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oFRNstd_CFM( ) Example

Description

Consider a Floating Rate Note with a valuation date of 1 March 2004, a settlement date of 3 March 2004, an effective date of 1 June 2003, and a maturity date of 1 June 2008. The annual coupons are based on a quoted margin of 30 basis points. The last reset rate was 5.25%, while the (constant) forecasted reset rate is 5.35%. The accrual basis is actual/365, the discount rate is 5.20%, 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 cash flow map of the FRN.

 

 

Function Specification

=oFRNstd_CFM(1, "1/3/04", "3/3/04", "1/6/03", "1/6/08", 1, 30, 100000, 0.0525, 0.0535, 0.052, 3, 1,, 2)

 

 

 

Parameter Name

Parameter Value

 

 

 

 

 

Model

1

 

 

Valuation Date

1 March 2004

 

 

Settlement Date

3 March 2004

 

 

Effective Date

1 June 2003

 

 

Maturity Date

1 June 2008

 

 

ResetFrequency

1

 

 

Quoted Margin

30

 

 

Notional Amount

1000000

 

 

Last Reset Rate

0.0525

 

 

Forecast Reset Rate

0.0535

 

 

Discount Rate

0.0520

 

 

Accrual Basis

3

 

 

Business Day Convention

1

 

 

Holiday Schedule

 

 

 

Output Flag

2

 

 

 

Solution

The following results are obtained:

 

 

 

Leg

Payment Date

Days in Period

Reset Rate

 

Total Cash Flow

 

 

.

 

 

1

1/6/04

366

0.05550

5,565.2055

 

2

1/6/05

365

0.05650

5,650.0000

 

3

1/6/06

365

0.05650

5,650.0000

 

4

1/6/07

365

0.05650

5,650.0000

 

5

1/6/08

365

0.05650

5,665.4795

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