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Swap Function Parameters

The following table defines each of the parameters used in the various Swap Pricing functions.

 

Parameter

Definition

.

Accrual Basis

Used to determine the length (in years) of each payment period, which is used in turn to calculate the payment amounts.

Accrual Basis (Pay Leg)

Used to determine the length (in years) of each pay leg coupon period, which is used in turn to calculate the coupon amount and accrued interest for that period.

Accrual Basis (Received Leg)

Used to determine the length (in years) of each receive leg coupon period, which is used in turn to calculate the coupon amount and accrued interest for that period.

Business Day Convention

Used in the routine for determining the start and end date of each payment period.

Business Day Convention
(Pay Leg)

Used to determine the start and end date of each pay leg coupon payment period.

Business Day Convention (Receive Leg)

Used to determine the start and end date of each receive leg coupon payment period.

Coupon Margin

The margin, in basis points, that is added to each rate reset.

Coupon Margin (Pay Leg)

The margin, in basis points, that is added to each pay leg rate reset. If the pay leg is fixed then then set the margin to zero.

Coupon Margin (Receive Leg)

The margin, in basis points, that is added to each receive leg rate reset. If the receive leg is fixed then then set the margin to zero.

Date Generation

Determines if the reset cycle is computed backwards from the maturity date or forwards from the effective date.

Effective Date

The first date from which interest begins to accrue.

First Coupon Date

The date that the first coupon is paid, if the relevant leg has an odd first coupon period. Should be left blank if there is no odd first period.

FL_Accrual

Basis for determining coupon amounts and accrued interest for the floating leg. Used to determine the start and end date of each coupon payment period.

FL_Business Day Convention

Business day convention for the floating leg.

FL_Forward Prices

The current forward price curve for the floating leg.

FL_Margin

The margin, in basis points, that is added to each rate reset for the floating leg.

FL_Past Reset Rate

The rate observed at the previous rate reset date for the floating leg.

FL_PayFreq

Frequency of coupon payments for the floating leg.

Forward Prices

The current forward price curve.

FX_Accrual

Basis for determining coupon amounts and accrued interest for the fixed leg.

FX_Business Day Convention

Business day convention for the fixed leg. Used to determine the start and end date of each coupon payment period.

FX_Payment Frequency

Frequency of coupon payments for the fixed leg.

FX_Price

The price per unit for the fixed leg.

FX_Rate

The constant coupon rate for the fixed leg.

Holiday Schedule

Schedule of non-business days (excluding weekends).

Holiday Schedule (Pay Leg)

Schedule of non-business days in the pay leg (excluding weekends).

Holiday Schedule (Receive Leg)

Schedule of non-business days in the receive leg (excluding weekends).

Interpolation Method

The method used to calculate rates and discount factors from the supplied zero curve (if applicable).

Leg Type (Pay Leg)

Specifies whether the pay leg of the swap is fixed or floating.

Leg Type (Receive Leg)

Specifies whether the receive leg of the swap is fixed or floating.

Maturity Date

The maturity date of the relevant leg(s) of the swap.

Notional

The principal schedule of the swap. Some functions support amortizing and accreting schedules.

Notional Payment

Flags whether the face value amounts are notional only or if they are actually paid.

Output Flag

Basis for determining which results are to be returned from the function.

Past Reset Rate

The rate observed at the previous rate reset date immediately before the valuation date.

Past Reset Rates

The rate(s) observed at the rate reset date(s) immediately before the valuation date.

Payment Frequency

The payment frequency of the coupons. Weekly, Bi-Weekly, Monthly, Quarterly, Semi-Annual, and Annual are supported.

Payment Frequency (Pay Leg)

The frequency of the pay leg interest payments.

Payment Frequency (Receive Leg)

The frequency of the receive leg interest payments.

Penultimate Coupon Date

Date that the penultimate coupon is paid, if the relevant leg has an odd last coupon period. Should be left blank if there is no odd last period.

Quantity

The number of units of the commodity traded at each payment date.

Rate (Pay Leg)

The coupon rate if the receive leg is fixed, or the past reset rate if the receive leg is floating.

Rate (Receive Leg)

The zero curve that is used to discount and project cash flows for the pay leg.

Settlement Date

The date on which the trade will settle. This is typically 1-3 business days after the trade.

Spot Rate

The current exchange rate quoted directly (domestic/foreign).

Swap Type

Specifies whether the swap holder receives or pays the fixed coupon stream (and visa versa). For a payer swap, the holder pays fixed and receives floating.

Valuation Date

The date on which the swap is valued.

Value Currency

Specifies whether the returned values are expressed in units of the pay leg currency or the receive leg currency.

Zero Curve

The zero curve that is used to project and discount cash flows for the floating leg.

Zero Curve (Pay Leg)

The zero curve that is used to discount and project cash flows for the pay leg.

Zero Curve (Receive Leg)

The zero curve that is used to discount and project cash flows for the receive leg.

 

 

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