Floating Leg

Last updated 9 November 2026

Function reference › Interest Rate Derivatives › Additional Functions

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

GIA_IRD_FloatLeg_AverageDiscountingInterestRate

Returns the average interest rate implied in the interest rate curve used for discounting cash flows in the floating leg of the swap.

GIA_IRD_FloatLeg_AverageDiscountingInterestRate(EDate, NE0, NE1, DR, Sp, LR, EfDateFl, CFrFl, DaysFl, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns: Average interest rate implied in the interest rate curve used for discounting cash flows in the floating leg of the swap

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)
`Sp`	Required	The spread (in basis points) in the floating leg of the swap.
`LR`	Required	The last reset rate of the reference interest rate in the floating leg of the swap.
`EfDateFl`	Required	The original effective date in the floating leg of the swap.
`CFrFl`	Required	The frequency of coupons in the floating leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysFl`	Required	The time basis in the floating leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`FCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates.
`FCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates.
`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)

GIA_IRD_FloatLeg_CurveKR

Returns the KR array of a floating IRS leg.

GIA_IRD_FloatLeg_CurveKR(Notional, EDate, FPPD, FrPP, PPP, DR, Sp, LR, EfDateFl, CFrFl, DaysFl, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, NE0, NE1, Comp, Days, Interp, DorF)

Returns: KR array of a floating IRS leg

Argument	Use	Description
`Notional`	Required	The notional amount.
`EDate`	Required	The expiry date.
`FPPD`	Required	The first date of the principal payment.
`FrPP`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly)
`PPP`	Required	The percent of the principal in each payment.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`Sp`	Required	The spread (in basis points) in the floating leg of the swap.
`LR`	Required	The last reset rate of the reference interest rate in the floating leg of the swap.
`EfDateFl`	Required	The original effective date in the floating leg of the swap.
`CFrFl`	Required	The frequency of coupons in the floating leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysFl`	Required	The time basis method in the floating leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`FCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates.
`FCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates.
`VDate`	Required	The value date.
`SDate`	Required	The spot 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)
`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)
`DorF`	Required	Whether to calculate the KR01 for the discounting, forecasting curve or both (Discounting, Forecasting, Both)