An Interest Rate Swap (IRS) is an agreement between two counterparties to exchange periodic payments based on some reference interest rate and an assumed notional principal amount. In most swap agreements, one party contracts to pay a floating (fixed) interest rate and receive a fixed (floating) interest rate. All future payments are based on a pre-specified formula.
The Resolution pro functions are split into 3 groups, with the functions in each group capable of dealing with progressively more complex IRS instruments. The prefixes for the function groups are as follows:
| Function Group Prefix |
|
Description |
| oSWPir1 |
|
Functions that can be used to handle most vanilla style interest rate swaps. |
| oSWPir2 |
|
Functions that can deal with a range of custom features such as an amortizing or accreting notional principal amounts. |
| oSWPir3 |
|
Functions that can deal with more custom features compared to the oSWPir2 functions, such as a reset frequency that is greater than the payment frequency. |
Within each group of functions there are common function types:
| Function Name |
|
Description |
| _Dates |
|
Functions that can be used to handle most vanilla style interest rate swaps. |
| _Price_FX |
|
Functions that can deal with a range of custom features such as an amortizing or accreting notional principal amounts. |
| _Price_FL |
|
Functions that can deal with more custom features compared to the oSWPir2 functions, such as a reset frequency that is greater than the payment frequency. |
| _CFM_FX |
|
Functions that can deal with more custom features compared to the oSWPir2 functions, such as a reset frequency that is greater than the payment frequency. |
| _CFM_FL |
|
Functions that can deal with more custom features compared to the oSWPir2 functions, such as a reset frequency that is greater than the payment frequency. |