# oIRcap1_CFM( ) Example

 Specification Consider a 5-year interest rate cap that has an effective date of 10 March 2003, a maturity date of 10 March 2008, and a notional value of \$100,000. The cap, which has an annual reset frequency, has a strike rate of 8.25% and a volatility of 30%, while the Business Day and Accrual Basis conventions are 'following day' and 'actual/360' respectively. The rate reset cycle is computed backwards from the maturity date and rates are interpolated from the zero rates. What is the cash flow map for the cap assuming a valuation date of 12 August 2003? Function Specification =oIRCap1_CFM(1, "12/8/2003", "10/3/2003", "10/3/2008", 100000, 0.0825, 1, 3, 3, 2, 0.3, 1, R1:T24, V1:X24, Z1:Z75) Parameter Name Parameter Value Option Type 1 Value Date 12/8/2003 Effective Date 10/3/2003 Maturity Date 10/3/2008 Notional 100,000 Strike Rate 0.0825 Reset Frequency 1 Accrual Basis 3 Business Day Convention 3 Interpolation Method 2 Volatility 0.3000 Date Generation 1 Reset Curve R1:T24 See Zero Curve Discounting Curve V1:X24 See Zero Curve Holiday Schedule Z1:Z75 See Holiday Schedule Solution The following results are obtained: Leg Effective Date Maturity Date Days in Period Days to Maturity Strike Rate Forward Rate Notional Value 1 10-Mar-03 10-Mar-04 366 -155 8.2500% 5.3142% \$100,000 2 10-Mar-04 10-Mar-05 365 211 8.2500% 5.6423% \$100,000 3 10-Mar-05 10-Mar-06 365 576 8.2500% 5.7994% \$100,000 4 10-Mar-06 12-Mar-07 367 941 8.2500% 5.9652% \$100,000 5 12-Mar-07 10-Mar-08 364 1308 8.2500% 6.1317% \$100,000 Solution (continued...) Discount Factor Optlet Value Optlet Delta Optlet Gamma Optlet Theta Optlet Vega Leg Type 0.969386 0.000000 0.000000 0.000000 0.000000 0.000000 Cap 0.916931 28.61722 0.055365 8.529272 -0.001206 0.004709 Cap 0.866011 213.0361 0.197093 11.96066 -0.001693 0.019044 Cap 0.816366 413.6441 0.271645 10.32310 -0.001423 0.028411 Cap 0.768707 587.1336 0.311885 8.559568 -0.001115 0.034598 Cap