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oSWPir3_Dates( ) - Interest Rate Swap 3 Dates Function

Component

Swap Pricing

 

 

Function Definition

oSWPir3_Dates(ValueDate, SettlementDate, EffectiveDate, FirstCpnDate, PenultCpnDate, MaturityDate, ResetFreq, PaymentFreq, BusinessDayConv, ResetOffset, DateGeneration, HolidaySchedule, OutputFlag)

Generates the reset and coupon dates for custom 2 interest rate swaps.

 

 

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

ResetFreq

 

Frequency of the rate resets.

 

Enumerated Constant

 

1 - Annual
2 - Semi-Annual
3 - Quarterly
4 - Monthly
5 - Bi-Weekly
6 - Weekly

PaymentFreq

 

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

ResetOffset

 

Used to determine the reset date for each floating rate reset. The reset date precedes the effective date for each coupon period by the number of days equal to the reset offset.

 

Integer

 

ResetOffset >= 0

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

HolidaySchedule

 

Schedule of non-business days (excluding weekends).

 

Date Range

 

Leave blank if not applicable

OutputFlag

 

Indicates which set of results will be displayed in the worksheet. The function must be entered as an array function. Entering a 1 will output the reset dates table consisting of five columns: Leg, Reset Date, Effective Date, Terminal Date, and whether the rate is Required or Projected. Entering a 2 will output the coupon dates table consisting of three columns: Leg, Effective Date, and Terminal Date.

 

Enumerated Constant

 

1 - Reset Dates
2 - Coupon Dates

 

 

 

 

 

 

 

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