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oIRcap2_Dates( ) Example

Specification

Consider a 3-year interest rate cap with semi-annual resets that has an effective date of 20 June 2003 and a maturity date of 20 June 2006. The cap has Business Day and Accrual Basis conventions of 'previous day' and 'actual/365' respectively. The rate reset cycle is computed backwards from the maturity date and rates are interpolated from the zero rates. The strike rate and notional schedules can be found by following the appropriate links below.

What are the reset and payment dates for the cap assuming a valuation date of 12 August 2003?

 

 

Function Specification

=oIRCap2_Dates("12/8/2003", "20/6/2003", "", "", "20/6/2006", 2, 2, 1, T1:T75)

 

 

Parameter Name

Parameter Value

 

 

 

 

 

Value Date

12/8/2003

 

 

Effective Date

20/6/2003

 

 

First Coupon Date

 

 

 

Penultimate Coupon Date

 

 

 

Maturity Date

20/6/2006

 

 

Reset Frequency

2

 

 

Business Day Convention

2

 

 

Date Generation

1

 

 

Holiday Schedule

T1:T75

See Holiday Schedule

 

 

Solution

The following results are obtained:

 

Reset Date

Payment Date

 

 

 

 

 

20 June 2003

19 December 2003

 

 

19 December 2003

18 June 2004

 

 

18 June 2004

20 December 2004

 

 

20 December 2004

20 June 2005

 

 

20 June 2005

20 December 2005

 

 

20 December 2005

20 June 2006

 

 

 

 

 

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