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Interest Rate Swaps

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 pre-specified 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

Computing the Par Swap Rate (IRS)

Interest Rate Swap Functions

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