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oSWPir2_Price_FX( ) - Interest Rate Swap 2 Fixed Leg Price Function

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

Custom interest rate swaps.

 

 

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 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 fixed leg does not have an odd first period, leave blank).

 

Date

 

F.C.D > EffDate
F.C.D <
P.C.D
F.C.D < MatDate

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
P.C.D >
F.C.D
P.C.D < MatDate

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
2 - Actually Paid

PaymentFreq

 

Frequency of the coupon payments.

 

Enumerated Constant

 

1 - Annual
2 - Semi-Annual
3 - Quarterly
4 - Monthly
5 - Bi-Weekly
6 - Weekly

BusinessDayConv

 

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

See Business Day Conventions

 

Enumerated Constant

 

1 - No Adjustment
2 - Previous
3 - Following
4 - Mod Previous
5 - Mod Following
6 - EOM No Adjust
7 - EOM previous
8 - EOM following

AccrualBasis

 

Basis for determining coupon amounts and accrued interest.

See Day Count Conventions

 

Enumerated Constant

 

1 - Act/Act (actual)
2 - Act/Act (bond)
3 - Act/360
4 - Act/365
5 - Act/365 ISDA
6 - Act/365 JGB (NL)
7 - 30/360 ISDA
8 - 30/360 PSA
9 - 30E/360
10 - 30E+/360
11 - Act/365L

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
2 - Effective Date

InterpMethod

 

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

 

Enumerated Constant

 

1 - Discount Factors
2 - Zero Rates

ZeroCurve

 

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

 

Curve

 

 

HolidaySchedule

 

Schedule of non-business 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
1 - Fair Value Only
2 - Accrued Interest
3 - Risk Statistics
4 - Effective Duration
5 - Effective Convexity
6 - PVBP
7 - Par Price Values

 

 

 

 

 

 

 

See Also

Parameter Types

Swap Function Parameters

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

oSWPir1_Price_FX( ) - Interest Rate Swap 1 Fixed Leg Price Function

oSWPir3_Price_FX( ) - Interest Rate Swap 3 Fixed Leg Price Function

oSWPir2_Dates( ) - Interest Rate Swap 2 Dates Function

oSWPir2_CFM_FL( ) - Interest Rate Swap 2 Floating Leg Cash Flow Map Function

oSWPir2_CFM_FX( ) - Interest Rate Swap 2 Fixed Leg Cash Flow Map Function

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