## oFRNstd_DM( ) Example

Description

Consider a Floating Rate Note with a valuation date of 1 September 2003, a settlement date of 3 September 2003, an effective date of 20 March 2002, and a maturity date of 20 March 2007. The FRN is trading at a clean price of \$98,500, and the semi-annual coupons are based on a quoted margin of 30 basis points. The last reset rate was 5.45%, while the (constant) forecasted reset rate is 5.40%. The accrual basis is actual/360, the discount rate is 5.50%, and the notional amount is \$100,000. Cash flows that fall on a business day are not adjusted.

Based on a valuation method that uses the Equal/Equal assumption, determine the discount margin of the FRN.

Function Specification

=FRNstd_DM(1, 99850, "1/09/03", "3/9/03", "20/3/02", "20/3/07", 2, 30, 100000, 0.0545, 0.054, 0.055, 3, 1, , 0)

Parameter Name

Parameter Value

Model

1

Clean Price

98500

Valuation Date

1 September 2003

Settlement Date

3 September 2003

Effective Date

20 March 2002

Maturity Date

20 March 2007

ResetFrequency

2

Quoted Margin

30

Notional Amount

1000000

Last Reset Rate

0.0545

Forecast Reset Rate

0.0540

Discount Rate

0.0550

Accrual Basis

3

1

Holiday Schedule

Output Flag

0

Solution

The following results are obtained:

24.586217

99,850.0000

2630.8219

102,480.8217

3.178769

3.089995

11.787510

###### Price Value of a Basis Point

31.666527

For further details on how the above prices and statistics are calculated, see the FRN pricing formula.