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oSWPknockout1_CFM_FX( ) Function

Component

Resolution - Swap Pricing

 

 

Function Definition

oSWPknockout1_CFM_FX(ValueDate, SettlementDate, EffectiveDate, MaturityDate, CouponRate, FL_PastRate, FL_Margin, KnockoutRate, Notional, NotionalPayment, PaymentFreq, BusinessDayConv, AccrualBasis, DateGeneration, InterpMethod, ZeroCurve, HolidaySchedule)

Generates the cashflow map for the fixed leg of a standard (Vanilla) knockout swap.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

ValueDate

 

Valuation date.

 

Date

 

SettlementDate

 

The date on which the trade will settle. This is typically 1-3 business days after the trade.

 

Date

 

EffectiveDate

 

The first date from which interest begins to accrue.

 

Date

 

EffDate < MatDate

MaturityDate

 

The maturity date of the fixed leg.

 

Date

 

CouponRate

 

The margin, in basis points, that is added to each rate reset.

 

Double

 

CouponMargin >= 0

FL_PastRate

 

The rate observed at the previous rate reset date for the floating leg.

 

Double

 

FL_ PastRate >= 0

FL_Margin

 

The margin, in basis points, that is added to each rate reset for the floating leg.

 

Double

 

FL_Margin >= 0

KnockoutRate

 

The rate above/below which the swap is 'knocked out'. If the floating rate breaches this level at a reset date, both legs of the swap will have a zero coupon payment for that coupon period.

 

Double

 

Notional

 

The notional value of the swap.

 

Double

 

NotionalPayment

 

Defines the treatment of the notional payment from a valuation point of view.

 

Enumerated Constant

 

1 - Notional Only
2 - Exchange at Maturity
3 - Exchange at Inception and Maturity

PaymentFreq

 

Frequency of the coupon payment.

 

Enumerated Constant

 

1 - Annual
2 - Semi-Annual
3 - Quarterly
4 - Monthly
5 - Bi-Weekly
6 - Weekly

BusinessDayConv

 

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

 

Enumerated Constant

 

1 - No Adjustment
2 - Previous
3 - Following
4 - Mod Previous
5 - Mod Following
6 - EOM No Adjust
7 - EOM previous
8 - EOM following

AccrualBasis

 

Basis for determining coupon amounts and accrued interest. See Day Count Conventions

 

Enumerated Constant

 

1 - Act/Act (actual)
2 - Act/Act (bond)
3 - Act/360
4 - Act/365
5 - Act/365 ISDA
6 - Act/365 JGB (NL)
7 - 30/360 ISDA
8 - 30/360 PSA
9 - 30E/360
10 - 30E+/360
11 - Act/365L

DateGeneration

 

Determines if the rate reset cycle is computed backwards from the maturity date or forwards from the effective date.

 

Enumerated Constant

 

1 - Maturity Date
2 - Effective Date

InterpMethod

 

Interpolate discount factors or rates?

 

Enumerated Constant

 

1 - Discount Factors
2 - Zero Rates

ZeroCurve

 

The zero curve that is used to discount cash flows for the fixed leg.

 

Curve

 

HolidaySchedule

 

Schedule of non-business days (excluding weekends).

 

Curve

 

Leave blank if not applicable

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