## 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