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oIRcap2_CFM( ) - Interest Rate Cap Floor or Collar 2 Cash Flow Map Function

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
2 - Floor
3 - Collar

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
F.P.D <
P.P.D
F.P.D < MatDate

 

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
P.P.D >
F.P.D
P.P.D < MatDate

 

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
2 - Semi-Annual
3 - Quarterly
4 - Monthly
5 - Bi-Weekly
6 - Weekly

AccrualBasis

 

Basis for determining payment amounts.

See Day Count Conventions

 

Enumerated Constant

 

1 - Act/Act (actual)
2 - Act/Act (bond)
3 - Act/360
4 - Act/365
5 - Act/365 ISDA
6 - Act/365 JGB (NL)
7 - 30/360 ISDA
8 - 30/360 PSA
9 - 30E/360
10 - 30E+/360
11 - Act/365L

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
2 - Previous
3 - Following
4 - Mod Previous
5 - Mod Following
6 - EOM No Adjust
7 - EOM previous
8 - EOM following

InterpMethod

 

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

 

Enumerated Constant

 

1 - Discount Factors
2 - Zero Rates

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
2 - Effective Date

PaymentTiming

 

Determines the timing of the optlet payments.

 

Enumerated Constant

 

1 - Advance
2 - Arrears

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 non-business days (excluding weekends)

 

Date Range

 

Leave blank if not applicable

 

 

 

 

 

 

 

See Also

oIRcap2_Price( ) - Interest Rate Cap Floor or Collar 2 Price Function

oIRcap2_Dates( ) - Interest Rate Cap Floor or Collar 2 Dates Function

oIRcap1_CFM( ) - Interest Rate Cap Floor or Collar 1 Cash Flow Map Function

oIRcap2_ZCC( ) - Interest Rate Specified (Zero) Cost Cap Floor or Collar 2 Function

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