Component 
Resolution  IRO Pricing 




Function Definition 
oIRcap2_CFM(OptionType, ValueDate, Dates, NotionalPrincipal, StrikeRate, ResetFrequency, AccrualBasis, BusDayConv, InterpMethod, Volatility, ResetCycle, PaymentTiming, PastRates, ResetCurve, DiscountingCurve, Holidays) Generates the cash flow map for a custom collar. Returns a table consisting of fifteen columns; Leg, Reset Date, Payment Date, Days in Period, Days to Maturity, Strike Rate, Forward Rate, Notional, Discount Factor, Optlet Payoff, Delta, Gamma, Theta, Vega, and Leg Type (Cap or Floor). 




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 

ValueDate 

The valuation date of the option. 

Date 

ValDate < SettleDate 

Dates 

Four dates entered as an array 

Array (of Dates) 





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 



ResetCycle 

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

Enumerated Constant 

1  Maturity Date 

PaymentTiming 

Determines the timing of the optlet payments. 

Enumerated Constant 

1  Advance 

PastRates 

The rates observed at the previous rate reset dates. 

Curve 

If the past reset rates are all the same (or if there is only one), then enter a single value. Otherwise, you can enter either a rate curve or a zero curve. 

ResetCurve 

Zero curve used for projecting the rates. 

Curve 

Curve must be three columns. 

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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