# oSWPir1_CFM_FX( ) Example

 specification Consider a 5-year interest rate payer swap that has a valuation date of 12 August 2003, an effective date of 20 April 2003, and a maturity date of 20 April 2008. The swap has a notional value of \$1,000,000. The fixed leg of the swap pays a semi-annual coupon of 5.50%, and has Business Day and Accrual conventions of 'following day' and 'actual/365' respectively. The floating leg of the swap pays an annual coupon with a rate margin of 15 basis points, and has Business Day and Accrual Conventions of 'modified following day' and 'actual/360', respectively. The last reset rate of the floating leg was 5.25%. What is the cash flow map of the fixed leg assuming a settlement date of 14 August 2003? Function Specification =oSWPir1_CFM_FX("12/8/2003", "14/8/2003", "20/4/2003", "20/4/2008", 0.0550, 1000000, 1, 2, 3, 4, 2, 1, J1:L24, N1:N75) Parameter Name Parameter Value Value Date 12/8/2003 Settlement Date 14/8/2003 Effective Date 20/4/2003 Maturity Date 20/4/2008 Coupon Rate 0.0550 Notional 1000000 Notional Payment 1 Payment Frequency 2 Business Day Convention 3 AccrualBasis 4 Date Generation 2 Interpolation Method 1 Zero Curve J1:L24 See Zero Curve Holiday Schedule N1:N75 See Holiday Schedule Solution: Leg Eff Date Mat Date Rate Notional Coupon Total CF PVCF . 1 22-Apr-03 20-Oct-03 5.5000% 1,000,000.00 27,273.97 27,273.97 27,006.03 2 20-Oct-03 20-Apr-04 5.5000% 1,000,000.00 27,575.34 27,575.34 26,576.75 3 20-Apr-04 20-Oct-04 5.5000% 1,000,000.00 27,575.34 27,575.34 25,843.69 4 20-Oct-04 20-Apr-05 5.5000% 1,000,000.00 27,424.66 27,424.66 24,994.34 5 20-Apr-05 20-Oct-05 5.5000% 1,000,000.00 27,575.34 27,575.34 24,423.13 6 20-Oct-05 20-Apr-06 5.5000% 1,000,000.00 27,424.66 27,424.66 23,602.38 7 20-Apr-06 20-Oct-06 5.5000% 1,000,000.00 27,575.34 27,575.34 23,044.91 8 20-Oct-06 20-Apr-07 5.5000% 1,000,000.00 27,424.66 27,424.66 22,252.75 9 20-Apr-07 20-Oct-07 5.5000% 1,000,000.00 28,027.40 28,027.40 22,054.58 10 20-Oct-07 21-Apr-08 5.5000% 1,000,000.00 27,273.97 27,273.97 20,825.16