Key_Ibor_Rate_Bond__Index

Key *Index* in Ibor Rate Bond refers to the floating rate index object of type Ibor 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.