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oSWPir1_Price( ) 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 fair value for the floating leg assuming a settlement date of 14 August 2003?

 

 

Function Specification

=oSWPir1_Price(1, {"12/8/2003", "14/8/2003", "20/4/2003", "20/4/2008"}, 0.055, 2, 3, 4, 0.0525, 15, 1, 5, 3, 1000000, 1, 2, 1, J1:L24, N1:N75, 0)

 

 

Parameter Name

Parameter Value

 

 

 

 

 

Swap Type

1

 

 

Value Date

12/8/2003

 

 

Settlement Date

14/8/2003

 

 

Effective Date

20/4/2003

 

 

Maturity Date

20/4/2008

 

 

FX_Rate

0.055

 

 

FX_PayFreq

2

 

 

FX_BusinessDayCon

3

 

 

FX_Accrual

4

 

 

FL_PastRate

0.0525

 

 

FL_Margin

15

 

 

FL_PayFreq

1

 

 

FL_BusinessDayCon

5

 

 

FL_Accrual

3

 

 

Notional

1000000

 

 

Notional Payment

1

 

 

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

$17,327.7813

Accrued Interest

$253.1075

Effective Duration

-199.0472

Modified Convexity

249,988.9063

Price Value of Basis Point

-$344.9068

Par Swap Rate

5.8961%

 

 

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