Interest Rate Swap (IRS) Related Functions

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Construction Functions

Excel: =McpVanillaSwap(args1, args2, args3, args4, args5, fmt='VP')

Python: McpVanillaSwap(*args)

• Function: Constructs an Interest Rate Swap (IRS) object.
• Parameters:
  • args1~args5 or *args: Parameter groups, supporting two input methods:
    1. First Method:
       • ReferenceDate: Trade date or valuation date.
       • StartDate: Start date (calculated based on the effective date rule).
       • EndDate: End date (calculated based on the start date and tenor).
       • RollDate: Roll date (default equals the start date).
       • FixedPayReceive: Fixed leg payment direction (default is Pay).
       • Notional: Notional amount (default is 1000000).
       • Coupon: Fixed rate.
       • Margin: Floating leg spread (default is 0.0).
       • PaymentCalendar: Holiday calendar object (default is empty).
       • FixedDiscountCurve: Fixed leg discount curve.
       • FixedPaymentFrequency: Fixed leg payment frequency (default is Quarterly).
       • FixedPaymentDateAdjuster: Fixed leg date adjustment rule (default is Following).
       • FixedPaymentDayCounter: Fixed leg day count convention (default is Act365Fixed).
       • FloatPaymentFrequency: Floating leg payment frequency (default is Quarterly).
       • FloatPaymentDateAdjuster: Floating leg date adjustment rule (default is Following).
       • FloatPaymentDayCounter: Floating leg day count convention (default is Act360).
       • FloatEstimationCurve: Floating leg estimation curve.
       • FloatDiscountCurve: Floating leg discount curve.
       • FixingCalendar: Fixing holiday calendar (default is empty).
       • FixInAdvance: Whether to fix in advance (default is True).
       • FixDaysBackward: Days backward for fixing (default is 2).
       • FixingRateMethod: Fixing rate calculation method (default is RESETRATE_MAX).
       • HistoryFixingDates: Array of historical fixing dates.
       • HistoryFixingRates: Array of historical fixing rates.
       • FixedExchangeNotional: Fixed leg notional exchange method (default is NOEXCHANGE).
       • FixedResidual: Fixed leg amortization residual (default is 0).
       • FixedResidualType: Fixed leg amortization residual type (default is AbsoluteValue).
       • FixedFirstAmortDate: Fixed leg first amortization date.
       • FixedAmortisationType: Fixed leg amortization method (default is AMRT_NONE).
       • FloatExchangeNotional: Floating leg notional exchange method (default is NOEXCHANGE).
       • FloatResidual: Floating leg amortization residual (default is 0).
       • FloatResidualType: Floating leg amortization residual type (default is AbsoluteValue).
       • FloatFirstAmortDate: Floating leg first amortization date.
       • FloatAmortisationType: Floating leg amortization method (default is AMRT_NONE).
    2. Second Method:
       • SettlementDate: Trade date or valuation date.
       • StartDate: Start date.
       • EndDate: End date.
       • Coupon: Fixed rate.
       • PaymentCalendar: Holiday calendar object (default is empty).
       • FixedFrequency: Fixed leg payment frequency (default is Annual).
       • FixedDayCounter: Fixed leg day count convention (default is Act365Fixed).
       • FloatingFrequency: Floating leg payment frequency (default is Annual).
       • FloatingDayCounter: Floating leg day count convention (default is Act365Fixed).
       • FixedEstimationCurve: Fixed leg estimation curve.
       • FixedDiscountCurve: Fixed leg discount curve.
       • FloatingEstimationCurve: Floating leg estimation curve.
       • FloatingDiscountCurve: Floating leg discount curve.
       • FloatingCalendar: Holiday calendar object (default is empty).
       • FirstFixing: First fixing rate.
       • SecondFixing: Second fixing rate.
       • EomRule: End-of-month rule (default is 1).
       • CompoundingFrequency: Compounding frequency (default is 0).
       • Notional: Notional amount (default is 1000000).
       • CsaId: CSA ID.
       • SwapStartLag: Effective date adjustment (default is 2).
       • Margin: Floating leg spread.
       • FixedAdjusterRule: Fixed leg adjustment rule (default is ModifiedFollowing).
       • FloatAdjusterRule: Floating leg adjustment rule (default is ModifiedFollowing).
       • FixedLastOpenday: Fixed leg last open day (default is False).
       • FloatLastOpenday: Floating leg last open day (default is False).
       • FixedLegPayReceive: Fixed leg payment direction (default is Pay).
       • FixInAdvance: Whether to fix in advance (default is True).
       • FixDaysBackward: Days backward for fixing (default is 2).
       • FixDaysForward: Days forward for fixing (default is 2).
       • EndStub: Whether to enable end stub (default is False).
       • FixedPayType: Fixed leg payment type (default is InArrears).
       • FloatPayType: Floating leg payment type (default is InArrears).
  • fmt: Parameter format (default is VP),Excel-specific parameters.
• Returns: Interest Rate Swap object.

