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Currency Swap Template

Component

Resolution - Swap Pricing

Brief

Use this template to calculate the fair value and accrued interest for a currency swap. This template also generates detailed cashflow information.

Currency Swap

Worksheet

Description

.

CCY Swap

This sheet contains the input parameters and the results of the valuation.

Functions Used

oSWPir1_Price_FL | oSWPir1_Price_FX

Cashflows

This sheet contains a detailed breakdown of the cashflows for the swap.

Functions Used

oSWPir1_CFM_FL | oSWPir1_CFM_FX

Zero Curve 1

This sheet contains a zero curve and holidays list that can be used for either or both legs of the swap.

Zero Curve 2

This sheet contains a zero curve and holidays list that can be used for either or both legs of the swap.

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