Component 
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 




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 

FirstCpnDate: 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 

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 

MatDate > EffDate 
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 fixed leg at each coupon 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 payments from a valuation point of view. 

Enumerated Constant 

1  Notional Only 
PaymentFrequency 

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 rates and discount factors from the supplied zero curve. 

Enumerated Constant 

1  Discount Factors 
ZeroCurve 

The zero curve that is used to project and 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 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 







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