Deriscope

The Excel Derivatives Periscope

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Ibor_Rate_Bond

Ibor Rate Bond is a Tradable that represents a Bond where each coupon is determined by a floating interest rate of type Ibor 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.

The following QuantLib issues have been identified:
Ibor Rate Bond Issues