Previous Topic

Next Topic

oSWPir1_Price_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 of $1,000,000 that is not paid.

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 fair value for the fixed leg assuming a settlement date of 14 August 2003?

 

 

Function Specification

=oSWPir1_Price_FX("12/8/2003", "14/8/2003", "20/4/2003", "20/4/2008", 0.055, 1000000, 1, 2, 3, 4, 2, 1, J1:L24, N1:N75, 0)

 

 

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

0.055

 

 

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

 

Output Flag

0

 

 

 

Solution

The following results are obtained:

Fair Value

$240,623.73

Accrued Interest

$17,036.89

Effective Duration

2.1905

Effective Convexity

8.7403

Price Value of a Basis Point

$52.71

Par Swap Rate Denominator

$4,374,976.86

Par Rate Notional Adjustment

$0.00

 

 

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.