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Excel: =McpXCurrencySwap(args1, args2, args3, args4, args5, fmt='VP')

Python: McpXCurrencySwap(*args)

• Function: Constructs a cross-currency swap object.
• Parameters:
  • args1~args5 or *args: Parameter groups, supporting the following input methods:
    1. First Method:
       • ReferenceDate: Trade date or valuation date.
       • StartDate: Start date.
       • EndDate: End date.
       • RollDate: Roll date.
       • Notional: Notional amount (default is 1000000).
       • BaseSwapLeg: Base currency swap leg object.
       • TermSwapLeg: Target currency swap leg object.
       • BasePayReceive: Base currency payment direction (default is Pay).
       • FxRate: Exchange rate.
       • HasInitialExchange: Whether to perform initial notional exchange (default is False).
       • HasFinalExchange: Whether to perform final notional exchange (default is False).
       • FinalFxRate: Final exchange rate (default is 0).
    2. Second Method:
       • Similar to the first method but includes an FXForwardPointsCurve object.
  • fmt: Parameter format (default is VP),Excel-specific parameters.
• Returns: Cross-currency swap object.

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Utility Functions

Excel: =SwapFixedLegNPV(vanillaSwap)

Python: FixedLegNPV()

• Function: Calculates the NPV of the fixed leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Fixed leg NPV.

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Excel: =SwapFloatingLegNPV(vanillaSwap)

Python: FloatingLegNPV()

• Function: Calculates the NPV of the floating leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Floating leg NPV.

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Excel: =SwapFixedLegDuration(vanillaSwap)

Python: FixedLegDuration()

• Function: Calculates the duration of the fixed leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Fixed leg duration.

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Excel: =SwapFloatingLegDuration(vanillaSwap)

Python: FloatingLegDuration()

• Function: Calculates the duration of the floating leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Floating leg duration.

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Excel: =SwapFixedLegMDuration(vanillaSwap)

Python: FixedLegMDuration()

• Function: Calculates the modified duration of the fixed leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Fixed leg modified duration.

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Excel: =SwapFloatingLegMDuration(vanillaSwap)

Python: FloatingLegMDuration()

• Function: Calculates the modified duration of the floating leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Floating leg modified duration.

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Excel: =SwapFixedLegAnnuity(vanillaSwap)

Python: FixedLegAnnuity()

• Function: Calculates the annuity of the fixed leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Fixed leg annuity.

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Excel: =SwapFloatingLegAnnuity(vanillaSwap)

Python: FloatingLegAnnuity()

• Function: Calculates the annuity of the floating leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Floating leg annuity.

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Excel: =SwapFixedLegDV01(vanillaSwap)

Python: FixedLegDV01()

• Function: Calculates the DV01 of the fixed leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Fixed leg DV01.

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Excel: =SwapFloatingLegDV01(vanillaSwap)

Python: FloatingLegDV01()

• Function: Calculates the DV01 of the floating leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Floating leg DV01.

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Excel: =SwapFixedLegAccrued(vanillaSwap)

Python: FixedLegAccrued()

• Function: Calculates the accrued interest of the fixed leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Fixed leg accrued interest.

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Excel: =SwapFloatingLegAccrued(vanillaSwap)

Python: FloatingLegAccrued()

• Function: Calculates the accrued interest of the floating leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Floating leg accrued interest.

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Excel: =SwapFixedLegPremium(vanillaSwap)

Python: FixedLegPremium()

• Function: Calculates the premium of the fixed leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Fixed leg premium.

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Excel: =SwapFloatingLegPremium(vanillaSwap)

Python: FloatingLegPremium()

• Function: Calculates the premium of the floating leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Floating leg premium.

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Excel: =SwapFixedLegMarketValue(vanillaSwap)

Python: FixedLegMarketValue()

• Function: Calculates the market value of the fixed leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Fixed leg market value.

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Excel: =SwapFloatingLegMarketValue(vanillaSwap)

Python: FloatingLegMarketValue()

• Function: Calculates the market value of the floating leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Floating leg market value.

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Excel: =SwapFixedLegCumPV(vanillaSwap)

Python: FixedLegCumPV()

• Function: Calculates the cumulative present value of the fixed leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Fixed leg cumulative present value.

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Excel: =SwapFloatingLegCumPV(vanillaSwap)

Python: FloatingLegCumPV()

• Function: Calculates the cumulative present value of the floating leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Floating leg cumulative present value.

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Excel: =SwapFixedLegCumCF(vanillaSwap)

Python: FixedLegCumCF()

• Function: Calculates the cumulative cash flow of the fixed leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Fixed leg cumulative cash flow.

