Full Cash Flows
Full Cash-Flows are identical to Bond Bullet Cash-Flows except that they include Nominal Amounts.  Nominal Amounts can thus vary over time according to any pre-agreed scheme.


Equity -Commodity Reset Events
Also called false Resets, as they mimic standard floating rate reset events, but are designed for Equity and Commodity Fixing - or - Reset Events. They do not include official fixing rates (or polled) Rates or a spread but instead observed values or amounts (such as an index amounts or price levels),

Floating - Reset- Events

Standard Floating Rate Events are handled as Reset Events. Each rate is observed, at a given point in time and then accrues over one or multiple periods which will then form a coupon issued on the payment date. 
This Reset Date or Fixing Date takes place the day before the begin date of the accruing period for reset-in-advance events (the vast majority). Resets can also be observed "In-Arrears" which implies the rate will be fixed at the end of the accruing period. 

A payment is made at the end of the accuring date, usually 2 business days after the final end date of the accruing period.

Reset Rates can be averaged over multiple Observation dates to form a payment (in which case the Reset is considered averaging only).
Alternatively the average rates observed over multiple Observation dates can become an intermediate reset event (with it's own spread) that will then be compounded with other reset events to form a final payment.(in which case the reset event is deemed Averaging & Coimpounding)

Contingent Rates- Caps-Floors-Collars

Contingent Rates are floating rates that depend on a fixed rates (also called strike / coupon) in order to determine the claim's payout. Caps, Floors and Subsequently Collars are typical Contingent claims.

Constant-Maturity Tenors

Constant Maturity Tenors define a constant maturity reference bond used as a proxy to compute a benchmark yield from which a fixed rate (strike or coupon) will be determined.  
Constant Maturity Tenors are expressed in number of days, since they are meant to remain constant as the underlying ages.
Constant Maturity Tenors can be found on Floating as well as fixed sides of a claim:
On the floating side, they are used to compute the fixed rate /strike from which floating rates will be subtracted.  (eg Constant Maturity Cap)

On ther fixed leg they are used to define a fixed rate benchmark (plus an additionnal spread) for a forward starting leg. (e.g. forward starting swap).


European Strike Dates

European strike dates form a simple stream of dates where specific Exercise Levels expire at a specified point in time.

Bermudan Strike Dates

Bermudan Strike Dates include begin and end dates where each related exercise prices are exercised.
In this case, Strikes are specified with a frequency and an Exercise Duration, usually defined as a period (a day, week, month or year) and a multiplier (5, 10 etc)


Barrier Contingent Claims

Barrier Contingent Claims are designed to cover floating Reset Events that include Barriers. This type of cash-flow is typical of  Barrier Caps, Barrier Floors or Barrier Collars and other contingent claims that include floating events, a given strike (the fixed rate) and a barrier Level.

Barrier Contingent Claims are identical to Reset Events with the additional feature of a barrier level.

Notional Exchange Payments

Notional Exchange Payments are typical of Currency Swaps and swap in advance, although they might be attached to any type of instrument.

Notional Exchange Payments simply define a date and an amount that will be paid or exchanged between counterparties, the distinction is important when computing credit risk, since this type of payment includes settlement risk and therefore subject to master netting agreements.

Holidays-Calendars

The module provides a series of Holiday Calendars for different financial centers. a Maximum of 3 (three) financial centers can be merged when computing cash-flow events that are business date adjusted.

Averaging Floating Events

Floating Rate Reset Events can be averaged prior to a coupon payment. In this case, The Reset Date is considered The Observation date, the observed rate is then accrued over the observation begin and end date and the sum of the observed rates over the Begin and End Observation Dates to give way to a coupon rate or a reset event (if further compounding takes place). 


Compounding Floating Events

Floating Rate Reset Events can be compounded prior to the coupon payment. In this case, a series of Reset Events (i.e. Reset Date accruing over a Begin and End Date Period) are compounded to form a single coupon that is settled on the Payment date.

