Floating Coupon Bond

Last updated 9 November 2026

Function reference › Bonds › Floating Coupon Bonds

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

GIA_Bonds_FloaterBullet_AccruedInterest

Returns the accrued interest of a bond generating periodic floating coupon payments.

GIA_Bonds_FloaterBullet_AccruedInterest(FaceValue, CFr, Sp, LR, StartAccrDate, MDate, DR, DaysCoupon, ExDays, SDate)

Returns: Accrued interest of a bond generating periodic 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.
`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_FloaterBullet_CarryRollDown

Returns the carry or roll-down of a bond generating periodic floating coupon payments, given interest rate curves for discounting future cash flows and for calculating forward interest rates.

GIA_Bonds_FloaterBullet_CarryRollDown(FaceValue, CFr, Sp, LR, StartAccrDate, MDate, HDate, DR, DaysCoupon, ExDays, DCurveDates, DCurveRates, FCurveDates, FCurveRates, SDate, CountAccrual, Comp, Days, Interp, MT)

Returns: Carry or roll-down of a bond generating periodic 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.
`MDate`	Required	The bond's maturity date.
`HDate`	Required	The horizon 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.
`CountAccrual`	Required	Whether the accrued but unpaid value of the last coupon is added to the carry. (Yes, No)
`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)
`MT`	Required	The measure type. (Carry, Roll-down)

GIA_Bonds_FloaterBullet_LastResetDate

Returns the last reset date of the reference interest rate.

GIA_Bonds_FloaterBullet_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_FloaterBullet_Risk

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

GIA_Bonds_FloaterBullet_Risk(FaceValue, CFr, Sp, LR, StartAccrDate, 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 a bond generating periodic 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.
`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_FloaterBullet_Value

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

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

Returns: Value (Clean, Dirty) of a bond generating periodic 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.
`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)