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oSWPir3_CFM_FL2( ) - Interest Rate Swap 3 Floating Leg Cash Flow Map 2 Function

Component

Swap Pricing

 

 

Function Definition

oSWPir3_CFM_FL(ValueDate, SettlementDate, EffectiveDate, FirstCpnDate, PenultCpnDate, MaturityDate, PastResetRates, CouponMargin, Notional, NotionalPayment, ResetFreq, PaymentFreq, BusDayConv, AccrualBasis, ResetOffset, DateGen, InterpMethod, ZeroCurve, Holidays)

Generates the cash flow map for the floating leg of a custom 3 interest rate swap. Returns a table consisting of eight columns; Leg, Effective Date, Maturity Date, Rate, Notional Amount, Coupon Amount, Total Cash Flow, and Present Value of Cash Flow.

 

 

Swap Types

Custom interest rate swaps.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

ValueDate

 

The valuation date of the floating leg.

 

Date

 

ValDate < SettleDate

SettlementDate

 

The date on which the trade will settle. This is typically 1-3 business days after the trade.

 

Date

 

SettleDate < MatDate

EffectiveDate

 

The first date from which interest begins to accrue.

 

Date

 

EffDate < MatDate

FirstCpnDate

 

FirstCpnDate: Date that the first coupon is paid (if floating leg does not have an odd first period, leave blank).

 

Date

 

F.C.D > EffDate
F.C.D <
P.C.D
F.C.D < MatDate

PenultCpnDate

 

Date that the penultimate coupon is paid (if floating leg does not have an odd last period, leave blank).

 

Date

 

P.C.D > EffDate
P.C.D >
F.C.D
P.C.D < MatDate

MaturityDate

 

The maturity date of the floating leg.

 

Date

 

MatDate > EffDate

PastResetRates

 

The rates observed at the previous rate reset dates.

 

Curve

 

If the past reset rates are constant (or if there is only one), then enter a single value, otherwise a series (1 for each past rate reset) of rates is required.

CouponMargin

 

The margin, in basis points, that is added to each rate reset for the floating leg.

 

Curve

 

If the coupon rate is constant at each rate reset, then enter a single value, otherwise a series (1 for each rate reset) of rates is required.

Notional

 

The notional value of the floating leg at each rate reset date.

 

Curve

 

If the notional is constant at each rate reset, then enter a single value, otherwise a series (1 for each rate reset) of notionals is required.

NotionalPayment

 

Defines the treatment of the notional payments from a valuation point of view.

 

Enumerated Constant

 

1 - Notional Only
2 - Exchange at Maturity
3 - Exchange at Inception and Maturity

ResetFreq

 

Frequency of the rate resets.

 

Enumerated Constant

 

1 - Annual
2 - Semi-Annual
3 - Quarterly
4 - Monthly
5 - Bi-Weekly
6 - Weekly

PaymentFreq

 

Frequency of the coupon payments.

 

Enumerated Constant

 

1 - Annual
2 - Semi-Annual
3 - Quarterly
4 - Monthly
5 - Bi-Weekly
6 - Weekly

BusinessDayConv

 

Business day convention Used to determine the start and end date of each coupon payment period.

See Business Day Conventions

Enumerated Constant

 

1 - No Adjustment
2 - Previous
3 - Following
4 - Mod Previous
5 - Mod Following
6 - EOM No Adjust
7 - EOM previous
8 - EOM following

AccrualBasis

Basis for determining coupon amounts and accrued interest.

See Day Count Conventions

 

Enumerated Constant

1 - Act/Act (actual)
2 - Act/Act (bond)
3 - Act/360
4 - Act/365
5 - Act/365 ISDA
6 - Act/365 JGB (NL)
7 - 30/360 ISDA
8 - 30/360 PSA
9 - 30E/360
10 - 30E+/360
11 - Act/365L

ResetOffset

 

Used to determine the reset date for each floating rate reset. The reset date precedes the effective date for each coupon period by the number of days equal to the reset offset.

 

Integer

 

ResetOffset >= 0

DateGen

 

Determines if the rate reset cycle is computed backwards from the maturity date or forwards from the effective date.

 

Enumerated Constant

 

1 - Maturity Date
2 - Effective Date

InterpMethod

 

Method used to calculate rates and discount factors from the supplied zero curve.

 

Enumerated Constant

 

1 - Discount Factors
2 - Zero Rates

ZeroCurve

 

The zero curve that is used to project and discount cash flows for the floating leg.

 

Curve

 

 

Holidays

 

Schedule of non-business days (excluding weekends).

 

Date Range

 

Leave blank if not applicable

 

 

 

 

 

 

 

See Also

Parameter Types

Swap Function Parameters

oSWPir3_Price_FL( ) - Interest Rate Swap 3 Floating Leg Price Function

oSWPir3_Price_FX( ) - Interest Rate Swap 3 Fixed Leg Price Function

oSWPir2_Dates( ) - Interest Rate Swap 2 Dates Function

oSWPir1_CFM_FL( ) - Interest Rate Swap 1 Floating Leg Cash Flow Map Function

oSWPir2_CFM_FL( ) - Interest Rate Swap 2 Floating Leg Cash Flow Map Function

oSWPir3_CFM_FX( ) - Interest Rate Swap 3 Fixed Leg Cash Flow Map Function

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