Interest Rate Derivatives — parameters
Below is the complete list of the functions’ parameters.
| AccrStartDateF | |
|---|
| Description: | The start date of the current accrual period in the funding leg. |
| Instruments: | TRS. |
| AssetPrice | |
|---|
| Description: | The current asset price. |
| Instruments: | TRS. |
| CFrFix | |
|---|
| Description: | The frequency of coupons in the fixed leg of the underlying swap. (Annual, SemiAnnual, Quarterly, Monthly) |
| Instruments: | Swaption |
| CFrFl | |
|---|
| Description: | The frequency of coupons in the floating leg of the underlying swap. (Annual, SemiAnnual, Quarterly, Monthly) |
| Instruments: | Swaption |
| CFrP | |
|---|
| Description: | The frequency of coupons in the pay leg of the swap. (Annual, SemiAnnual, Quarterly, Monthly) |
| Instruments: | IRS, Basis swap, OIS, CCS. |
| CFrR | |
|---|
| Description: | The frequency of coupons in the receive leg of the swap. (Annual, SemiAnnual, Quarterly, Monthly) |
| Instruments: | IRS, Basis swap, OIS, CCS. |
| Comp | |
|---|
| Description: | The compounding basis of the interest rates. (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous) |
| Instruments: | All Instruments: in this section. |
| CPICurveRates | |
|---|
| Description: | The array of rates in the expected CPI curve. |
| Instruments: | Inflation derivatives. |
| CurP | |
|---|
| Description: | This parameter indicates whether the currency of the pay leg is base or counter. (Base, Counter) |
| Instruments: | CCS. |
| Days | |
|---|
| Description: | The time basis of the interest rate curves. (act/360, act/365, act/act, 30E/360, 30I/360) |
| Instruments: | All Instruments: in this section, except TRS. |
| DaysCF | |
|---|
| Description: | The time basis in the cash flow calculation. (act/360, act/365, act/act, 30E/360, 30I/360) |
| Instruments: | FRA, Cap/Floor. |
| DaysFix | |
|---|
| Description: | The time basis in the fixed leg of the underlying swap. (act/360, act/365, act/act, 30E/360, 30I/360) |
| Instruments: | Swaption. |
| DaysFl | |
|---|
| Description: | The time basis in the floating leg of the underlying swap. (act/360, act/365, act/act, 30E/360, 30I/360) |
| Instruments: | Swaption. |
| DaysF | |
|---|
| Description: | The time basis in the funding leg of the swap. (act/360, act/365, act/act, 30E/360, 30I/360) |
| Instruments: | TRS. |
| DaysP | |
|---|
| Description: | The time basis in the pay leg of the swap. (act/360, act/365, act/act, 30E/360, 30I/360) |
| Instruments: | IRS, Basis swap, OIS, CCS. |
| DaysR | |
|---|
| Description: | The time basis in the receive leg of the instrument.The time basis in the pay leg of the swap. (act/360, act/365, act/act, 30E/360, 30I/360) |
| Instruments: | IRS, Basis swap, OIS, CCS. |
| DCurveDates | |
|---|
| Description: | The array of dates in the interest rate curve used for discounting cash flows. |
| Instruments: | All Instruments: in this section, except CCS and TRS. |
| DCurveDatesP | |
|---|
| Description: | The array of dates in the interest rate curve used for discounting cash flows in the pay leg of the swap. |
| Instruments: | CCS. |
| DCurveDatesR | |
|---|
| Description: | The array of dates in the interest rate curve used for discounting cash flows in the receive leg of the swap. |
| Instruments: | CCS. |
| DCurveRates | |
|---|
| Description: | The array of dates in the interest rate curve used for discounting cash flows. |
| Instruments: | All Instruments: in this section, except CCS, and TRS. |
| DCurveRatesP | |
|---|
| Description: | The array of rates in the interest rate curve used for discounting cash flows in the pay leg of the swap. |
| Instruments: | CCS, RRS. |
| DCurveRatesR | |
|---|
| Description: | The array of rates in the interest rate curve used for discounting cash flows in the receive leg of the swap. |
| Instruments: | CCS. |
| Dividend | |
|---|
| Description: | Next dividend payment per one share. |
| Instruments: | TRS. |
| DR | |
|---|
