# oSWPir2_Price_FL( ) - Interest Rate Swap 2 Floating Leg Price Function

 Component Resolution - Swap Pricing Function Definition oSWPir2_Price_FL(ValueDate, SettlementDate, EffectiveDate, FirstCpnDate, PenultCpnDate, MaturityDate, PastResetRate, CouponMargin, Notional, NotionalPayment, PaymentFreq, BusDayConv, AccrualBasis, DateGen, InterpMethod, ZeroCurve, HolidaySchedule, OutputFlag) Calculates the fair value for the floating leg of a custom interest rate swap. Also returns accrued interest and the par swap rate numerator. Swap Types Function Parameters Parameters Description Parameter Type Restrictions . ValueDate The valuation date of the floating leg. Date ValDate < SettleDate SettlementDate The date on which the trade will settle. This is typically 1-3 business days after the trade. Date SettleDate < MatDate EffectiveDate The first date from which interest begins to accrue. Date EffDate < MatDate FirstCpnDate The date that the first coupon is paid (if floating leg does not have an odd first period, leave blank). Date F.C.D > EffDateF.C.D < P.C.DF.C.D < MatDate PenultCpnDate The date that the penultimate coupon is paid (if floating leg does not have an odd last period, leave blank). Date P.C.D > EffDateP.C.D > F.C.DP.C.D < MatDate MaturityDate The maturity date of the floating leg. Date As above. PastResetRate The rate observed at the previous rate reset date. Double PastResetRate >= 0 CouponMargin The margin, in basis points, that is added to each rate reset. Curve If the coupon rate is constant at each rate reset, then enter a single value, otherwise a series (1 for each rate reset) of rates is required. Notional The notional value of the floating leg at each rate reset date. Curve If the notional is constant at each rate reset, then enter a single value, otherwise a series (1 for each rate reset) of notionals is required. NotionalPayment Defines the treatment of the notional payment from a valuation point of view. Enumerated Constant 1 - Notional Only2 - Actually Paid PaymentFreq Frequency of the coupon payments. Enumerated Constant 1 - Annual2 - Semi-Annual3 - Quarterly4 - Monthly 5 - Bi-Weekly6 - Weekly BusDayConv Business day convention. Used to determine the start and end date of each coupon payment period. Enumerated Constant 1 - No Adjustment2 - Previous3 - Following4 - Mod Previous5 - Mod Following6 - EOM No Adjust7 - EOM previous8 - EOM following AccrualBasis Basis for determining coupon amounts and accrued interest. Enumerated Constant 1 - Act/Act (actual)2 - Act/Act (bond)3 - Act/3604 - Act/3655 - Act/365 ISDA6 - Act/365 JGB (NL)7 - 30/360 ISDA8 - 30/360 PSA9 - 30E/36010 - 30E+/36011 - Act/365L DateGen Determines if the rate reset cycle is computed backwards from the maturity date or forwards from the effective date. Enumerated Constant 1 - Maturity Date2 - Effective Date InterpMethod Method used to calculate rates and discount factors from the supplied zero curve. Enumerated Constant 1 - Discount Factors2 - Zero Rates ZeroCurve The zero curve that is used to project and discount cash flows for the floating leg. Curve Holidays Schedule of non-business days (excluding weekends). Date Range Leave blank if not applicable Output Flag Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function. Entering a 0 will output: Dirty Price, Accrued Interest, Par Swap Rate Numerator and PVBP. Enumerated Constant 0 - All three outputs1 - Dirty Price2 - Accrued Interest3 - Par Swap Rate Numerator4 - PVBP