# oSWPir1_CFM_FL( ) 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 floating leg assuming a settlement date of 14 August 2003? Function Specification =oSWPir1_CFM_FL("12/8/2003", "14/8/2003", "20/4/2003", "20/4/2008", 0.0525, 15, 1000000, 1, 1, 5, 3, 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 Past Reset Rate 0.0525 Coupon Rate Margin 15 Notional 1000000 Notional Payment 1 Payment Frequency 1 Business Day Convention 4 AccrualBasis 3 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-Apr-04 5.4000% 1,000,000.00 54,600.00 54,600.00 52,622.75 2 20-Apr-04 20-Apr-05 5.8212% 1,000,000.00 59,020.90 59,020.90 53,790.60 3 20-Apr-05 20-Apr-06 5.9668% 1,000,000.00 60,496.35 60,496.35 52,064.75 4 20-Apr-06 20-Apr-07 6.1319% 1,000,000.00 62,170.76 62,170.76 50,446.23 5 20-Apr-07 21-Apr-08 6.2984% 1,000,000.00 64,209.14 64,209.14 49,027.18