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Using the Resolution Functions

The Resolution functions for simple interest rate options are split into 2 groups, with the functions in the second group capable of dealing with more complex instruments. The prefixes for the function groups are as follows:


Function Group Prefix




Functions that can be used to handle vanilla style interest rate options with flat (constant) volatility.


Functions that can deal with a range of custom features such as:


  • amortizing or accreting notional principal amounts
  • step-up or step-down cap or floor rates
  • volatility curve


Note that while the function names only contains "Cap", they are capable of dealing with floors and collars as well. Within each group of functions there are the following common function types:

Function Name




Returns the fair value and risk statistics for the IRO.


Returns relevant valuation detail for each of the optlets in the cap, floor, or collar.


Returns the strike rate for the 'unknown' leg of a collar such that the collar premium equals the target amount.



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