Previous Topic

Next Topic

IRS3 - Custom2 Template

Component

Resolution - Swap Pricing

Brief

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

IRS3 - Custom2

Worksheet

Description

.

Swap Setup

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

Functions Used

oSWPir2_Dates | oSWPir3_Dates | oSWPir3_Price_FL | oSWPir3_Price_FX

Cashflows

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

Functions Used

oSWPir3_CFM_FL | oSWPir3_CFM_FX

FX Zero Curve

This sheet contains the zero curve and holidays list.

FL Zero Curve

This sheet contains the zero curve and holidays list.

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.