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Key_CMS_Rate_Bond__IndexKey Index in CMS Rate Bond refers to the floating rate index object of type Swap Rate.
Its realized value I 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.