| Description: | The date rolling method. In the current version, non-business days are Saturdays and Sundays, holidays are not supported. |
| Instruments: | All Instruments: in this section, except TRS. |
| EDate | |
|---|
| Description: | The expiry date. |
| Instruments: | All Instruments: in this section, except swaptions. |
| EDateOption | |
|---|
| Description: | The expiry date of the swaption. |
| Instruments: | Swaption. |
| EDateSwap | |
|---|
| Description: | The expiry date of the underlying swap. |
| Instruments: | Swaption. |
| EfDate | |
|---|
| Description: | The effective date. |
| Instruments: | FRA, Cap/Floor. |
| EfDateFix | |
|---|
| Description: | The original effective date in the fixed leg of the underlying swap. |
| Instruments: | Swaption. |
| EfDateFl | |
|---|
| Description: | The original effective date in the floating leg of the underlying swap. |
| Instruments: | Swaption. |
| EfDateP | |
|---|
| Description: | The original effective date in the pay leg of the swap. |
| Instruments: | IRS, Basis swap, OIS, CCS. |
| EfDateR | |
|---|
| Description: | The original effective date in the receive leg of the swap. |
| Instruments: | IRS, Basis swap, OIS, CCS. |
| FCurveDates | |
|---|
| Description: | The array of dates in the interest rate curve used for calculating forward rates. |
| Instruments: | All Instruments: in this section, except CCS and TRS. |
| FCurveDatesP | |
|---|
| Description: | The array of dates in the interest rate curve used for calculating forward rates, in the pay leg of the swap. |
| Instruments: | Basis swap, CCS. |
| FCurveDatesR | |
|---|
| Description: | The array of dates in the interest rate curve used for calculating forward rates, in the receive leg of the swap. |
| Instruments: | Basis swap, CCS. |
| FCurveRates | |
|---|
| Description: | The array of rates in the interest rate curve used for calculating forward rates. |
| Instruments: | All Instruments: in this section, except CCS and TRS. |
| FCurveRatesP | |
|---|
| Description: | The array of rates in the interest rate curve used for calculating forward rates, in the pay leg of the swap. |
| Instruments: | Basis swap, CCS. |
| FCurveRatesR | |
|---|
| Description: | The array of rates in the interest rate curve used for calculating forward rates, in the receive leg of the swap. |
| Instruments: | Basis swap, CCS. |
| FPPD | |
|---|
| Description: | The first date of the principal payment. |
| Instruments: | All types of swaps with amortization schedule. |
| FrPP | |
|---|
| Description: | The frequency of principal payments. (Annual, SemiAnnual, Quarterly, Monthly) |
| Instruments: | All types of swaps with amortization schedule. |
| HDates | |
|---|
| Description: | The array of dates of historical rates of the reference interest rate in the OIS. If this argument is not relevant, it has to be omitted. |
| Instruments: | OIS. |
| HRates | |
|---|
| Description: | The array of rates of historical rates of the reference interest rate in the OIS. If this argument is not relevant, it has to be omitted. |
| Instruments: | OIS. |
| IndOpPeriod | |
|---|
| Description: | The term of Caplets/Floorlets in Cap/Floor. (Annual, SemiAnnual, Quarterly, Monthly) |
| Instruments: | Cap/Floor. |
| Interp | |
|---|
| Description: | The interpolation method. (Linear, LogLinear, CubicSpline, Exponential) |
| Instruments: | All Instruments: in this section, except TRS. |
| LegType | |
|---|
| Description: | The type of a swap leg. (Pay, Receive). |
| Instruments: | All swaps except the OIS and TRS, in functions GIA_IRD_Swaps_XXX |
| LRA | |
|---|
| Description: | The last reset rate of the underlying index in the asset leg of the TRS. |
| Instruments: | TRS. |
| LRF | |
|---|
| Description: | The last reset rate of the reference interest rate in the funding leg of the swap. |
| Instruments: | TRS. |
| LRP | |
|---|
| Description: | The last reset rate of the reference interest rate in the pay leg of the swap. |
