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Component |
Resolution - Bond Pricing |
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Function Definition |
oFRNctm2_Price2(DiscountMargin, Dates, ResetFreq, PaymentFreq, QuotedMarginRS, QuotedMarginCP, NotionalAmount, NotionalFlag, PastResetRates, ZeroCurve, AccrualBasis, BusDayConvention, ResetOffset, HolidaySchedule, InterpMethod, ExCpnDays, ExCpnType, ResetCycle) Generates the instruments cash flow map, consisting of seven columns; Leg, Payment Date, Reset Rate, Coupon, Notional, Total Cash Flow, and Present Value of Cash Flow. Discount factors are read directly from the zero curve. |
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Bond Types |
Floating rate note instruments, which have different coupon rates and exact coupon periods. Able to value FRN's with accreting/amortizing face values, odd first and last coupons, and an ex-dividend period. |
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Function Parameters |
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Parameters |
Description |
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Parameter Type |
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Restrictions |
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DiscountMargin |
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The margin over the reference rate, expressed in basis points. |
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Double |
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DiscountMargin >= 0 |
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Dates |
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6 dates entered as an array: |
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Array of Dates |
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ValuationDate: The valuation date of the instrument. |
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ValDate < SettleDate |
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SettlementDate: The date on which the trade will settle. This is typically 1-3 business days after the trade. |
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SettleDate < MatDate |
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EffectiveDate: The first date from which interest begins to accrue. |
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EffDate < MatDate |
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FirstCpnDate: Date that the first coupon is paid (if FRN does not have an odd first period, leave blank) |
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F.C.D < EffDate |
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PenultCpnDate: Date that the penultimate coupon is paid (if FRN does not have an odd last period, leave blank) |
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P.C.D > EffDate |
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MaturityDate: The maturity date of the instrument. |
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As above. |
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ResetFreq |
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The rate reset frequency of the instrument. Note that if the FRN has a stub first or last period then this parameter is set equal to the Payment Frequency. |
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Enumerated Constant |
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1 - Annual |
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PaymentFreq |
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The payment frequency of the instrument. |
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Enumerated Constant |
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1 - Annual |
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QuotedMarginRS |
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The margin, in basis points, that is added to each rate reset. If the margin is constant for every reset, then enter a single margin, overwise an array (1 for each rate reset) of margins is required. |
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Double, or an Array of Doubles |
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QuotedMarginRS >= 0 |
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QuotedMarginCP |
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The margin, in basis points, that is added to the resulting coupon rate (computed from the collection of rate resets), when the rate reset is more frequent than the payment frequency. If the margin is constant for every reset, then enter a single margin, overwise an array (1 for each rate reset) of margins is required. |
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Double, or an Array of Doubles |
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QuotedMarginCP >= 0 |
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NotionalAmount |
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Redemption value for the instrument paid at each rate reset date. If the face value is constant at each rate reset date, then enter a single value, otherwise an array (1 for each rate reset) of face values is required. |
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Double, or an Array of Doubles |
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FaceValue >= 0 |
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NotionalFlag |
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Flags whether the face value amounts are notional only or if they are actually paid. |
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Enumerated Constant |
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1 - Notional Only |
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PastResetRates |
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The rates observed at the previous rate reset dates. If all the previous rate reset rates are constant, then enter a single rate, otherwise an array of rates is required. |
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Double, or an Array of Doubles |
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ZeroCurve |
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The zero curve of the FRN, which is used to project cash flows. |
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Curve |
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AccrualBasis |
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Array of two Enumerated Constants: Accrual Basis (RS): Convention used to determine projected cash flow amounts, ie is used to adjust the forward rate derived from the supplied zero curve for a projected valuation. Accrual Basis (CP): Used to determine the length (in years) of each coupon period, which is used in turn to calculate the coupon amount for that period. If both conventions are identical then just enter a single Enumerated Constant. |
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Enumerated Constant, or an Array of Enumerated Constants |
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1 - Act/Act (actual) |
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BusDayConvention |
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Array of two Enumerated Constants: BusinessDayCon (RS): Business day convention for reset dates. Used to determine the start and end date of each rate reset date. BusinessDayCon (CP): Business day convention for coupon payments dates. Used to determine the start and end date of each payment date.
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Enumerated Constant, or an Array of Enumerated Constants |
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1 - No Adjustment |
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ResetOffset |
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Used to determine the reset date for each floating rate reset. The reset date precedes the effective date for each coupon period by the number of days equal to the reset offset. |
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Integer |
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ResetOffset >= 0 |
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HolidaySchedule |
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Schedule of non-business days (excluding weekends) |
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Date Range |
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Leave blank if not applicable |
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InterpMethod |
Method used to calculate rates and discount factors from the supplied zero curve. |
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Enumerated Constant |
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1 - Discount Factors |
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ExCpnDays |
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No. of days in the ex-dividend period (if ExCpnType = 1, 2, or 3), day of month (if ExCpnType = 4, 5), or No. months (if ExCpnType = 6). |
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Integer |
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1 - No Ex-Date |
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ExCpnType |
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Method by which the ex-dividend date is determined (if applicable). Used in conjunction with ExCpnDays. |
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Enumerated Constant |
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1 - Business Days |
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ResetCycle |
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Determines if the rate reset cycle is computed backwards from the maturity date or forwards from the effective date. |
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Enumerated Constant |
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1 - Maturity Date |
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Copyright 2013 Hedgebook Ltd.