Component 
Resolution  IRO Options 




Function Definition 
oIRcap1_CFM(OptionType, ValueDate, EffectiveDate, MaturityDate, NotionalPrincipal, StrikeRate, ResetFrequency, AccrualBasis, BusDayConv, InterpMethod, Volatility, ResetCycle, PaymentTiming, PastRates, ResetCurve, DiscountingCurve, Holidays) Generates the cash flow map for a vanilla cap, floor, or 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 
Vanilla 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 
EffectiveDate 

The reset date of the first optlet. 

Date 

EffDate < MatDate 
MaturityDate 

The maturity date of the option. 

Date 

As above. 
NotionalPrincipal 

The notional value of the option. 

Double 

Notional >= 0 
StrikeRate 

The exercise rate of the option. 

Double, or an array of doubles. 

Enter a single value if valuing a cap or floor, otherwise enter 2 values (as an array) for the cap and floor rates respectively. 
ResetFreq 

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. 

Double 

Volatility > 0% 
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. 
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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