Component |
Swap Pricing |
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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. |
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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 fixed leg. |
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Date |
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ValDate < SettleDate |
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 |
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 |
FirstCpnDate |
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FirstCpnDate: Date that the first coupon is paid (if fixed leg does not have an odd first period, leave blank). |
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Date |
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F.C.D > EffDate |
PenultCpnDate |
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Date that the penultimate coupon is paid (if fixed leg does not have an odd last period, leave blank). |
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Date |
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P.C.D > EffDate |
MaturityDate |
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The maturity date of the fixed leg. |
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Date |
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MatDate > EffDate |
CouponRate |
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The coupon rate of the fixed leg. |
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Curve |
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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 |
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The notional value of the fixed leg at each coupon date. |
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Curve |
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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 |
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Defines the treatment of the notional payments from a valuation point of view. |
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Enumerated Constant |
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1 - Notional Only |
PaymentFrequency |
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Frequency of the coupon payments. |
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Enumerated Constant |
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1 - Annual |
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 |
AccrualBasis |
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Basis for determining coupon amounts and accrued interest. |
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Enumerated Constant |
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1 - Act/Act (actual) |
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 |
InterpMethod |
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Method used to calculate rates and discount factors from the supplied zero curve. |
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Enumerated Constant |
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1 - Discount Factors |
ZeroCurve |
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The zero curve that is used to project and discount cash flows for the fixed leg. |
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Curve |
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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 |
OutputFlag |
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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. |
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Enumerated Constant |
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0 - All seven outputs |
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