# 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

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:

\$240,623.73

\$17,036.89

2.1905

8.7403

\$52.71

\$4,374,976.86