Calculation Options

Calculation Features In the Cash-Flow Screens

Coupon / Reset Date Types And Lag In Days

Coupon Date types defines how the coupon payment date (i.e. the Payment Date) is defined from the period's end roll date.  
The Coupon Payment Date can be defined as a number (the offset) of business or calendar days (the date type). If Business days is selected only valid working days, i.e. excluding Saturday and Sunday and non-working days, as defined in the selected calendars) will be taken into account. On the other hand, if calendar date type is selected, then no provision for non-working days will be made.

Generation Rule

The Generartion rule determines how event dates are determined. 
By default, the frequency period rule simply applies the length of time (years, months, days) that were selected in the frequency listbox.
The "End of Month" convention also applies the frequency period, but then fixes the date to the last valid date (business or calendar) of the month in which the event date falls. (obviously, only valid for frequency higher or equal to Monthly can use this scheme).
The "IMM" generation rule uses the 3rd Wednesday in the Month. rule applied to financial futures to determine the day in the month in which the event falls. (only valid for frequencies equal or above quarterly).Depending on the currency selected, other financial future schemes can be activated.

Roll Convention



The roll convention determines how the cash-flow adjustments behave when events are lagged with "business date" date type.
The "Following" convention simply states the the following date is selected when the current date is not valid. 
The "Modified Following"  convention always selects the following valid date, expect when this date would fall in another month. If this is the case, the date is rolled back to the last valid working date within the month.
The "Preceding Convention" uses the preceding date rather than the following date. The modified Preceding assumes the same rules as modified following but applies this to preceding dates rather than following.

The "Floating Rate Note" convention follows the ISMA recommendation 11 on Floating Rate Notes:.."if interest payment which is postponed falls on the next calendar month, the interest shall be the immediatly preceding business day, and each subsequent interest payments shall be the last business date of the month in which interest shall havefallen". (ISMA Formulae for Yield and other Calculations by P. J. Brown)


Adjustment Rule

The "Adjustment" determines if flows are adjusted, maturity adjusted or unadjusted.

If flows are unadjusted, then no provision is made for valid working days. If flows are adjusted then all event dates, except for the Maturity date, are modified to fall according to the Date types, Lags and Roll Conventions defined.

If flows are "Maturity Adjusted", then the final maturity date as well as all other event dates are adjusted. 

Reset Type

The Reset Type defines if Reset dates are defined "In-Advance" (by default) or "In-Arrears".
In-Advance Resets are the standard resets in the financial industry:  A Reset Rate is first Observed according to the rules defined in the contract, The observed rate then accrues over a pre-agreed period defined between the Begin and End Date. 

In the case of Reset In-Arrears, The Reset Date is not set prior to the begin date of the accruing period, but instead falls prior to the end date of the accruing period. (which is also the begin date of the next period) 

Reset Date Types And Lag In Days

The Reset Date types mask defines the number and type of days that are set before the (next) roll date (i.e. the begin date-end date period). The Reset Date is defined as an offset of business or calendar days prior to the next roll date (begin-end date cycle) 
Reset dates can thus be defined as a number of business (working days, excluding Saturday and Sunday and non-working days, as defined in the selected calendars)  or calendar days  (i.e. no provision for non-working days) prior to the begin date.

Period Defintiion - VS- Frequency

The Period defintion is used to define either duration or frequency period, such as an option exercise "window", or the frequency of events that repeat throughout time up to a selected maturity (end) date.
A Period is typically defined as a Period Denomination or Type: A Day, a Week, a Month or a Year and a Multiplier: 1, 2, ....
Thus a 2 Year Period can be expressed as:
Period Type=Year  and Multiplier=1.
or
Period Type=Month  and Multiplier=12.
or
Period Type=Day  and Multiplier=365/366.

We can therefore define a standard frequency, but which higher granularity.

For computational details on compounding and averaging check out

floating resets document.