## 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