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oIRswpn_Map( ) - Interest Rate Swaption Map Function

Component

Resolution - IRO Pricing

 

 

Function Definition

oIRswpn_Map(ValueDate, SettlementDate, EffectiveDate, FirstCpnDate, PenultCpnDate, MaturityDate, Notional, PaymentFreq, BusinessDayConv, AccrualBasis, DateGeneration, InterpMethod, ZeroCurve, HolidaySchedule)

Returns the required inputs for the oIRswpn_Price( ) and oIRswpn_IV( ) functions, as a table consisting of three columns; Notional, tenor, and Discount Factor.

 

 

IRO Types

Interest rate swaptions.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

ValueDate

 

The valuation date of the swap (and the swaption).

 

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

 

The date that the first coupon is paid (if swap 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

 

The date that the penultimate coupon is paid (if swap 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 swap (and the swaption).

 

Date

 

As above.

Notional

 

The notional value of the swap at each rate reset date.

Curve

 

If the notional is constant at each rate reset, then enter a single value, otherwise a series (1 for each rate reset) of notionals is required.

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

AccrualBasis

 

Basis for determining coupon amounts and accrued interest.

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

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

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 project and discount cash flows for the swap (and the swaption)

 

Curve

 

 

HolidaySchedule

 

Schedule of non-business days (excluding weekends).

 

Date Range

 

Leave blank if not applicable

 

 

 

 

 

 

 

See Also

Parameter Types

oIRswpn_Price( ) - Interest Rate Swaption Price Function

oIRswpn_IV( ) - Interest Rate Swaption Implied Volatility Function

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