A B C D E F G H I J K L M N
2
3 RateConvert
4
5 Category: Time Value Of Money Analysis
6 Family: Advanced Interest Rate Conversions
7 Arguments: FromDatesInt, IntSimple, FromDate, ToDate, [DayCountSource], [DayCountTarget], PrdsSource, PrdsTarget, [MarginOpt]
8 Meaning: Generic Rate Convert
9 Description: Converts an Interest Rate from one basis of compounding to another, taking into account possible irregular compounding periods.
10        
11 PeriodsSource (1.17) (4.17) (7.17) (10.17)  
12 PeriodsTarget (1.17) (7.17)      
13        
14              
15 FromDatesInt  17 Jan 01  17 Apr 01            
16 IntRatesSimple   2.8743%    2.8743%             
17              
18 From To DayCount DayCount Margin RateConvert
19 Date Date Source Target Function
20            
21    17 Jan 01  17 Jul 01 3 3   1.0800%      3.9684% 
 
22            
23 Focus on: What the function is doing
24 eg Loan of   1,000,000 31 30 Interest
25 LongHand From To Interest Applied To in Period
26 Interest+Margin  17 Jan 01  17 Apr 01   3.9543%    1,000,000   9,750
27 Interest+Margin  17 Apr 01  17 Jul 01   3.9543%    1,000,000   9,859
28 Interest only on (Interest 17Jan-17Feb)  17 Apr 01  17 Jul 01   2.8743%    9,750   70
29   19,679
30 Interest Rate   3.9684%    181 days
31
32
33
34 More Examples:
35 From To DayCount DayCount Margin Check:
36 Date Date Source Target SimpleToSimple
37            
Function
38    17 Jan 01  17 Jul 01           2.8846%      2.8846%   
39    17 Jan 01  17 Jul 01 3 2       2.8450%      2.8450%   
40    17 Jan 01  17 Jul 01 3 3       2.8845%      2.8845%   
41    17 Jan 01  17 Jul 01 3 4       2.8608%      2.8608%   
42    17 Jan 01  17 Jul 01 3 5       2.8608%      2.8608%   
43    17 Jan 01  17 Jul 01 3 6       2.8608%      2.8608%   
44              
45 Some Really Simple Examples:
46  
47 PeriodsTarget    -1  
48  
49 FromDatesInt  1 Jan 01  
50 IntRatesSimple   4.0000%    RateConvert SimpleToAER LongHand
51   Function Function
52 PeriodsSource                
53      -4  1 Jan 01  1 Jan 02 5 5       4.0604%    4.0604%    4.0604%   
54      -2  1 Jan 01  1 Jan 02 5 5       4.0400%    4.0400%    4.0400%   
55      -12  1 Jan 01  1 Jan 02 5 5       4.0742%    4.0742%    4.0742%   
56      -1  1 Jan 01  1 Jan 02 5 5       4.0000%    4.0000%    4.0000%   
57                  
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