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


Swap Pricing



Function Definition

oSWPir3_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 2 interest rate swap. Also returns accrued interest, the risk statistics, and the par swap rate denominator.



Swap Types

Custom interest rate swaps.



Function Parameters





Parameter Type






The valuation date of the fixed leg.




ValDate < SettleDate



The date on which the trade will settle. This is typically 1-3 business days after the trade.




SettleDate < MatDate



The first date from which interest begins to accrue.




EffDate < MatDate



FirstCpnDate: Date that the first coupon is paid (if fixed leg does not have an odd first period, leave blank).




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



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




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



The maturity date of the fixed leg.




MatDate > EffDate



The coupon rate of the fixed leg.




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.



The notional value of the fixed leg at each coupon date.



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.


Defines the treatment of the notional payments from a valuation point of view.


Enumerated Constant

1 - Notional Only
2 - Exchange at Maturity
3 - Exchange at Inception and Maturity



Frequency of the coupon payments.


Enumerated Constant


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



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



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



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



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


Enumerated Constant


1 - Discount Factors
2 - Zero Rates



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







Schedule of non-business days (excluding weekends).


Date Range


Leave blank if not applicable



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 Rate Denominator, and Par Rate 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 Rate Values








See Also

Parameter Types

Swap Function Parameters

oSWPir3_Price_FL( ) - Interest Rate Swap 3 Floating Leg Price Function

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

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

oSWPir2_Dates( ) - Interest Rate Swap 2 Dates Function

oSWPir3_CFM_FL( ) - Interest Rate Swap 3 Floating Leg Cash Flow Map Function

oSWPir3_CFM_FX( ) - Interest Rate Swap 3 Fixed Leg Cash Flow Map Function

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