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

Component

Resolution - IRO Pricing

 

 

Function Definition

oIRcap2_Dates(ValueDate, EffectiveDate, FirstPmtDate, PenultPmtDate, MaturityDate, ResetFrequency, BusDayConv, ResetCycle, Holidays)

Generates the dates for a custom cap, floor, or collar. Returns a table consisting of two columns: Reset Date and Payment Date.

 

 

IRO Types

Custom interest rate caps, floors, and collars.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

ValueDate

 

The valuation date of the cap, floor, or collar.

 

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
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 cap, floor, or collar.

 

Date

 

As above.

ResetFrequency

 

Frequency of the optlets.

 

Enumerated Constant

 

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

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

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

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

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

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