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Knockout Swap - Vanilla Template

Component

Resolution - Swap Pricing

Brief

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

Knockout Swap - Vanilla

Worksheet

Description

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Knockout Swap

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

Functions Used

oSWPknockout1_Price_FL | oSWPknockout1_Price_FX

Cashflows

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

Functions Used

oSWPknockout1_CFM_FL | oSWPknockout1_CFM_FX

Zero Curve

This sheet contains the zero curve and holidays list.

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