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oSWPknockout1_Price_FX( ) Function

Component

Resolution - Swap Pricing

 

 

Function Definition

oSWPknockout1_Price_FX(ValueDate, SettlementDate, EffectiveDate, MaturityDate, CouponRate, FL_PastRate, FL_Margin, KnockoutRate, Notional, NotionalPayment, PaymentFreq, BusinessDayConv, AccrualBasis, DateGeneration, InterpMethod, ZeroCurve, HolidaySchedule, OutputFlag)

Calculates the fair value 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

OutputFlag

 

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 Value
2 - Accrued Interest
3 - Risk Statistics
4 - Effective Duration
5 - Modified Convexity
6 - PVBP
7 - Par Swap Rate Info

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