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oSWPir2_CFM_FL( ) Example

specification

Consider a 5-year interest rate payer swap that has a valuation date of 12 August 2003, an effective date of 1 April 2003, a first coupon date of 20 October 2003, and a maturity date of 20 October 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 are the cash flow maps of this swap assuming a settlement date of 14 August 2003?

 

 

Function Specification

=oSWPir2_CFM_FX("12/8/2003", "14/8/2003", "1/4/2003", "20/10/2003", "", "20/10/2008", 0.075, P1:Q6, 1, 1, 3, 3, 1, 2, J1:L24, N1:N75)

=oSWPir2_CFM_FL("12/8/2003", "14/8/2003", "1/4/2003", "20/10/2003", "", "20/10/2008", 0.0575, 10, 1000000, 1, 2, 5, 8, 1, 2, J1:L24, N1:N75)

 

 

 

 

 

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

 

Past Reset Rate

N/A

0.0575

 

Coupon Rate Margin

N/A

10

 

Coupon Rate

0.0750

N/A

 

Notional

P1:Q6
see Forward Curve
see Date Generation

100000

 

Notional Payment

1

1

 

Payment Frequency

1

2

 

Business Day Convention

3

5

 

AccrualBasis

3

8

 

Date Generation

1

1

 

Interpolation Method

2

2

 

Zero Curve

J1:L24
See Zero Curve

J1:L24
See Zero Curve

 

Holiday Schedule

N1:N75
See Holiday Schedule

N1:N75
See Holiday Schedule

 

 

The Fixed Leg Cash Flow Map is given as follows:

Leg

Eff Date

Mat Date

Rate

Notional

Coupon

Total CF

PVCF

.

1

1-Oct-02

1-Oct-03

7.5000%

1,000,000.00

34,166.67

34,166.67

33,930.44

2

1-Oct-03

1-Oct-04

7.5000%

900,000.00

68,625.00

68,625.00

64,497.22

3

1-Oct-04

1-Oct-05

7.5000%

800,000.00

61,166.67

61,166.67

54,314.98

4

3-Oct-05

1-Oct-06

7.5000%

700,000.00

53,083.33

53,083.33

44,487.34

5

2-Oct-06

1-Oct-07

7.5000%

600,000.00

45,500.00

45,500.00

35,931.05

6

1-Oct-07

1-Oct-08

7.5000%

500,000.00

38,125.00

38,125.00

28,320.69

 

 

 

 

 

 

 

 

The Floating Leg Cash Flow Map is given as follows:

Leg

Eff Date

Mat Date

Rate

Notional

Coupon

Total CF

PVCF

.

1

1-Apr-2003

1-Oct-2003

5.7500%

1,000,000.00

26,609.72

26,609.72

26,425.74

2

1-Oct-2003

1-Apr-2004

5.6015%

1,000,000.00

28,007.71

28,007.71

27,069.45

3

1-Apr-2004

1-Oct-2003

5.7710%

1,000,000.00

28,855.17

28,855.17

27,119.54

4

1-Oct-2004

1-Apr-2004

5.7436%

1,000,000.00

28,718.01

28,718.01

26,249.91

5

1-Apr-2005

1-Oct-2003

5.9081%

1,000,000.00

29,868.73

29,868.73

26,522.93

6

3-Oct-2005

1-Apr-2004

5.9051%

1,000,000.00

29,525.26

29,525.26

25,478.42

7

3-Apr-2006

1-Oct-2003

6.0683%

1,000,000.00

30,173.00

30,173.00

25,286.97

8

2-Oct-2006

1-Apr-2004

6.0683%

1,000,000.00

30,341.71

30,341.71

24,691.52

9

2-Apr-2007

1-Oct-2003

6.2347%

1,000,000.00

31,000.24

31,000.24

24,480.69

10

1-Oct-2007

1-Apr-2004

6.2636%

1,000,000.00

31,318.14

31,318.14

23,992.33

11

1-Apr-2008

1-Oct-2003

6.3588%

1,000,000.00

31,794.06

31,794.06

23,617.83

 

 

 

 

 

 

 

 

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