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IRS2 - Custom1 Template

Component

Resolution - Swap Pricing

Brief

Use this sheet to calculate the fair value and risk statistics for a moderately customized interest rate swap. This template also generates detailed cashflow information.

IRS2 - Custom1

Worksheet

Description

.

Swap Setup

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

Functions Used

oSWPir2_Dates | oSWPir2_Price_FL | oSWPir2_Price_FX

Cashflows

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

Functions Used

oSWPir2_CFM_FL | oSWPir2_CFM_FX

Zero Curve

This sheet contains the zero curve and holidays list.

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