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oFRNctm2_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 1 March 2003, a first coupon date of 1 May 2003, and a maturity date of 1 May 2008. Coupons are paid annually, while the rate resets are semi-annual. Cash flows and rate resets that fall on a business day are adjusted to the following day. The accrual basis is actual/360 and the rate reset cycle is computed backwards from the maturity date.

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

 

 

Function Specifications

=oFRNctm2_Dates({"1/7/03", "3/7/03", "1/3/03", "1/5/03", "","1/5/08"}, 2, 1, {3, 3}, 2, X2:X39, 1, 1)

=oFRNctm2_Dates({"1/7/03", "3/7/03", "1/3/03", "1/5/03", "","1/5/08"}, 2, 1, {3, 3}, 2, X2:X39, 1, 2)

 

 

 

Parameter Name

Parameter Value

 

 

 

 

 

Valuation Date

1 July 2003

 

 

Settlement Date

3 July 2003

 

 

Effective Date

1 March 2003

 

 

First Coupon Date

1 May 2003

 

 

Penultimate Coupon Date

 

 

 

Maturity Date

1 May 2008

 

 

ResetFrequency

2

 

 

Payment Frequency

1

 

 

Business Day Con. RS

3

 

 

Business Day Con. CP

3

 

 

Reset Offset

2

 

 

Holiday Schedule

X2:X39

 

 

Output Flag

1 / 2

 

 

 

 

Where the cell references for the holiday schedule contain the dates listed in FRN Examples - Holiday Schedule.

 

 

Solution

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

 

Leg

Reset Date

Effective Date

Terminal Date

Source

 

.

 

1

29/4/03

1/5/03

3/5/04

Required

 

2

29/4/04

3/5/04

2/5/05

Projected

 

3

28/4/05

2/5/05

1/5/06

Projected

 

4

27/4/06

1/5/06

1/5/07

Projected

 

5

27/4/07

1/5/07

1/5/08

Projected

 

 

 

 

 

 

 

The Cash Flow Table is returned using an output flag = 2.

 

Leg

Effective Date

Terminal Date

 

 

 

.

 

 

 

1

1/5/03

10/7/03

 

 

 

2

3/5/04

10/1/04

 

 

 

3

2/5/05

10/7/04

 

 

 

4

1/5/06

10/1/05

 

 

 

5

1/5/07

10/7/05

 

 

 

 

 

 

 

 

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