Component |
Resolution - Bond Pricing |
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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. |
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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. |
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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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Dates |
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Four dates entered as an array. |
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Array (of Dates) |
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Valuation Date. The valuation date of the instrument. |
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Date |
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ValDate < SettleDate |
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Settlement Date. The date on which the trade will settle. This is typically 1-3 business days after the trade. |
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Date |
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SettleDate < MatDate |
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Effective Date. The first date from which interest begins to accrue. |
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Date |
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EffDate < MatDate |
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Maturity Date. The maturity date of the instrument. |
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Date |
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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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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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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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See Also oFRNctm_Price( ) - Custom FRN Price Function oFRNctm_DM( ) - Custom FRN Discount Margin Function oFRNctm_Dates( ) - Custom FRN Dates Function |
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