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.

`The server constructs a VanillaSwap object using an interest rate swap structure.`

`Excel: =McpVanillaSwaps2(identifiers, enddate, swaprate, point)`

Function: Constructs a VanillaSwap object using an interest rate swap structure on the server side.
Parameters:
- identifiers: The interest rate swap structure.
- enddate: The end date.
- enddate: The end date.
- swaprate: The fixed rate.
- point: The floating spread, default value is 0.
Returns: A VanillaSwap object for subsequent calculations.

`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.

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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`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.

`Excel: =McpGetStartDate(obj)`

Function: Gets the start date of an interest rate swap (VanillaSwap).
Parameters:
- obj: A VanillaSwap object.
Returns: The start date.

`Excel: =McpGetEndDate(obj)`

Function: Gets the end date of an interest rate swap (VanillaSwap).
Parameters:
- obj: A VanillaSwap object.
Returns: The end date.

`Excel: =McpRateConvention(conventionName)`

Function: A function to simplify the definition of interest rate swap product structures.
Parameters:
- conventionName: Structure short name.
Returns: An interest rate swap product structure object.

Notes

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