Schedule and Business calendar functions
This xll provides general schedule and busness calendar related functions. The library currently supports business calendars for US, UK, SWITZERLAND, JAPAN, TARGET and SINGAPORE. Another calendar option called "WEEKDAYS", which is a weekday only calendar, can be used along with the input array of holidays (see below in the relevant function definition) to implement other business calendars. Combination business calendars can be arrived at by providing calendar names as a single string seperated by commas. e.g. A US and JAPAN business calendar combination can be arrived at by providing "US,JAPAN" as the input to the formulae below.
Synoposis - Available functions
- sched_BusinessDayCount
- sched_IsBusinessDay
- sched_plusBusinessDays
- sched_Holidays
- sched_Schedule
- sched_DCF
- sched_discountFactor
- sched_forwardRate
- sched_Tenor2Month
- sched_previousBusinessDay
- sched_nextBusinessDay
- sched_LastBusDayOfMonth
- sched_plusMonths
- sched_endOfMonth
sched_BusinessDayCount
Description : Returns the number of business days between the input date. Inclusive of start date but exclusive of end date.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| startDate | 5/31/2009 | Start date |
| endDate | 5/31/2010 | End date |
| holidayCalendar | TARGET,JAPAN | Calendar string |
| xtraHolidays | - | List of dates to be added |
sched_IsBusinessDay
Description : Performs the business day check.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| iDate | 5/31/2010 | Input date |
| holidayCalendar | TARGET,JAPAN | Calendar string |
| xtraHolidays | - | List of dates to be added |
sched_plusBusinessDays
Description : Adds Business days to the input date.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| iDate | 5/31/2010 | Input date |
| numberOfDays | 4 | Number of business days to be added. |
| holidayCalendar | TARGET,JAPAN | Calendar string |
| xtraHolidays | - | List of dates to be added |
sched_Holidays
Description : Displays non business days for a given calendar. Excludes regular saturdays and sundays.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| startDate | 5/31/2009 | Start date |
| endDate | 5/31/2010 | End date |
| holidayCalendar | TARGET,JAPAN | Calendar string |
sched_Schedule
Description : Generates schedule for a given set of parameters.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| effective_date | 5/20/2007 | Effective date |
| first_regular_schedule_date | 7/20/2007 | First regular schedule date |
| last_regular_schedule_date | 10/20/2009 | Last regular schedule date |
| End date | 12/20/2009 | Maturity |
| rollDay | 20 | Roll day |
| tenor | 1M | 1M,3M,6M,1Y,2Y etc. |
| ctrl | u | Control 'u' for unadjusted, 'm' for modfollowing, 's' succeeding and 'p' for preceeding |
| holidayCalendar | TARGET,JAPAN | Calendar string |
sched_DCF
Description : Calculates DCF given the day count convention. Supported conventions are Act/365F, Act/360, Act/365A, Act/365L, NL/365, 30/360 ISDA, 30E/360, 30E+/360, 30/360 German, 30/360 US and Act/Act.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| period_start_date | 5/31/2009 | Period start date |
| period_end_date | 7/31/2009 | Period end date |
| dayCountConvention | Act/Act | Day count convention |
sched_discountFactor
Description : Calculates Discount factor given the day count convention. Supported conventions are Act/365F, Act/360, Act/365A, Act/365L, NL/365, 30/360 ISDA, 30E/360, 30E+/360, 30/360 German, 30/360 US and Act/Act.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| spotRate | 6.50% | Spot rate |
| period_start_date | 5/31/2009 | Period start date |
| period_end_date | 7/31/2009 | Period end date |
| dayCountConvention | Act/Act | Day count convention |
sched_forwardRate
Description : Calculates form forward rate given the spot rates. Supported conventions are Act/365F, Act/360, Act/365A, Act/365L, NL/365, 30/360 ISDA, 30E/360, 30E+/360, 30/360 German, 30/360 US and Act/Act.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| refDate | 5/20/2009 | Date on which the forward rate needs to be calculated. |
| spotRate1 | 6.50% | Spot rate of the first tenor |
| maturity1 | 8/20/2009 | maturity date for the first tenor |
| spotRate2 | 6.60% | Spot rate of the second tenor |
| maturity2 | 11/20/2009 | maturity date for the second tenor |
| dayCountConvention | Act/Act | Day count convention |
sched_Tenor2Month
Description : Converts tenor to month.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| tenor | 1M | Tenor |
sched_previousBusinessDay
Description : Returns the previous business day.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| iDate | 5/12/2009 | Input date |
| holidayCalendar | TARGET,JAPAN | Calendar string |
| xtraHolidays | - | List of holidays to be added |
sched_nextBusinessDay
Description : Returns the next business day.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| iDate | 5/12/2009 | Input date |
| holidayCalendar | TARGET,JAPAN | Calendar string |
| xtraHolidays | - | List of holidays to be added |
sched_LastBusDayOfMonth
Description : Returns the the last business day for the month.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| iDate | 5/12/2009 | Input date |
| holidayCalendar | TARGET,JAPAN | Calendar string |
| xtraHolidays | - | List of holidays to be added |
sched_plusMonths
Description : This function adds required number of months to a calendar date.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| iDate | 5/12/2009 | Input date |
| iMonths | 2 | Number of months to be added |
sched_endOfMonth
Description : This function returns last calendar day of the month.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| iDate | 5/12/2009 | Input date |
Requirements
- schedulesV1.0.0.xll
