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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

 

 

 

 

 

 

 

 

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