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oFRNctm2_Dates( ) - Custom2 FRN Date Function


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





Parameter Type






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




DiscountMargin >= 0



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.



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



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



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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