Component 
Resolution  IRO Pricing 




Function Definition 
oIRswpn_Price(SwpnType, ValueDate, MaturityDate, ParSwapRate, FixedLegRate, PaymentFreq, AccrualBasis, Volatility, SwapMap, Output) Calculates the fair value of the swaption. Also returns the greeks associated with the swaption if requested. 




IRO Types 
Interest rate swaptions. 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

SwpnType 

Specifies whether the underlying asset of the (long) swaption is a payer or receiver swap. A payer swap pays fixed and receives floating. 

Enumerated Constant 

1  Payer 

ValueDate 

The valuation date of the swaption. 

Date 

ValDate < MatDate 

MaturityDate 

The maturity date of the swaption. 

Date 

ValDate < MatDate 

ParSwapRate 

The par swap rate for the underlying swap. 

Double 

ParSwapRate >= 0 

FixedLegRate 

The rate for the fixed leg of the underlying swap. 

Double 

FixedLegRate >= 0 

PaymentFreq 

The frequency of the underlying swap's payments. 

Enumerated Constant 

1  Annual 

AccrualBasis 

Basis for determining payment amounts and accrued interest. 

Enumerated Constant 

1  Act/Act (actual) 

Volatility 

Annualized volatility of the underlying swap, expressed as a decimal. 

Double 

Volatility > 0% 

SwapMap 

Range of three columns consisting of the Notional, Tenor, and Discount Factor. Each column should contain an entry for each of the payments in the underlying swap. 

Curve 

Should normally be generated using swaption map function 

Output 

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function. Entering a 0 will output the Value, Delta, Gamma, Theta, and Vega. 

Enumerated Constant 

0  Value & Greeks 








See Also oIRswpn_IV( )  Interest Rate Swaption Implied Volatility Function 
Copyright 2013 Hedgebook Ltd.