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


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	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		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 F.C.D < P.C.D F.C.D < MatDate
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 P.C.D > F.C.D P.C.D < MatDate
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 2 - Exchange at Maturity 3 - Exchange at Inception and Maturity
PaymentFrequency		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 rates and discount factors from the supplied zero curve.	Enumerated Constant	1 - Discount Factors 2 - Zero Rates
ZeroCurve		The zero curve that is used to project and 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 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