Component 
Resolution  Swap Pricing 




Function Definition 
oSWPir2_Price_FX(ValueDate, SettlementDate, EffectiveDate, FirstCpnDate, PenultCpnDate, MaturityDate, CouponRate, Notional, NotionalPayment, PaymentFreq, BusinessDayConv, AccrualBasis, DateGeneration, InterpMethod, ZeroCurve, HolidaySchedule, OutputFlag) Calculates the fair value for the fixed leg of a custom interest rate swap. Also returns accrued interest and the par swap rate denominator. 




Swap Types 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

ValueDate 

The valuation date of the fixed leg. 

Date 

ValDate < SettleDate 

SettlementDate 

The date on which the trade will settle. This is typically 13 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 fixed leg does not have an odd first period, leave blank). 

Date 

F.C.D > EffDate 

PenultCpnDate 

The date that the penultimate coupon is paid (if fixed leg does not have an odd last period, leave blank). 

Date 

P.C.D > EffDate 

MaturityDate 

The maturity date of the fixed leg. 

Date 

As above. 

CouponRate 

The coupon rate of the fixed leg. 

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 Only 

PaymentFreq 

Frequency of the coupon payments. 

Enumerated Constant 

1  Annual 

BusinessDayConv 

Business day convention. Used to determine the start and end date of each coupon payment period. 

Enumerated Constant 

1  No Adjustment 

AccrualBasis 

Basis for determining coupon amounts and accrued interest. 

Enumerated Constant 

1  Act/Act (actual) 

DateGeneration 

Determines if the rate reset cycle is computed backwards from the maturity date or forwards from the effective date. 

Enumerated Constant 

1  Maturity Date 

InterpMethod 

Method used to calculate discount factors from the supplied zero curve. 

Enumerated Constant 

1  Discount Factors 

ZeroCurve 

The zero curve that is used to discount cash flows for the fixed leg. 

Curve 



HolidaySchedule 

Schedule of nonbusiness days (excluding weekends). 

Date Range 

Leave blank if not applicable 

OutputFlag 

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: Fair Value, Accrued Interest, Effective Duration, Effective Convexity, PVBP, Par Swap Price Denominator, and Par Price Notional Adjustment. Entering a 3 will output: Effective Duration, Effective Convexity, and PVBP. Entering a 7 will output the Par Swap Rate Denominator, and Par Rate Notional Adjustment. 

Enumerated Constant 

0  All seven outputs 








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