Component |
Resolution - Swap Pricing |
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Function Definition |
oSWPir2_Dates(ValueDate, SettlementDate, EffectiveDate, FirstCpnDate, PenultCpnDate, MaturityDate, PaymentFreq, BusinessDayConv, DateGeneration, HolidaySchedule) Generates the reset and coupon dates for custom interest rate swaps. |
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Swap Types |
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Function Parameters |
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Parameters |
Description |
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Parameter Type |
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Restrictions |
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ValueDate |
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The valuation date of the swap. |
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Date |
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ValDate < SettleDate |
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SettlementDate |
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The date on which the trade will settle. This is typically 1-3 business days after the trade. |
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Date |
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SettleDate < MatDate |
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EffectiveDate |
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The first date from which interest begins to accrue. |
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Date |
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EffDate < MatDate |
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FirstCpnDate |
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The date that the first coupon is paid (if fixed or floating leg does not have an odd first period, leave blank). |
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Date |
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F.C.D > EffDate |
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PenultCpnDate |
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The date that the penultimate coupon is paid (if fixed or floating leg does not have an odd last period, leave blank). |
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Date |
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P.C.D > EffDate |
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MaturityDate |
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The maturity date of the swap. |
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Date |
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As above. |
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PaymentFreq |
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Frequency of the coupon payment. |
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Enumerated Constant |
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1 - Annual |
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BusinessDayConv |
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Business day convention. Used to determine the start and end date of each coupon payment period. |
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Enumerated Constant |
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1 - No Adjustment |
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DateGeneration |
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Determines if the rate reset cycle is computed backwards from the maturity date or forwards from the effective date. |
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Enumerated Constant |
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1 - Maturity Date |
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HolidaySchedule |
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Schedule of non-business days (excluding weekends) |
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Date Range |
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Leave blank if not applicable |
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OutputFlag |
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Indicates which set of results will be displayed in the worksheet. The function must be entered as an array function. Entering a 1 will output the reset dates table consisting of five columns: Leg, Reset Date, Effective Date, Terminal Date, and whether the rate is Required or Projected. Entering a 2 will output the coupon dates table consisting of three columns: Leg, Effective Date, and Terminal Date. |
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Enumerated Constant |
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1 - Reset Dates |
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