Floating-Rate Bond
Price a floating-rate note linked to an IBOR index, using a discounting curve and a forecasting curve for the index projection. Returns NPV, price, and risk metrics. Shared concepts are on the Pricing overview.
Pricing Context
| Field | Control | Default | What it does |
|---|---|---|---|
| As Of Date | Date | 2025-01-15 | Valuation date. |
| Settlement Date | Date | As-Of + 2d | Settlement date for price and accrued. |
| Discounting Curve (PV) | Two dropdowns | Standalone → none | Curve used to discount the note's cashflows. |
| Forecasting Curve (Index projection) | Dropdowns | — | Curve used to project the floating index forwards. |
| Single-curve mode | Checkbox | on | Reuse the discount curve for index projection. |
| Attach quote book snapshot to pricing request | Checkbox | on | Bundle quote-book values for server-side quote resolution. |
Bond Details
| Field | Options | Default | What it does |
|---|---|---|---|
| Face Amount | Number | 100 | The note's notional / par amount. |
| Spread (bps) | Number | 10 | Additive spread over the index, in basis points. |
| Redemption | Number | 100 | Redemption value at maturity, per 100 face. |
| Settlement Days | Number | 2 | Business days from trade to settlement. |
| Fixing Days | Number | 2 | Index fixing lag in business days before each accrual. |
| Accrual Day Counter | Day-counter list | Actual360 | Day-count basis for coupon accrual. |
| In Arrears | Checkbox | off | Fix the index in arrears (at the end of the accrual period) rather than in advance. |
Floating Index
| Field | Options | Default | What it does |
|---|---|---|---|
| IBOR Index | Index picker (Saved / Custom) | EURIBOR_6M | The floating index the coupons reference. Its tenor sets the natural coupon frequency. |
Schedule
| Field | Options | Default | What it does |
|---|---|---|---|
| Issue Date | Date | today | The note's issue (dated) date. |
| Effective Date | Date | today | Accrual start date. |
| Maturity Date | Date | +5y | Final maturity / redemption date. |
| Frequency | Annual, Semiannual, Quarterly, Monthly | Semiannual | Coupon payment frequency. |
| Calendar | Calendar list | TARGET | Holiday calendar for business-day adjustment. |
| Date Generation | Forward, Backward | Forward | Whether schedule dates are generated from the start (Forward) or maturity (Backward). |
Below the schedule, two checkboxes — Include risk metrics (default on) and Include cash flows (default on) — control whether duration/convexity and the cashflow table are returned.
Calendar options: TARGET, UnitedStates, UnitedKingdom, Japan, Germany, Switzerland, Canada, Australia, Italy, Brazil, China, NullCalendar, WeekendsOnly.
Reading the results
Like the fixed-rate bond, the panel reports NPV and Yield; Clean Price, Dirty Price, and Accrued; Macaulay / Modified Duration and Convexity (when Include risk metrics is on); and the per-coupon cashflow table (when Include cash flows is on). For a floater the cashflow table shows the projected index fixing on each coupon.