oFRNctm_Resets( ) - Custom FRN Reset Rate Map Function


Component	Resolution - Bond Pricing

Function Definition	oFRNctm_Resets(DiscountMargin, Dates, ResetFreq, QuotedMarginRS, PastResetRates, ZeroCurve, AccrualBasis, BusDayConvention, ResetOffset, HolidaySchedule, InterpMethod) Generates a reset map for a partially customised floating rate note.

Bond Types	Floating rate note instruments, which have different coupon rates and exact coupon periods, no odd first or last coupon periods, no ex-dividend period, and a reset cycle that is computed backwards from maturity.

Function Parameters

Parameters		Description	Parameter Type	Restrictions
.
Dates		Four dates entered as an array.	Array (of Dates)
		Valuation Date. The valuation date of the instrument.	Date	ValDate < SettleDate
		Settlement Date. The date on which the trade will settle. This is typically 1-3 business days after the trade.	Date	SettleDate < MatDate
		Effective Date. The first date from which interest begins to accrue.	Date	EffDate < MatDate
		Maturity Date. The maturity date of the instrument.	Date	As above.
ResetFreq		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.	Enumerated Constant	1 - Annual 2 - Semi-Annual 3 - Quarterly 4 - Monthly 5 - Bi-Weekly 6 - Weekly
QuotedMarginRS		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.	Double, or an Array of Doubles	QuotedMarginRS >= 0
PastResetRates		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.	Double, or an Array of Doubles
ZeroCurve		The zero curve of the FRN, which is used to project cash flows	Curve
AccrualBasis		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. see Day Count Conventions	Enumerated Constant, or an Array of Enumerated Constants	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
BusDayConvention		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. see Business Day Conventions	Enumerated Constant, or an Array of Enumerated Constants	1 - No Adjustment 2 - Previous 3 - Following 4 - Mod Previous 5 - Mod Following 6 - EOM No Adjust 7 - EOM previous 8 - EOM following
ResetOffset		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.	Integer	ResetOffset >= 0
HolidaySchedule		Schedule of non-business days (excluding weekends)	Date Range	Leave blank if not applicable
InterpMethod		Method used to calculate rates and discount factors from the supplied zero curve.	Enumerated Constant	1 - Discount Factors 2 - Zero Rates