| Instruments: | IRS, Basis swap, OIS, CCS. |
| LRR | |
|---|
| Description: | The last reset rate of the reference interest rate in the receive leg of the swap. |
| Instruments: | IRS, Basis swap, OIS, CCS. |
| NE | |
|---|
| Description: | This parameter indicates whether the notional amount is being exchanged at the expiry. (Yes, No) |
| Instruments: | Basis swap, CCS, IRS, OIS. |
| NotP | |
|---|
| Description: | The notional amount in the pay leg of the swap. |
| Instruments: | CCS. |
| Notional | |
|---|
| Description: | The notional amount. |
| Instruments: | IRS, Basis swap, OIS, FRA, Cap/Floor, Swaption. |
| NotR | |
|---|
| Description: | The notional amount in the receive leg of the swap. |
| Instruments: | CCS. |
| OC | |
|---|
| Description: | The currency in which the value/DV01 is expressed. (InBaseCurrency, InCounterCurrency, InOwnCurrency) |
| Instruments: | CCS. |
| OptionType (1) | |
|---|
| Description: | The option type. (Cap, Floor) |
| Instruments: | Cap/Floor. |
| OptionType (2) | |
|---|
| Description: | The option type. (Payer, Receiver) |
| Instruments: | Swaption. |
| OT (1) | |
|---|
| Description: | The output type of the value/risk. (Total, PayLeg, ReceiveLeg) |
| Instruments: | IRS, CCS. |
| OT (2) | |
|---|
| Description: | The output type of the value. (Total, AssetLeg, FundingLeg, AssetLegDividendComponent, AssetLegPriceChangeComponent) |
| Instruments: | TRS. |
| Position (1) | |
|---|
| Description: | The position in the FRA. (PayFixed, ReceiveFixed) |
| Instruments: | FRA. |
| Position (2) | |
|---|
| Description: | The position in the TRS. (PayAsset, ReceiveAsset) |
| Instruments: | TRS. |
| PPP | |
|---|
| Description: | The percent of the principal in each payment.. |
| Instruments: | All types of swaps with amortization schedule. |
| Rate | |
|---|
| Description: | The fixed rate. |
| Instruments: | FRA. |
| RateP | |
|---|
| Description: | The fixed rate in the pay leg of the swap. |
| Instruments: | IRS, OIS, CCS. |
| RateR | |
|---|
| Description: | The fixed rate in the receive leg of the swap. |
| Instruments: | IRS, OIS, CCS. |
| RM (1) | |
|---|
| Description: | The risk measure type. (DV01, MacaulayDuration, ModifiedDuration) |
| Instruments: | Legs in Basis Swap, IRS, CCS. |
| RM (2) | |
|---|
| Description: | The risk measure type. (DV01, Vega, Theta) |
| Instruments: | Cap/Floor, Swaption. |
| S | |
|---|
| Description: | The FX spot rate. |
| Instruments: | CCS. |
| SDate | |
|---|
| Description: | The spot date (usually 2 business days after the value date) |
| Instruments: | All Instruments: in this section, except TRS. |
| Sp | |
|---|
| Description: | The spread (in basis points) in the floating leg of the swap. |
| Instruments: | Swaption, TRS. |
| SpP | |
|---|
| Description: | The spread (in basis points) in the pay leg of the swap. |
| Instruments: | IRS, Basis Swap, OIS and CCS. |
| SpR | |
|---|
| Description: | The spread (in basis points) in the receive leg of the swap. |
| Instruments: | IRS, Basis Swap, OIS and CCS. |
| Strike | |
|---|
| Description: | The option's strike price. |
| Instruments: | Cap/Floor, Swaption. |
| SwapType | |
|---|
| Description: | The type of a swap. (IRSFixedFloat, IRSFloatFixed, IRSAmortFixedFloat, IRSAmortFloatFixed, BasisSwap, BasisSwapAmort, CCSFixedFixed, CCSAmortFixedFixed, CCSFixedFloat, CCSAmortFixedFloat, CCSFloatFixed, CCSAmortFloatFixed, CCSFloatFloat, CCSAmortFloatFloat. |
| Instruments: | All swaps except the OIS and TRS, in functions GIA_IRD_Swaps_XXX |
| TermDate | |
|---|
| Description: | The termination date (the end date of the accrual period in FRA). |
| Instruments: | FRA. |
| Units | |
|---|
| Description: | The number of units in the TRS. |
| Instruments: | TRS. |
| VDate | |
|---|
| Description: | The value date. |
| Instruments: | All Instruments: in this section. |
| Vol | |
|---|
| Description: | The volatility of the underlying asset. |
| Instruments: | Caps/Floors, Swaptions |
