The Excel Derivatives Periscope



CMS Rate Bond is a child type of Bond that represents a specialization where each coupon is determined by a floating interest rate of type Swap Rate
The value I realized by the index at the begining (or at the end if in arrears) of each floating coupon period is used to calculate the bare rate gI+s where g, s are the entries in , Gearings, Spreads respectively.
The final rate R is reached by restricting the bare rate upwards by the level c entered in Caps and downwards by the level f entered in Floors and given formally as R = min(max(gI+s,f),c)
The coupon amount C being paid is C = NRΔt, where N is the entry in Notional and Δt is the length of the respective accrual period.
The coupon denomination currency is assumed to be that of the index.