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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

 

 

 

 

 

 

 

 

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