Interest Rate Derivatives — functions

Forward Rate Agreement – FRA

152. GIA_IRD_FRA_Price

(EfDate, TDate, DaysPayoff, DR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns the fixed rate for which the value of an FRA is zero.

153. GIA_IRD_FRA_Value

(Position, Notional, EfDate, TDate, Rate, DaysPayoff, DR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns the value of an FRA.

154. GIA_IRD_FRA_Risk

(Position, Notional, EfDate, TDate, Rate, DaysPayoff, DR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns the DV01 of an FRA.

Interest Rate Swap – IRS (pay fixed – receive floating)

155. GIA_IRD_IRSFixedFloat_Price

(EDate, DR, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns the fixed rate for which the value of an IRS is zero.

156. GIA_IRD_IRSFixedFloat_Value

(Notional, EDate, DR, RateP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, NE, Comp, Days, Interp, OT)

Returns the value of an IRS in which the interest rate in the pay leg is fixed and the interest in the receive leg is floating.

157. GIA_IRD_IRSFixedFloat_Risk

(Notional, EDate, DR, RateP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, NE, Comp, Days, Interp, RM, OT)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of an IRS in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

158. GIA_IRD_IRSAmortFixedFloat_Price

(EDate, FPPD, FrPP, PPP, DR, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns the fixed rate for which the value of an IRS with an amortizing schedule is zero.

159. GIA_IRD_IRSAmortFixedFloat_Value

(Position, Notional, EDate, FPPD, FrPP, PPP, DR, RateP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, NE, Comp, Days, Interp, OT)

Returns the value of an IRS with an amortizing schedule in which the interest rate in the pay leg is fixed and the interest in the receive leg is floating.

160. GIA_IRD_IRSAmortFixedFloat_Risk

(Notional, EDate, FPPD, FrPP, PPP, DR, RateP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, NE, Comp, Days, Interp, RM, OT)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of an IRS with an amortizing schedule in which the interest rate in the pay leg is fixed and the interest in the receive leg is floating.

161. GIA_IRD_IRSFixedFloat_LastResetDate

(EDate, EfDateR, CFrR, DR, VDate)

Returns the last reset date of the reference interest rate in the floating leg in an IRS in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

162. GIA_IRD_IRSAmortFixedFloat_LastResetDate

(EDate, EfDateR, CFrR, DR, VDate)

Returns the last reset date of the reference interest rate in the floating leg in an IRS with an amortizing schedule in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

Interest Rate Swap – IRS (pay floating – receive fixed)

163. GIA_IRD_IRSFloatFixed_Price

(EDate, DR, SpR, LRP, EfDateP, CFrP, DaysP, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns the fixed rate for which the value of an IRS is zero.

164. GIA_IRD_IRSFloatFixed_Value

(Notional, EDate, DR, SpP, LRP, EfDateP, CFrP, DaysP, RateR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, NE, Comp, Days, Interp, OT)

Returns the value of an IRS in which the interest rate in the pay leg is floating and the interest rate in the receive leg is fixed.

165. GIA_IRD_IRSFloatFixed_Risk

(Notional, EDate, DR, SpP, LRP, EfDateR, CFrP, DaysP, RateR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, NE, Comp, Days, Interp, RM, OT)

Returns the the risk measures (DV01, MacaulayDuration, ModifiedDuration) of an IRS in which the interest rate in the pay leg is floating and the interest rate in the receive leg is fixed.

166. GIA_IRD_IRSAmortFloatFixed_Price

(EDate, FPPD, FrPP, PPP, DR, SpP, LRP, EfDateP, CFrP, DaysP, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns the fixed rate for which the value of an IRS with an amortizing schedule is zero.

167. GIA_IRD_IRSFloatFixedAmort_Value

(Notional, EDate, FPPD, FrPP, PPP, DR, SpP, LRP, EfDateP, CFrP, DaysP, RateR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, NE, Comp, Days, Interp, OT)

Returns the value of an IRS with an amortizing schedule in which the interest rate in the pay leg is floating and the interest in the receive leg is fixed.

168. GIA_IRD_IRSAmortFloatFixed_Risk

(Notional, EDate, FPPD, FrPP, PPP, DR, SpP, LRP, EfDateP, CFrP, DaysP, RateR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, NE, Comp, Days, Interp, RM, OT)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration)of an IRS with an amortizing schedule in which the interest rate in the pay leg is floating and the interest in the receive leg is fixed.

