This template allows you to model bond's like investment products determined by two series of scheduled coupons. The first coupons series is fixed, while the second series is floating: coupons linked to the a transformation of the performance of the underlying interest rate. This template allows to describe the floating rate transformation and as well optional floors and caps. At the maturity, the bond pays the last coupon and repays the 100% of principal (or the remaining capital in case of capital amortization). With this template you are able to price a bond leg by specifying principal payments dates and related day conventions adjustments (market, business days, day count conventions) and optionally the capital amortization schedule. This template allows also to optionally specify an early redemption style: the bond can either be callable (the issuer has the faculty to redeem the issue) or puttable (the contract holder has the faculty to exit the contract).
Fixed to Free Floating Rate Bond
|Custom Liquidity Spread||Enter a custom liquidity spread for this contract. The cash-flows will be subjected to an additional discounting based on the entered spread.