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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

 

 

 

 

 

 

 

 

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