## Ibor Rate Bond

**is a direct subtype of Bond with functions Ibor Rate Bond Functions, direct subtypes Ibor Rate Bond subtypes, keys Ibor Rate Bond keys and example object IborBnd that represents a specialization where each coupon is determined by a floating interest rate of type Ibor Rate**

*Ibor Rate Bond*The value

**realized by the index at the begining (or at the end if in arrears) of each floating coupon period is used to calculate the bare rate**

*I***where**

*gI+s***,**

*g***are the entries in ,**

*s***,**

*Gearing***respectively.**

*Spread*The final rate

**is reached by restricting the bare rate upwards by the level**

*R***entered in**

*c***and downwards by the level**

*Cap***entered in**

*f***and given formally as**

*Floor*

*R = min(max(gI+s,f),c)*The coupon amount

**being paid is**

*C***, where**

*C = NRΔt***is the entry in**

*N***and**

*Notional***is the length of the respective accrual period.**

*Δt*The coupon denomination currency is assumed to be that of the index.