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 |
|
Returns an array of dates for each payment period in the swap. |
_Price_FX |
|
Returns the fair value, accrued interest, and risk statistics for the
fixed leg of a swap. |
_Price_FL |
|
Returns the fair value and accrued interest for the floating leg of a
swap. |
_CFM_FX |
|
Returns the cash flow map information for the fixed leg of a swap. |
_CFM_FL |
|
Returns the cash flow map information for the floating leg of a swap. |
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