Component 
Swap Pricing 




Function Definition 
oSWPir3_Price_FL2(ValueDate, SettlementDate, Dates, PastResetRates, CouponMargin, Notional, NotionalPayment, ResetFreq, PaymentFreq, BusinessDayConv, AccrualBasis, ResetOffset, DateGeneration, InterpMethod, ZeroCurve, HolidaySchedule, OutputFlag) Calculates the fair value for the floating leg of a custom 3 interest rate swap. Also returns accrued interest and the par swap rate numerator. 




Swap Types 




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 13 business days after the trade. 

Date 

SettleDate < MatDate 
Dates 

Four dates entered as an array 

Array (of Dates) 




EffectiveDate: The first date from which interest begins to accrue. 

Date 

EffDate < MatDate 


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 


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 


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 
ResetFreq 

Frequency of the rate resets. 

Enumerated Constant 

1  Annual 
PaymentFreq 

Frequency of the coupon payments. 

Enumerated Constant 

1  Annual 
BusinessDayConv 

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

Enumerated Constant 

1  No Adjustment 
AccrualBasis 

Basis for determining coupon amounts and accrued interest. 

Enumerated Constant 

1  Act/Act (actual) 
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 
DateGeneration 

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

Enumerated Constant 

1  Maturity Date 
InterpMethod 

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

Enumerated Constant 

1  Discount Factors 
ZeroCurve 

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

Curve 


HolidaySchedule 

Schedule of nonbusiness days (excluding weekends). 

Date Range 

Leave blank if not applicable 
OutputFlag 

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function. Entering a 0 will output: Dirty Price, Accrued Interest, Par Swap Rate Numerator and PVBP. 

Enumerated Constant 

0  All three outputs 







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