169. GIA_IRD_IRSFloatFixed_LastResetDate

(EDate, EfDateP, CFrP, DR, VDate)

Returns the last reset date of the reference interest rate in the floating leg in an IRS in which the interest rate in the pay leg is floating and the interest rate in the receive leg is fixed.

170 GIA_IRD_IRSAmortFloatFixed_LastResetDate

(EDate, EfDateP, CFrP, DR, VDate)

Returns the last reset date of the reference interest rate in the floating leg in an IRS with an amortizing schedule in which the interest rate in the pay leg is floating and the interest rate in the receive leg is fixed.

Basis Swap

171. GIA_IRD_BasisSwap_Value

(Notional, EDate, DR, SpP, LRP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDatesP, FCurveRatesP, FCurveDatesR, FCurveRatesR, VDate ,SDate, NE, Comp, Days, Interp, OT)

Returns the value of a basis swap.

172. GIA_IRD_BasisSwap_Risk

(Notional, EDate, DR, SpP, LRP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDatesP, FCurveRatesP, FCurveDatesR, FCurveRatesR, VDate ,SDate, NE, Comp, Days, Interp, RM, OT)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a basis swap.

173. GIA_IRD_BasisSwapAmort_Value

(Notional, EDate, FPPD, FrPP, PPP, DR, SpP, LRP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDatesP, FCurveRatesP, FCurveDatesR, FCurveRatesR, VDate ,SDate, NE, Comp, Days, Interp, OT)

Returns the value of a basis swap with an amortizing schedule.

174. GIA_IRD_BasisSwapAmort_Risk

(Notional, EDate, FPPD, FrPP, PPP, DR, SpP, LRP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDatesP, FCurveRatesP, FCurveDatesR, FCurveRatesR, VDate ,SDate, NE, Comp, Days, Interp, RM, OT)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a basis swap with an amortizing schedule.

175. GIA_IRD_BasisSwap_LastResetDateP

(EDate, EfDateP, CFrP, DR, VDate)

Returns the last reset date of the reference interest rate in the pay leg in a basis swap.

176. GIA_IRD_BasisSwapAmort_LastResetDateP

(EDate, EfDateP, CFrP, DR, VDate)

Returns the last reset date of the reference interest rate in the pay leg in a basis swap with an amortizing schedule.

177. GIA_IRD_BasisSwap_LastResetDateR

(EDate, EfDateR, CFrR, DR, VDate)

Returns the last reset date of the reference interest rate in the receive leg in a basis swap.

178. GIA_IRD_BasisSwapAmort_LastResetDateR

(EDate, EfDateR, CFrR, DR, VDate)

Returns the last reset date of the reference interest rate in the receive leg in a basis swap with an amortizing schedule.

Overnight Index Swap – OIS (pay fixed – receive floating)

179. GIA_IRD_OISFixedFloat_Price

(EDate, DR, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, Comp, Days, Interp)

Returns the fixed rate for which the value of an OIS is zero.

180. GIA_IRD_OISFixedFloat_Value

(Notional, EDate, DR, RateP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, NE, Comp, Days, Interp, OT)

Returns the value of an OIS in which the interest rate in the pay leg is fixed and the interest in the receive leg is floating.

181. GIA_IRD_OISFixedFloat_Risk

(Position, Notional, EDate, DR, RateP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, NE, Comp, Days, Interp, OT)

Returns the DV01 of an OIS in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

Overnight Index Swap – OIS (pay floating – receive fixed)

182. GIA_IRD_OISFloatFix_Price

(EDate, DR, SpP, LRP, EfDateP, CFrP, DaysP, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, Comp, Days, Interp)

Returns the fixed rate for which the value of an OIS is zero.

183. GIA_IRD_OISFloatFixed_Value

(Notional, EDate, DR, SpP, LRP, EfDateP, CFrP, DaysP, RateR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, NE, Comp, Days, Interp, OT)

Returns the value of an OIS in which the interest rate in the pay leg is floating and the interest in the receive leg is fixed.

