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oSWPcmd1_CFM_FX( ) - Commodity Swap 1 Fixed Leg Cash Flow Map Function

Component

Resolution - Swap Pricing

 

 

Function Definition

oSWPcmd1_CFM_FX(ValueDate, SettlementDate, EffectiveDate, MaturityDate, Price, PaymentFreq, Quantity, BusinessDayConv, DateGeneration, InterpMethod, ZeroCurve, HolidaySchedule)

Generates the cash flow map for the fixed leg of a vanilla commodity swap. Returns a table consisting of eight columns; Leg, Effective Date, Maturity Date, Price, Number of Units, Total Cash Flow, Discount Factor, Present Value of Cash Flow.

 

 

Swap Types

Commodity swaps.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

ValueDate

 

The valuation date of the swap.

 

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 start date of the swap.

 

Date

 

EffDate < MatDate

MaturityDate

 

The maturity date of the swap.

 

Date

 

As above.

Price

 

The price per unit.

 

Double

 

Price >= 0

PaymentFreq

 

The frequency of the payments.

 

Enumerated Constant

 

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

Quantity

 

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

Double

 

Quantity >= 0

BusinessDayConv

 

Business day convention. Used to determine the start and end date of each 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

DateGeneration

 

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

 

Enumerated Constant

 

1 - Maturity Date
2 - Effective Date

InterpMethod

 

Method used to calculate rates and discount factors from the supplied zero curve.

 

Enumerated Constant

 

1 - Discount Factors
2 - Zero Rates

ZeroCurve

 

The zero curve that is used to discount cash flows for the fixed leg.

 

Curve

 

 

HolidaySchedule

 

Schedule of non-business days (excluding weekends)

 

Date Range

 

Leave blank if not applicable

 

 

 

 

 

 

 

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