An Interest Rate Swap (IRS) is an agreement between two counterparties to exchange periodic payments based on some reference interest rate and an assumed notional principal amount. In most swap agreements, one party contracts to pay a floating (fixed) interest rate and receive a fixed (floating) interest rate. All future payments are based on a prespecified formula. 



The Resolution functions are split into 3 groups, with the functions in each group capable of dealing with progressively more complex IRS instruments. The prefixes for the function groups are as follows: 

Function Group Prefix 
Description 

. 


oSWPir1 
Functions that can be used to handle most vanilla style interest rate swaps. 

oSWPir2 
Functions that can deal with a range of custom features such as an amortizing or accreting notional principal amounts. 

oSWPir3 
Functions that can deal with more custom features compared to the oSWPir2 functions, such as a reset frequency that is greater than the payment frequency. 



Within each group of functions there are common function types: 

Function Name 
Description 

. 


_Dates 
Returns an array of dates for each payment period in the swap. 

_Price_FX 
Returns the fair value, accrued interest, and risk statistics for the fixed leg of a swap. 

_Price_FL 
Returns the fair value and accrued interest for the floating leg of a swap. 

_CFM_FX 
Returns the cash flow map information for the fixed leg of a swap. 

_CFM_FL 
Returns the cash flow map information for the floating leg of a swap. 




In This Section Background to Interest Rate Swaps 
Copyright 2013 Hedgebook Ltd.