Floating Coupon Bond with a custom amortizing schedule

Last updated 9 November 2026

Function reference › Bonds › Floating Coupon Bonds

4 GIAnalyzer functions for Excel. Optional arguments are shown in [brackets].

GIA_Bonds_FloaterAmortCustom_AccruedInterest

Returns the accrued interest of an amortizing bond generating periodic principal and floating coupon payments.

GIA_Bonds_FloaterAmortCustom_AccruedInterest(FaceValue, CFr, Sp, LR, StartAccrDate, PrincipalDates, PrincipalRates, MDate, DR, DaysCoupon, ExDays, SDate)

Returns: Accrued interest of an amortizing bond generating periodic principal and floating coupon payments

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`CFr`	Required	The frequency of the bond's coupon payments (Annual, SemiAnnual, Quarterly, Monthly)
`Sp`	Required	The floater's spread, expressed in basis points.
`LR`	Required	The last reset rate of the floater's reference interest rate.
`StartAccrDate`	Required	The start date of the bond's first accrual period.
`PrincipalDates`	Required	The array of dates of all principal payments.
`PrincipalRates`	Required	The array of percentages of all principal payments.
`MDate`	Required	The bond's maturity date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`DaysCoupon`	Required	The time basis for the accrual period calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`ExDays`	Required	The number of days before coupon payment, during which the bond buyer is not entitled to receive the coupon.
`SDate`	Required	The settlement date.

GIA_Bonds_FloaterAmortCustom_LastResetDate

Returns the last reset date of the reference interest rate.

GIA_Bonds_FloaterAmortCustom_LastResetDate(MDate, StartAccrDate, CFr, DR, SDate)

Returns: Last reset date of the reference interest rate

Argument	Use	Description
`MDate`	Required	The bond's maturity date.
`StartAccrDate`	Required	The start date of the bond's first accrual period.
`CFr`	Required	The frequency of coupons (Annual, SemiAnnual, Quarterly, Monthly)
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`SDate`	Required	The settlement date.

GIA_Bonds_FloaterAmortCustom_Risk

Returns the risk measures (DV01, Macaulay Duration, Modified Duration, Convexity, KR01, Bucket DV01, Key Rate Duration or Bucket Duration) of an amortizing bond generating periodic principal and floating coupon payments, given interest rate curves for discounting future cash flows and for calculating forward interest rates.

GIA_Bonds_FloaterAmortCustom_Risk(FaceValue, CFr, Sp, LR, StartAccrDate, PrincipalDates, PrincipalRates, MDate, DR, DaysCoupon, ExDays, DCurveDates, DCurveRates, FCurveDates, FCurveRates, SDate, Comp, Days, Interp, RM, [StartTerm], [EndTerm])

Returns: Risk measures (DV01, Macaulay Duration, Modified Duration, Convexity, KR01, Bucket DV01, Key Rate Duration or Bucket Duration) of an amortizing bond generating periodic principal and floating coupon payments

Argument	Use	Description
`FaceValue`	Required	The bond's face value.
`CFr`	Required	The frequency of the bond's coupon payments (Annual, SemiAnnual, Quarterly, Monthly)
`Sp`	Required	The floater's spread, expressed in basis points.
`LR`	Required	The last reset rate of the floater's reference interest rate.
`StartAccrDate`	Required	The start date of the bond's first accrual period.
`PrincipalDates`	Required	The array of dates of all principal payments.
`PrincipalRates`	Required	The array of percentages of all principal payments.
`MDate`	Required	The bond's maturity date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`DaysCoupon`	Required	The time basis for the accrual period calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`ExDays`	Required	The number of days before coupon payment, during which the bond buyer is not entitled to receive the coupon.
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`FCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates.
`FCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates.
`SDate`	Required	The settlement date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`RM`	Required	The risk measure type (DV01, MacaulayDuration, ModifiedDuration, Convexity, KR01, BucketDV01, KRDuration, BucketDuration)
`StartTerm`	Optional	The starting term for Bucket and Key Rate measures.
`EndTerm`	Optional	The ending term for Bucket and Key Rate measures.

GIA_Bonds_FloaterAmortCustom_Value

Returns the value (Clean, Dirty) of an amortizing bond generating periodic principal and floating coupon payments, given interest rate curves for discounting future cash flows and for calculating forward interest rates.

GIA_Bonds_FloaterAmortCustom_Value(FaceValue, CFr, Sp, LR, StartAccrDate, PrincipalDates, PrincipalRates, MDate, DR, DaysCoupon, ExDays, DCurveDates, DCurveRates, FCurveDates, FCurveRates, SDate, Comp, Days, Interp, ValueType)

Returns: Value (Clean, Dirty) of an amortizing bond generating periodic principal and floating coupon payments

Argument	Use	Description
`FaceValue`	Required	The bond's face value. For a long position, the sign is positive, and for a short position, it is negative.
`CFr`	Required	The frequency of the bond's coupon payments (Annual, SemiAnnual, Quarterly, Monthly)
`Sp`	Required	The floater's spread, expressed in basis points.
`LR`	Required	The last reset rate of the floater's reference interest rate.
`StartAccrDate`	Required	The start date of the bond's first accrual period.
`PrincipalDates`	Required	The array of dates of all principal payments.
`PrincipalRates`	Required	The array of percentages of all principal payments.
`MDate`	Required	The bond's maturity date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`DaysCoupon`	Required	The time basis for the accrual period calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`ExDays`	Required	The number of days before coupon payment, during which the bond buyer is not entitled to receive the coupon.
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`FCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates.
`FCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates.
`SDate`	Required	The settlement date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`ValueType`	Required	Bond price type (Clean, Dirty)