Component 
Resolution  IRO Pricing 




Function Definition 
oIRbarrier1_CFM(OptionType, ValueDate, EffectiveDate, MaturityDate, NotionalPrincipal, StrikeRate, Barrier, ResetFrequency, AccrualBasis, BusDayConv, InterpMethod, Volatility, ResetCycle,PaymentTiming,PastRates, ResetCurve, DiscountingCurve, Holidays) Displays the cashflow map for a standard interest rate barrier cap or floor. Returns a table consisting of fourteen columns; Leg, Effective Date, Maturity Date, DIP, DTM, Strike Rate, Forward Rate, Notional Value, Discount Factor, Optlet Value, Optlet Delta, Optlet Gamma, Optlet Theta, and Optlet Vega. 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

OptionType 

Specifies whether the option is a cap, floor, or collar. 

Enumerated Constant 

1  Cap 

ValueDate 

Valuation date. 

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 price of the option. 

Double 


Barrier 


Either a single value, or an array of two values with the upper barrier first and the lower barrier second. 


ResetFrequency 

Frequency of the optlets. 

Enumerated Constant 

1  Annual 

AccrualBasis 

Basis for determining payment amounts. 

Enumerated Constant 

1  Act/Act (actual) 

BusDayConv 

Business day convention. Used to determine the start and end date of each optlet period. 

Enumerated Constant 

1  No Adjustment 

InterpMethod 

Interpolate discount factors or rates? 

Enumerated Constant 

1  Discount Factors 

Volatility 

Annualized volatility of the underlying asset, expressed as a decimal. 

Double 

Volatility > 0% 

ResetCycle 


Enumerated Constant 


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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