Component 
Resolution  IRO Pricing 




Function Definition 
oIRcap2_ZCC(OptionType, TargetPremium,ValueDate, EffectiveDate, FirstPmtDate, PenultPmtDate, MaturityDate, NotionalPrincipal, StrikeRate, ResetFrequency, AccrualBasis, BusDayConv, InterpMethod, Volatility, DateGeneration, ResetCurve, DiscountingCurve, Holidays) Calculates the strike rate required to give a collar premium equal to the "target premium". Users can specify which leg of the collar is solved for. 




IRO Types 
Custom interest rate caps, floors, and collars. 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

OptionType 

Specifies whether the option is a cap, floor, or collar. 

Enumerated Constant 

1  Cap 

TargetPremium 

The target premium for the collar. 

Double 

TargetPremium >= 0 

ValueDate 

The valuation date of the option. 

Date 

ValDate < SettleDate 

EffectiveDate 

The reset date of the first optlet. 

Date 

EffDate < MatDate 

FirstPmtDate 

Date that the first payment is paid (if the option does not have an odd first period, leave blank). 

Date 

F.P.D > EffDate 

PenultPmtDate 

Date that the penultimate payment is paid (if the option does not have an odd last period, leave blank). 

Date 

P.P.D > EffDate 

MaturityDate 

The maturity date of the option. 

Date 

As above. 

NotionalPrincipal 

The notional value of the option. 

Vector 



StrikeRate 

The exercise rate of the option. 

Vector or an Array 

Enter a vector of rates if the cap & floor rates are identical otherwise enter a 2 column array for the cap and floor rates respectively. 

ResetFrequency 

Frequency of the optlets. 

Enumerated Constant 

1  Annual 

AccrualBasis 

Basis for determining payment amounts. See Day Count Conventions 

Enumerated Constant 

1  Act/Act (actual) 

BusDayConv 

Business day convention. Used to determine the start and end date of each optlet period. See Business Day Conventions 

Enumerated Constant 

1  No Adjustment 

InterpMethod 

Method used to calculate rates and discount factors from the supplied zero curve. 

Enumerated Constant 

1  Discount Factors 

Volatility 

Annualized volatility of the underlying asset, expressed as a decimal. 

Curve 



DateGeneration 

Determines if the rate reset cycle is computed backwards from the maturity date or forwards from the effective date. 

Enumerated Constant 

1  Maturity Date 

ResetCurve 

Zero curve used for projecting the rates. 

Curve 

Curve must be three columns. 

DiscountingCurve 

Zero curve used for discounting. 

Curve 

Curve must be three columns. 

Holidays 

Schedule of nonbusiness days (excluding weekends). 

Date Range 

Leave blank if not applicable 








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