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Excel: =SwapFloatingLegCumCF(vanillaSwap)

Python: FloatingLegCumCF()

• Function: Calculates the cumulative cash flow of the floating leg.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Floating leg cumulative cash flow.

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Excel: =SwapNPV(vanillaSwap)

Python: NPV()

• Function: Calculates the NPV of the swap.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Swap NPV.

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Excel: =SwapMarketParRate(vanillaSwap)

Python: MarketParRate()

• Function: Calculates the par rate of the swap.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Swap par rate.

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Excel: =SwapDuration(vanillaSwap)

Python: Duration()

• Function: Calculates the duration of the swap.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Swap duration.

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Excel: =SwapMDuration(vanillaSwap)

Python: MDuration()

• Function: Calculates the modified duration of the swap.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Swap modified duration.

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Excel: =SwapPV01(vanillaSwap)

Python: PV01()

• Function: Calculates the PV01 of the swap.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Swap PV01.

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Excel: =SwapDV01(vanillaSwap)

Python: DV01()

• Function: Calculates the DV01 of the swap.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Swap DV01.

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Excel: =SwapCF(vanillaSwap)

Python: CF()

• Function: Calculates the cash flow of the swap.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Swap cash flow.

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Excel: =SwapValuationDayCF(vanillaSwap)

Python: ValuationDayCF()

• Function: Calculates the valuation day cash flow of the swap.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Swap valuation day cash flow.

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Excel: =SwapMarketValue(vanillaSwap)

Python: MarketValue()

• Function: Calculates the market value of the swap.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Swap market value.

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Excel: =SwapAccrued(vanillaSwap)

Python: Accrued()

• Function: Calculates the accrued interest of the swap.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
• Returns: Swap accrued interest.

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Excel: =SwapPNL(vanillaSwap, start, end)

Python: PNL(start, end)

• Function: Calculates the PNL of the swap.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
  • start: Start date.
  • end: End date.
• Returns: Swap PNL.

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Excel: =SwapCalculateSwapRateFromNPV(vanillaSwap, npv)

Python: CalculateSwapRateFromNPV(npv)

• Function: Calculates the fixed rate from the NPV.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
  • npv: NPV.
• Returns: Fixed rate.

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Excel: =SwapCalculateFloatingMarginFromNPV(vanillaSwap, npv)

Python: CalculateFloatingMarginFromNPV(npv)

• Function: Calculates the floating margin from the NPV.
• Parameters:
  • vanillaSwap: Interest Rate Swap object,Python API does not require this parameter.
  • npv: NPV.
• Returns: Floating margin.

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Excel: =SwapFixedLegs(vanillaSwap, fields)

• Function: Retrieves fixed leg cash flow information.
• Parameters:
  • vanillaSwap: Interest Rate Swap object.
  • fields: Array of fields (e.g., PaymentDate, AccrStartDate, AccrEndDate).
• Returns: Fixed leg cash flow information array.

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Excel: =SwapFloatingLegs(vanillaSwap, fields)

• Function: Retrieves floating leg cash flow information.
• Parameters:
  • vanillaSwap: Interest Rate Swap object.
  • fields: Array of fields (e.g., PaymentDate, AccrStartDate, AccrEndDate).
• Returns: Floating leg cash flow information array.

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Excel: =SwapFloatingQuotes(vanillaSwap, fields)

• Function: Retrieves floating leg fixing information.
• Parameters:
  • vanillaSwap: Interest Rate Swap object.
  • fields: Array of fields (e.g., QuoteDate, QuoteRate, ResetDate).
• Returns: Floating leg fixing information array.

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Excel: =SwapFloatingQuoteLegs(vanillaSwap, fields)

• Function: Retrieves floating leg fixing frequency information.
• Parameters:
  • vanillaSwap: Interest Rate Swap object.
  • fields: Array of fields (e.g., QuoteDate, QuoteRate, ResetDate).
• Returns: Floating leg fixing frequency information array.

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Excel: =SwapFrtbGirrDeltas(swap, ccyLocRate=1.0, fmt="V")

• Function: Calculates FRTB sensitivity metrics.
• Parameters:
  • swap: McpVanillaSwap object.
  • ccyLocRate: Local currency exchange rate (default is 1.0).
  • fmt: Parameter format (default is "V").
• Returns: FRTB sensitivity metrics.

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Notes

1. Parameter Format: The fmt parameter specifies the parameter format, with a default value of VP.
2. Enumeration Values: Some parameters (e.g., FixedPayReceive, FixedPaymentFrequency) are enumeration values; refer to specific definitions for details.
3. Default Values: Parameters not explicitly stated usually have default values, which can be adjusted as needed.