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Vanilla Swap Portfolio Template

Component

Resolution - Swap Pricing

Brief

Use this sheet to simplify pricing for a portfolio of vanilla interest rate swaps. Swaps can be added to the portfolio or edited using a wizard-style interface, and a summary sheet shows a breakdown of the portfolio position.

Vanilla Swap Portfolio

Worksheet

Description

.

Overview

This sheet displays a summary of the portfolio position.

Portfolio

This sheet contains a breakdown of the portfolio, giving fair value and risk statistic data for each swap. This is also where swaps in the portfolio can be added, modified or deleted.

Functions Used

oSWPir1_Price

Zero Curve

This sheet contains the zero curve and holidays list.

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