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

Last updated 9 November 2026

Function reference › Interest Rate Derivatives › Cross Currency Swap

2 GIAnalyzer functions for Excel. Optional arguments are shown in [brackets].

GIA_IRD_CCSFixedRFR_Risk

Returns the risk measure (DV01, Coupon01, Macaulay Duration, Modified Duration) 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 (RFR).

GIA_IRD_CCSFixedRFR_Risk(EDate, NE0, NE1, DR, NotP, RateP, EfDateP, CFrP, DaysP, NotR, SpR, LRR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, FCurveDatesR, FCurveRatesR, HDatesR, HRatesR, VDate, SDate, Comp, Days, Interp, CurP, RM, OT, OC, ApproxType)

Returns: Risk measure (DV01, Coupon01, Macaulay Duration, Modified Duration) 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 (RFR)

Argument	Use	Description
`EDate`	Required	The expiry date.
`NE0`	Required	Whether the notional amount is being exchanged at the start. (Yes, No)
`NE1`	Required	Whether the notional amount is being exchanged at expiry. (Yes, No)
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`NotP`	Required	The notional amount in the pay leg of the swap.
`RateP`	Required	The fixed rate in the pay leg of the swap.
`EfDateP`	Required	The original effective date in the pay leg of the swap.
`CFrP`	Required	The frequency of coupons in the pay leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysP`	Required	The time basis in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`NotR`	Required	The notional amount in the receive leg of the swap.
`SpR`	Required	The spread (in basis points) in the receive leg of the swap.
`LRR`	Required	The last reset rate of the reference interest rate in the receive leg of the swap.
`EfDateR`	Required	The original effective date in the receive leg of the swap.
`CFrR`	Required	The frequency of coupons in the receive leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysR`	Required	The time basis in the receive leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`S`	Required	The FX spot rate.
`DCurveDatesP`	Required	The array of dates in the interest rate curve used for discounting cash flows in the pay leg of the swap.
`DCurveRatesP`	Required	The array of rates in the interest rate curve used for discounting cash flows in the pay leg of the swap.
`DCurveDatesR`	Required	The array of dates in the interest rate curve used for discounting cash flows in the receive leg of the swap.
`DCurveRatesR`	Required	The array of rates in the interest rate curve used for discounting cash flows in the receive leg of the swap.
`FCurveDatesR`	Required	The array of dates in the interest rate curve used for calculating forward interest rates, in the receive leg of the swap.
`FCurveRatesR`	Required	The array of rates in the interest rate curve used for calculating forward interest rates, in the receive leg of the swap.
`HDatesR`	Required	The array of dates of historical rates of the floating interest rate in the pay leg of the swap.
`HRatesR`	Required	The array of historical rates of the floating interest rate in the pay leg of the swap.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`CurP`	Required	Whether the currency of the pay leg is base or counter (Base, Counter)
`RM`	Required	The risk measure type (DV01, Coupon01, MacaulayDuration, ModifiedDuration)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg)
`OC`	Required	The currency in which the DV01 is expressed (InBaseCurrency, InCounterCurrency)
`ApproxType`	Required	The floating leg approximation method (None, DFRatio)

GIA_IRD_CCSFixedRFR_Value

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 (RFR).

GIA_IRD_CCSFixedRFR_Value(EDate, NE0, NE1, DR, NotP, RateP, EfDateP, CFrP, DaysP, NotR, SpR, LRR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, FCurveDatesR, FCurveRatesR, HDatesR, HRatesR, VDate, SDate, Comp, Days, Interp, CurP, OT, OC, ApproxType)

Returns: 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 (RFR)

Argument	Use	Description
`EDate`	Required	The expiry date.
`NE0`	Required	Whether the notional amount is being exchanged at the start. (Yes, No)
`NE1`	Required	Whether the notional amount is being exchanged at expiry. (Yes, No)
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`NotP`	Required	The notional amount in the pay leg of the swap.
`RateP`	Required	The fixed rate in the pay leg of the swap.
`EfDateP`	Required	The original effective date in the pay leg of the swap.
`CFrP`	Required	The frequency of coupons in the pay leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysP`	Required	The time basis in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`NotR`	Required	The notional amount in the receive leg of the swap.
`SpR`	Required	The spread (in basis points) in the receive leg of the swap.
`LRR`	Required	The last reset rate of the reference interest rate in the receive leg of the swap.
`EfDateR`	Required	The original effective date in the receive leg of the swap.
`CFrR`	Required	The frequency of coupons in the receive leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysR`	Required	The time basis in the receive leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`S`	Required	The FX spot rate.
`DCurveDatesP`	Required	The array of dates in the interest rate curve used for discounting cash flows in the pay leg of the swap.
`DCurveRatesP`	Required	The array of rates in the interest rate curve used for discounting cash flows in the pay leg of the swap.
`DCurveDatesR`	Required	The array of dates in the interest rate curve used for discounting cash flows in the receive leg of the swap.
`DCurveRatesR`	Required	The array of rates in the interest rate curve used for discounting cash flows in the receive leg of the swap.
`FCurveDatesR`	Required	The array of dates in the interest rate curve used for calculating forward interest rates, in the receive leg of the swap.
`FCurveRatesR`	Required	The array of rates in the interest rate curve used for calculating forward interest rates, in the receive leg of the swap.
`HDatesR`	Required	The array of dates of historical rates of the floating interest rate in the receive leg of the swap.
`HRatesR`	Required	The array of historical rates of the floating interest rate in the receive leg of the swap.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`CurP`	Required	Whether the currency of the pay leg is base or counter (Base, Counter)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg, Total)
`OC`	Required	The currency in which the value is expressed (InBaseCurrency, InCounterCurrency, InOwnCurrency)
`ApproxType`	Required	The floating leg approximation method (None, DFRatio)