Component 
Resolution  IRO Pricing 




Function Definition 
oIRvmswap_BK(ValueDate, Position, SwapType, ExerciseType, ExerciseSchedule, Volatility, MeanReversion, StepsPerCoupon, SwapEffective, SwapMaturity, SwapStubDates, Notional, Coupon, Frequency, AccrualBasis, BusDayConv, InterpMethod, ZeroCurve, Holidays, Output) Calculates the swap value and embedded swaption value. 




IRO Types 
Interest Rate Variable Maturity Swaps. 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

ValueDate 

Valuation date of the swap. 

Date 



Position 

Long or short. 

Enumerated Constant 

1  Long 

SwapType 

Payer or Reciever 

Enumerated Constant 

1  Payer 

ExerciseType 

European, Bermudan or American. 

Enumerated Constant 

1  European 

ExerciseSchedule 

Lists exercise dates and the termination fee associated with each date. For European swaps, only the last date is used. For American swaps, every date between the first and last is assumed to be a valid exercise date. 

Curve 



Volatility 

Annualised volatility of the swap rate, expressed as a decimal. 

Double or Curve 

Volatility >0% 

MeanReversion 

Requires the estimate of the mean reversion rate. 

Double 

> 0 

StepsPerCoupon 

Determines the number of steps used to construct the lattice. The total number of branches in the lattice is also related to the number of coupon periods outstanding between the valuation date and the maturity date of the swap. 

Long


Steps per Coupon > 0


SwapEffective 

The date from which the swap begins to accrue interest. Also represents the first swap reset date and is needed because the swap may feasibly be valued prior to the effective date. 

Date


SwapEffective < SwapMaturity


SwapMaturity 

The maturity date of the swap. 

Date 

SwapMaturity > SwapEffective 

SwapStubDates 

Only needed if the swap has an odd first or last period. 

Array of Dates 

2 Dates entered as an array. 



First Coupon Date: Date that the first coupon is paid (if swap does not have an odd first period, leave blank). 



F.C.D > SwapEffective 



Penultimate Coupon Date: Date that the penultimate coupon is paid (if swap does not have an odd last period, leave blank). 



P.C.D > SwapEffective 

Notional 

The face value of the swap. Assumed to be fixed for the life of the swap. 

Double 



Coupon 

The fixed coupon rate for the fixed leg of the swap. 

Double 



Frequency 

The frequency of the coupon payments. 

Enumerated Constant


1  Annual 

AccrualBasis 

Basis for determining coupon amounts and accrued interest. 

Enumerated Constant 

1  Act/Act (actual) 

BusDayConv 

Business day convention. Used to determine the start and end date of each coupon payment period. 

Enumerated Constant 

1  No Adjustment 

InterpMethod 

Method used to calculate rates and discount factors from the supplied zero curve. 

Enumerated Constant 

1  Discount Factors 

ZeroCurve 

The zero curve that is used to project and discount cash flows. 

Curve 



Holidays 

Schedule of nonbusiness days (excluding weekends). 

Date Range 

Leave blank if not applicable 

Output 

Indicates which result (or set of results) will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function. 

Enumerated Constant 

0  All Values 









Function Outputs 



Output 

Description 

Swap Value 

The value of the swap 

Swaption Value 

The value of the embedded swaption 
See Also 
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