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oFRNctm_Dates( ) Example

Description

Consider a Floating Rate Note with a valuation date of 1 July 2003, a settlement date of 3 July 2003, an effective date of 10 January 2003, and a maturity date of 10 January 2006. Coupons are paid semi-annually, while the rate resets are quarterly. The accrual basis is actual/365 and the notional amount is $100,000. Cash flows that fall on a business day are not adjusted.

The coupon and reset schedules of the FRN are determined as follows:

 

Function Specifications

=oFRNctm_Dates({"1/7/03", "3/7/03", "10/1/03", "10/1/06"}, 3, 2, {1, 1}, 2, , 1)

=oFRNctm_Dates({"1/7/03", "3/7/03", "10/1/03", "10/1/06"}, 3, 2, {1, 1}, 2, , 2)

 

 

 

Parameter Name

Parameter Value

 

 

 

 

 

Valuation Date

1 July 2003

 

 

Settlement Date

3 July 2003

 

 

Effective Date

10 January 2003

 

 

Maturity Date

10 January 2006

 

 

ResetFrequency

3

 

 

Payment Frequency

2

 

 

Business Day Con. RS

1

 

 

Business Day Con. CP

1

 

 

Reset Offset

2

 

 

Holiday Schedule

 

 

 

Output Flag

1 / 2

 

 

 

Solution

The Rate Reset Table is returned using an output flag = 1.

 

Leg

Reset Date

Effective Date

Terminal Date

Source

 

 

 

1

8/1/03

10/1/03

10/4/03

Required

 

1

8/4/03

10/4/03

10/7/03

Required

 

2

8/7/03

10/7/03

10/10/03

Projected

 

2

8/10/03

10/10/03

10/1/04

Projected

 

3

8/1/04

10/1/04

10/4/04

Projected

 

3

8/4/04

10/4/04

10/7/04

Projected

 

4

8/7/04

10/7/04

10/10/04

Projected

 

4

7/10/04

10/10/04

10/1/05

Projected

 

5

6/1/05

10/1/05

10/4/05

Projected

 

5

7/4/05

10/4/05

10/7/05

Projected

 

6

7/7/05

10/7/05

10/10/05

Projected

 

6

6/10/05

10/10/05

10/1/06

Projected

 

 

 

 

 

 

 

The CashFlow Table is returned using an output flag = 2.

 

Leg

Effective Date

Terminal Date

 

 

 

.

 

 

 

1

10/1/03

10/7/03

 

 

 

2

10/7/03

10/1/04

 

 

 

3

10/1/04

10/7/04

 

 

 

4

10/7/04

10/1/05

 

 

 

5

10/1/05

10/7/05

 

 

 

6

10/7/05

10/1/06

 

 

 

 

 

 

 

 

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