oSWPir2_Dates( ) - Interest Rate Swap 2 Dates Function


Component	Resolution - Swap Pricing

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.

Swap Types	Custom interest rate swaps.

Function Parameters

Parameters		Description	Parameter Type	Restrictions
.
ValueDate		The valuation date of the swap.	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 or floating 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 or floating 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 swap.	Date	As above.
PaymentFreq		Frequency of the coupon payment.	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
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
HolidaySchedule		Schedule of non-business days (excluding weekends)	Date Range	Leave blank if not applicable
OutputFlag		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.	Enumerated Constant	1 - Reset Dates 2 - Coupon Dates