The Excel Derivatives Periscope



Ibor Rate Bond is a child type of Bond that represents a specialization 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 , Gearing, Spread respectively.
The final rate R is reached by restricting the bare rate upwards by the level c entered in Cap and downwards by the level f entered in Floor 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
functions are also available within Ibor Rate Bond:
Ibor Rate Bond Functions