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oSWPknockout1_Price( ) Function

Component

Resolution - Swap Pricing

 

 

Function Definition

oSWPknockout1_Price(SwapType, Dates, FX_Rate, PayFreq, BusDayConv, Accrual, FL_PastRate, FL_Margin, FL_KnockoutRate, Notional, NotionalPayment, DateGen, InterpMethod, ZeroCurve, Holidays, Output)

Calculates the fair value for a standard (Vanilla) knockout swap.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

SwapType

 

Specifies whether the swap holder receives or pays the fixed coupon stream (and visa versa). For a payer swap, the holder pays fixed and receives floating.

 

Enumerated Constant

 

1 - Payer
2 - Receiver

Dates

 

Four dates entered as an array.

Valuation Date. The valuation date of the swap.

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

Effective Date. The first date from which in

 

Array (of Dates)

 



ValDate < SettleDate

SettleDate < MatDate

EffDate < MatDate

As above.

FX_Rate

 

The constant coupon rate for the fixed leg.

 

Double

 

FX_Rate >= 0

PayFreq

 

Frequency of the coupon payment.

 

Enumerated Constant

 

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

BusDayConv

 

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

Accrual

 

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

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

FL_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

DateGen

 

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 project cash flows for the floating leg, and discount cash flows for both legs.

 

Curve

 

Holidays

 

Schedule of non-business days (excluding weekends).

 

Curve

 

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
1 - Fair Price
2 - Fixed Leg Info
3 - Floating Leg Info
4 - Accrued Interest
5 - Risk Statistics
6 - Effective Duration
7 - Modified Convexity
8 - PVBP
9 - Par Swap Rate

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