# oSWPcmd1_CFM_FX( ) Example

 specification Consider a 2-year payer swap for 100,000 units of a commodity. The Swap has a valuation date of 12 August 2003, an effective date of 20 April 2003, and a maturity date of 20 April 2005. The fixed leg of the swap is paid quarterly and has a price of \$19.50 per unit and a Business Day Convention of 'following day'. The floating leg of the swap is also paid quarterly and has no Business Day adjustment. The reset cycle is computed backwards from the maturity date. What is the cash flow map of the fixed leg assuming a settlement date of 14 August 2003? Function Specification =oSWPcmd1_CFM_FX("12/8/2003", "14/8/2003", "20/4/2003", "20/4/2005", 19.5, 3, 100000, 3, 1, 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 20/4/2005 Price 19.50 Payment Frequency 3 Quantity 1000000 Business Day Convention 3 Date Generation 1 Interpolation Method 1 Zero Curve J1:L24 See Zero Curve Holiday Schedule N1:N75 See Holiday Schedule Solution: Leg Eff Date Mat Date Price Quantity Payment Disc Factor PVCF . 1 20-Oct-03 20-Jan-04 19.5000 100,000.00 1,950,000.00 0.9901759 1,930,843.02 2 20-Jan-04 20-Apr-04 19.5000 100,000.00 1,950,000.00 0.9768592 1,904,875.38 3 20-Apr-04 20-Jul-04 19.5000 100,000.00 1,950,000.00 0.9637867 1,879,384.05 4 20-Jul-04 20-Oct-04 19.5000 100,000.00 1,950,000.00 0.9503990 1,853,278.00 5 20-Oct-04 20-Jan-05 19.5000 100,000.00 1,950,000.00 0.9372028 1,827,545.46 6 20-Jan-05 20-Apr-05 19.5000 100,000.00 1,950,000.00 0.9241569 1,802,106.05