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 13 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 

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 

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 

BusinessDayConv 

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

Enumerated Constant 

1  No Adjustment 

AccrualBasis 

Basis for determining coupon amounts and accrued interest. 

Enumerated Constant 

1  Act/Act (actual) 

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 

InterpMethod 

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

Enumerated Constant 

1  Discount Factors 

ZeroCurve 

The zero curve that is used to project and discount cash flows for the swap (and the swaption) 

Curve 



HolidaySchedule 

Schedule of nonbusiness days (excluding weekends). 

Date Range 

Leave blank if not applicable 








See Also oIRswpn_Price( )  Interest Rate Swaption Price Function oIRswpn_IV( )  Interest Rate Swaption Implied Volatility Function 
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