FRN1 - Standard (Projected) Template

Component

Resolution - Bond Pricing

Brief

Use this template to price a 'Standard' Floating Rate Note by projecting the future cashflows from a supplied zero curve.

Worksheet

Description

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FRN Analysis

This sheet contains the input parameters and a summary of the price and risk statistics.

Functions Used

oFRNstd_DM | oFRNstd_Price

Cashflow Map

This sheet contains a detailed breakdown of the cashflows for the FRN.

Functions Used

oFRNstd_CFM

Zero Curve

This sheet contains the zero curve and holidays list.