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oFRNctm2_Dates( ) - Custom2 FRN Date Function

Component

Resolution - Bond Pricing

 

 

Function Definition

oFRNctm2_Dates(Dates, ResetFreq, PaymentFreq, BusDayConvention, ResetOffset, HolidaySchedule, ResetCycle, OutputFlag)

Returns the coupon and reset schedule for the instrument.

 

 

Bond Types

Floating rate note instruments, which have different coupon rates and exact coupon periods. Able to value FRN's with accreting/amortizing face values, odd first and last coupons, and an ex-dividend period.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

DiscountMargin

 

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

 

Double

 

DiscountMargin >= 0

Dates

 

6 dates entered as an array:

 

Array (of Dates)

 

 

 

 

ValuationDate: The valuation date of the instrument.

 

 

 

ValDate < SettleDate

 

 

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

 

 

 

SettleDate < MatDate

 

 

EffectiveDate: The first date from which interest begins to accrue.

 

 

 

EffDate < MatDate

 

 

FirstCpnDate: Date that the first coupon is paid (if FRN does not have an odd first period, leave blank)

 

 

 

F.C.D < EffDate

 

 

PenultCpnDate: Date that the penultimate coupon is paid (if FRN does not have an odd last period, leave blank)

 

 

 

P.C.D > EffDate

 

 

MaturityDate: The maturity date of the instrument.

 

 

 

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

ResetCycle

 

Determines if the rate reset cycle is computed backwards from the maturity date or forwards from the effective date.

 

Enumerated Constant

 

1 - Maturity Date
2 - Effective Date

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

oFRNctm2_Price( ) - Custom2 FRN Price Function

oFRNctm2_DM( ) - Custom2 FRN Discount Margin Function

oFRNctm_Dates( ) - Custom FRN Dates Function

oFRNctm2_CFM( ) - Custom2 FRN Cash Flow Map Function

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