184. GIA_IRD_OISFloatFixed_Risk

(Notional, EDate, DR, SpP, LRP, EfDateP, CFrP, DaysP, RateR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, HDates, HRates, VDate, SDate, NE, Comp, Days, Interp, OT)

Returns the DV01 of an OIS in which the interest rate in the pay leg is floating and the interest rate in the receive leg is fixed.

Cap/Floor

185. GIA_IRD_CapFloor_Value

(OptionType, Notional, EfDate, EDate, Strike, IndOpPeriod, DaysCF, LR, DR, Vol, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns the value of the cap/floor option, given flat volatility.

186. GIA_IRD_CapFloor_Risk

(OptionType, Notional, EfDate, EDate, Strike, IndOpPeriod, DaysCF, LR, DR, Vol, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp, RM)

Returns the risk measures (DV01, Vega, Theta) of the cap/floor option, given flat volatility.

187. GIA_IRD_CapFloor_LastResetDate

(EfDate, EDate, IndOpPeriod, DR, VDate)

Returns the last reset date of the reference interest rate.

Swaption

188. GIA_IRD_Swaption_Value

(OptionType, Notional, EDateOption, EDateSwap, Strike, DR, EfDateFix, CFrFix, DaysFix, Sp, EfDateFl, CFrFl, DaysFl, Vol, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns the value of a swaption, given flat volatility.

189. GIA_IRD_Swaption_Risk

(OptionType, Notional, EDateOption, EDateSwap, Strike, DR, EfDateFix, CFrFix, DaysFix, Sp, EfDateFl, CFrFl, DaysFl, Vol, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp, RM)

Returns the risk measures (DV01, Vega, Theta) of a swaption, given flat volatility.

Cross-Currency Swap – CCS (pay fixed – receive fixed)

190. GIA_IRD_CCSFixedFixed_Value

(EDate, NE, DR, NotP, RateP, EfDateP, CFrP, DaysP, NotR, RateR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, OT, OC)

Returns the value of a cross-currency swap in which the interest rates in both legs are fixed.

191. GIA_IRD_CCSFixedFixed_Risk

(EDate, NE, DR, NotP, RateP, EfDateP, CFrP, DaysP, NotR, RateR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, RM, OT, OC)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a cross-currency swap in which the interest rates in both legs are fixed.

192. GIA_IRD_CCSAmortFixedFixed_Value

(EDate, NE, FPPD, FrPP, PPP, DR, NotP, RateP, EfDateP, CFrP, DaysP, NotR, RateR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, OT, OC)

Returns the value of a cross-currency swap with an amortizing schedule in which the interest rates in both legs are fixed.

193. GIA_IRD_CCSAmortFixedFixed_Risk

(EDate, NE, FPPD, FrPP, PPP, DR, NotP, RateP, EfDateP, CFrP, DaysP, NotR, RateR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, RM, OT, OC)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a cross-currency swap with an amortizing schedule in which the interest rates in both legs are fixed.

Cross-Currency Swap – CCS (pay fixed – receive floating)

194. GIA_IRD_CCSFixedFloat_Value

(EDate, NE, DR, NotP, RateP, EfDateP, CFrP, DaysP, NotR, SpR, LRR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, FCurveDatesR, FCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, OT, OC)

Returns the value of a cross-currency swap in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

195. GIA_IRD_CCSFixedFloat_Risk

(EDate, NE, DR, NotP, RateP, EfDateP, CFrP, DaysP, NotR, SpR, LRR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, FCurveDatesR, FCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, RM, OT, OC)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a cross-currency swap in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

196. GIA_IRD_CCSAmortFixedFloat_Value

(EDate, NE, FPPD, FrPP, PPP, DR, NotP, RateP, EfDateP, CFrP, DaysP, NotR, SpR, LRR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, FCurveDatesR, FCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, OT, OC)

Returns the value of a cross-currency swap with an amortizing schedule in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

197. GIA_IRD_CCSAmortFixedFloat_Risk

(EDate, NE, FPPD, FrPP, PPP, DR, NotP, RateP, EfDateP, CFrP, DaysP, NotR, SpR, LRR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, FCurveDatesR, FCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, RM, OT, OC)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a cross-currency swap with an amortizing schedule in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

198. GIA_IRD_CCSFixedFloat_LastResetDate

(EDate, EfDateR, CFrR, DR, VDate)

Returns the last reset date of the reference interest rate in the floating leg in a cross-currency swap in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

