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oConvertRate( ) Function

Component

Resolution - Utility

 

 

Function Definition

oConvertRate(Rate, FrequencyIn, BasisIn, FrequencyOut, BasisOut)

Converts a rate from a given frequency and day count convention to another frequency and day count convention

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

Rate

 

The rate to convert

 

Double

 

FrequencyIn

 

The compounding frequency of the input rate

 

Enumerated Constant

 

1 - Annual
2 - Semi-Annual
3 - Quarterly
4 - Monthly
5 - Bi-Weekly
6 - Weekly
7 - Daily
8 - Hourly
9 - Continuously

BasisIn

 

The day count convention in which the input rate is quoted

 

Enumerated Constant

 

1 - Act/Act (actual)
2 - Act/Act (bond)
3 - Act/360
4 - Act/365
5 - Act/365 ISDA
6 - Act/365 JGB (NL)
7 - 30/360 ISDA
8 - 30/360 PSA
9 - 30E/360
10 - 30E+/360
11 - Act/365L

FrequencyOut

 

The compounding frequency of the rate to be returned

 

Enumerated Constant

 

1 - Annual
2 - Semi-Annual
3 - Quarterly
4 - Monthly
5 - Bi-Weekly
6 - Weekly
7 - Daily
8 - Hourly
9 - Continuously

BasisOut

 

The day count convention in which the output rate is quoted

 

Enumerated Constant

 

1 - Act/Act (actual)
2 - Act/Act (bond)
3 - Act/360
4 - Act/365
5 - Act/365 ISDA
6 - Act/365 JGB (NL)
7 - 30/360 ISDA
8 - 30/360 PSA
9 - 30E/360
10 - 30E+/360
11 - Act/365L

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