are constant, then enter a single rate, otherwise an array of rates is required.

 

Double, or an Array of Doubles

 

 

ZeroCurve

 

The zero curve of the FRN, which is used to project cash flows

 

Curve

 

 

AccrualBasis

 

Array of two Enumerated Constants:

Accrual Basis (RS): Convention used to determine projected cash flow amounts, ie is used to adjust the forward rate derived from the supplied zero curve for a projected valuation.

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

If both conventions are identical then just enter a single Enumerated Constant.

see Day Count Conventions

 

 

Enumerated Constant, or an Array of Enumerated Constants

 

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

 

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

InterpMethod

Method used to calculate rates and discount factors from the supplied zero curve.

 

Enumerated Constant

 

1 - Discount Factors
2 - Zero Rates

 

 

 

 

 

 

 

See Also

Parameter Types

FRN Function Parameters

oFRNctm_Price( ) - Custom FRN Price Function

oFRNctm_DM( ) - Custom FRN Discount Margin Function

oFRNctm_Dates( ) - Custom FRN Dates Function

oFRNstd_CFM( ) - Standard FRN Cash Flow Map Function

oFRNctm2_CFM( ) - Custom2 FRN Cash Flow Map Function

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