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oZCcash_swap( ) - Zero Curve Construction Function

Component

Resolution - Swap Pricing

 

 

Function Definition

oZCcash_swap(ValueDate, CashCurve, SwapCurve, SettlementOffset, BusDayConvention, AccrualBasis, Frequency, Holidays)

Constructs an integrated zero curve using cash rate and swap rate curves. Returns a table consisting of four columns; Days, Maturity Date, Zero Rate, and Discount Factor.

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

ValueDate

 

Date on which the zero curve is constructed.

Date

CashCurve

 

The cash rates table consisting of five columns; Effective Date, Maturity Date, Cash Rate, Accrual Basis, and an In Use flag (true or false).

Curve

 

SwapCurve

 

The swap rates table consisting of four columns; Effective Date, Maturity Date, Swap Rate, and an In Use flag (true or false).

Curve

 

 

SettlementOffset

 

The number of days after the valuation date that the swap rates are settled.

Integer

 

 

BusDayConvention

 

Business day convention. Used to determine the effective and maturity dates for the swap periods.

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

AccrualBasis

 

The accrual basis for the swap rates.

See Day Count Conventions

Enumerated Constant

 

1 - Act/Act (actual)
2 - Act/Act (bond)
3 - Act/360
4 - Act/365
5 - Act/365 ISDA
6 - Act/365 JGB (NL)
7 - 30/360 ISDA
8 - 30/360 PSA
9 - 30E/360
10 - 30E+/360
11 - Act/365L

Frequency

 

The compounding frequency for the swap rates.

Enumerated Constant

 

1 - Annual
2 - Semi-Annual
3 - Quarterly
4 - Monthly

Holidays

 

Schedule of non-business days (excluding weekends).

Date Range

 

Leave blank if not applicable

 

 

 

 

 

 

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