199. GIA_IRD_CCSAmortFixedFloat_LastResetDate

(EDate, EfDateR, CFrR, DR, VDate)

Returns the last reset date of the reference interest rate in the floating leg in a cross-currency swap with an amortizing schedule in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

Cross Currency Swap – CCS (pay floating – receive fixed)

200. GIA_IRD_CCSFloatFixed_Value

(EDate, NE, DR, NotP, SpP, LRP, EfDateP, CFrP, DaysP, NotR, RateR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, FCurveDatesP, FCurveRatesP, DCurveDatesR, DCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, OT, OC)

Returns the value of a cross-currency swap in which the interest rate in the pay leg is floating and the interest rate in the receive leg is fixed.

201. GIA_IRD_CCSFloatFixed_Risk

(EDate, NE, DR, NotP, SpP, LRP, EfDateP, CFrP, DaysP, NotR, RateR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, FCurveDatesP, FCurveRatesP, DCurveDatesR, DCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, RM, OT, OC)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a cross-currency swap in which the interest rate in the pay leg is floating and the interest rate in the receive leg is fixed.

202. GIA_IRD_CCSAmortFloatFixed_Value

(EDate, NE, FPPD, FrPP, PPP, DR, NotP, SpP, LRP, EfDateP, CFrP, DaysP, NotR, RateR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, FCurveDatesP, FCurveRatesP, DCurveDatesR, DCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, OT, OC)

Returns the value of a cross-currency swap with an amortizing schedule in which the interest rate in the pay leg is floating and the interest rate in the receive leg is fixed.

203. GIA_IRD_CCSAmortFloatFixed_Risk

(EDate, NE, FPPD, FrPP, PPP, DR, NotP, SpP, LRP, EfDateP, CFrP, DaysP, NotR, RateR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, FCurveDatesP, FCurveRatesP, DCurveDatesR, DCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, RM, OT, OC)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a cross-currency swap with an amortizing schedule in which the interest rate in the pay leg is floating and the interest rate in the receive leg is fixed.

204. GIA_IRD_CCSFloatFixed_LastResetDate

(EDate, EfDateP, CFrP, DR, VDate)

Returns the last reset date of the reference interest rate in the floating leg in a cross-currency swap in which the interest rate in the pay leg is floating and the interest rate in the receive leg is fixed.

205. GIA_IRD_CCSAmortFloatFixed_LastResetDate

(EDate, EfDateP, CFrP, DR, VDate)

Returns the last reset date of the reference interest rate in the floating leg in a cross-currency swap with an amortizing schedule in which the interest rate in the pay leg is floating and the interest rate in the receive leg is fixed.

Cross-Currency Swap – CCS (pay floating – receive floating)

206. GIA_IRD_CCSFloatFloat_Value

(EDate, NE, DR, NotP, SpP, LRP, EfDateP, CFrP, DaysP, NotR, SpR, LRR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, FCurveDatesP, FCurveRatesP, DCurveDatesR, DCurveRatesR, FCurveDatesR, FCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, OT, OC)

Returns the value of a cross-currency swap in which the interest rates in both legs are floating.

207. GIA_IRD_CCSFloatFloat_Risk

(EDate, NE, DR, NotP, SpP, LRP, EfDateP, CFrP, DaysP, NotR, SpR, LRR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, FCurveDatesP, FCurveRatesP, DCurveDatesR, DCurveRatesR, FCurveDatesR, FCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, RM, OT, OC)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a cross-currency swap in which the interest rates in both legs are floating.

208. GIA_IRD_CCSAmortFloatFloat_Value

(EDate, NE, FPPD, FrPP, PPP, DR, NotP, SpP, LRP, EfDateP, CFrP, DaysP, NotR, SpR, LRR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, FCurveDatesP, FCurveRatesP, DCurveDatesR, DCurveRatesR, FCurveDatesR, FCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, OT, OC)

Returns the value of a cross-currency swap with an amortizing schedule in which the interest rates in both legs are floating.

209. GIA_IRD_CCSAmortFloatFloat_Risk

(EDate, NE, FPPD, FrPP, PPP, DR, NotP, SpP, LRP, EfDateP, CFrP, DaysP, NotR, SpR, LRR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, FCurveDatesP, FCurveRatesP, DCurveDatesR, DCurveRatesR, FCurveDatesR, FCurveRatesR, VDate, SDate, Comp, Days, Interp, CurP, RM, OT, OC)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a cross-currency swap with an amortizing schedule in which the interest rates in both legs are floating.

