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oSWPir2_Dates( ) Example

specification

Consider a 5-year interest rate payer swap that has a valuation date of 12 August 2003. Both the fixed and the floating legs of the swap have an effective date of 20 April 2003, a first coupon date of 1 October 2003, and a maturity date of 1 October 2008.

The fixed leg pays an annual coupon of 7.50%, and has Business Day and Accrual conventions of 'following day' and 'actual/360' respectively. The floating leg pays an annual coupon with a reset margin of 10 basis points, and has Business Day and Accrual Conventions of 'modified following day' and '30/360 PSA', respectively. The floating leg has a constant notional of $1,000,000 and a previous reset rate of 5.75%. The fixed leg notional starts at $1,000,000 and decreases by $100,000 at each annual rate reset.

The rate reset cycle is computed backwards from the maturity date, while rates and discount factors are interpolated using zero rates supplied from the zero curve.

What are the effective and terminal dates for both legs of the swap assuming a settlement date of 14 August 2003?

 

 

Function Specifications

=oSWPir2_Dates("12/8/2003", "14/8/2003", "20/4/2003", "1/10/2003", "", "1/10/2008", 1, 3, 1, N1:N75, 0)

=oSWPir2_Dates("12/8/2003", "14/8/2003", "20/4/2003", "1/10/2003", "", "1/10/2008", 2, 5, 1, N1:N75, 0)

 

Parameter Name

Fixed Leg
Parameter Value

Floating Leg
Parameter Value

 

 

 

Value Date

12/8/2003

12/8/2003

 

Settlement Date

14/8/2003

14/8/2003

 

Effective Date

20/4/2003

20/4/2003

 

First Coupon Date

1/10/2003

1/10/2003

 

Penultimate Coupon Date

 

 

 

Maturity Date

1/10/2008

1/10/2008

 

Payment Frequency

1

2

 

Business Day Convention

3

5

 

Date Generation

1

1

 

Holiday Schedule

N1:N75
See Holiday Schedule

N1:N75
See Holiday Schedule

 

Output Flag

2

2

 

 

Fixed Leg Coupon Dates

The following results are obtained for the Fixed Leg:

 

Effective Date

Terminal Date

 

 

.

 

 

20-Apr-2003

1-Oct-2003

 

 

1-Oct-2003

1-Oct-2004

 

 

1-Oct-2004

3-Oct-2005

 

 

3-Oct-2005

2-Oct-2006

 

 

2-Oct-2006

1-Oct-2007

 

 

1-Oct-2007

1-Oct-2008

 

 

 

 

 

Floating Leg Coupon Dates

The following results are obtained for the Floating Leg

 

Effective Date

Terminal Date

 

 

.

 

 

20-Apr-2003

1-Oct-2003

 

 

1-Oct-2003

1-Apr-2004

 

 

1-Apr-2004

1-Oct-2004

 

 

1-Oct-2004

1-Apr-2005

 

 

1-Apr-2005

3-Oct-2005

 

 

3-Oct-2005

3-Apr-2006

 

 

3-Apr-2006

2-Oct-2006

 

 

2-Oct-2006

2-Apr-2007

 

 

2-Apr-2007

1-Oct-2007

 

 

1-Oct-2007

1-Apr-2008

 

 

1-Apr-2008

1-Oct-2008

 

 

 

 

 

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