210. GIA_IRD_CCSFloatFloat_LastResetDateP

(EDate, EfDateP, CFrP, DR, VDate)

Returns the last reset date of the reference interest rate in the pay leg in a cross-currency swap in which the interest rate in the pay leg is floating and the interest rate in the receive leg is floating.

211. GIA_IRD_CCSAmortFloatFloat_LastResetDateP

(EDate, EfDateP, CFrP, DR, VDate)

Returns the last reset date of the reference interest rate in the pay leg in a cross-currency swap with an amortizing schedule in which the interest rate in the pay leg is floating and the interest rate in the receive leg is floating.

212. GIA_IRD_CCSFloatFloat_LastResetDateR

(EDate, EfDateR, CFrR, DR, VDate)

Returns the last reset date of the reference interest rate in the receive leg in a cross-currency swap in which the interest rate in the pay leg is floating and the interest rate in the receive leg is floating.

213. GIA_IRD_CCSAmortFloatFloat_LastResetDateR

(EDate, EfDateR, CFrR, DR, VDate)

Returns the last reset date of the reference interest rate in the receive leg in a cross-currency swap with an amortizing schedule in which the interest rate in the pay leg is floating and the interest rate in the receive leg is floating.

Total Return Swap – TRS

214. GIA_IRD_TRS_Value

(Position, Units, EDate, LRA, Dividend, LRF, AccrStartDateF, Sp, DaysF, AssetPrice, VDate, OT)

Returns the value of a total return swap.

Additional Functions

215. GIA_IRD_FixedLeg_AverageDiscountingInterestRate

(EDate, NE, DR, RateFix, EfDateFix, CFrFix, DaysFix, DCurveDates, DCurveRates, VDate, SDate, Comp, Days, Interp)

Returns the average interest rate implied in the interest rate curve used for discounting cash flows in the fixed leg of the swap. Using this discounting interest rate leads to the same present value as one which is calculated using the interest rate curve.

216. GIA_IRD_FixedAmortLeg_AverageDiscountingInterestRate

(EDate, NE, FPPD, FrPP, PPP, DR, RateFix, EfDate, CFrFix, DaysFix, DCurveDates, DCurveRates, VDate, SDate, Comp, Days, Interp)

Returns the average interest rate implied in the interest rate curve used for discounting cash flows in the fixed leg of the swap with an amortizing schedule. Using this discounting interest rate leads to the same present value as one which is calculated using the interest rate curve.

217. GIA_IRD_FloatLeg_AverageDiscountingInterestRate

(EDate, NE, DR, Sp, LR, EfDateFl, CFrFl, DaysFl, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns the average interest rate implied in the interest rate curve used for discounting cash flows in the floating leg of the swap. Using this discounting interest rate leads to the same present value as one which is calculated using the interest rate curve.

218. GIA_IRD_FloatAmortLeg_AverageDiscountingInterestRate

(EDate, NE, FPPD, FrPP, PPP, DR, Sp, LR, EfDateFl, CFrFl, DaysFl, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns the average interest rate implied in the interest rate curve used for discounting cash flows in the floating leg of the swap with an amortizing schedule. Using this discounting interest rate leads to the same present value as one which is calculated using the interest rate curve.

219. GIA_IRD_Swaps_LastResetDate

(EDate, EfDate, CFr, DR, VDate)

Returns the last reset date of the reference interest rate in the floating leg of the swap.

220. GIA_IRD_Swaps_ValueOfLeg

(SwapType, LegType, EDate, NE, FPPD, FrPP, PPP, DR, Notional, RateFix, Sp, LR, EfDate, CFr, DaysCF, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns the value of the individual leg in all types of interest swaps supported in the GIAnalyzer, except the OIS and TRS.

221. GIA_IRD_Swaps_RiskOfLeg

(SwapType, LegType, EDate, NE, FPPD, FrPP, PPP, DR, Notional, RateFix, Sp, LR, EfDate, CFr, DaysCF, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp, RM)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of the individual leg in all types of interest swaps supported in the GIAnalyzer, except OIS and TRS.