Generic Functions (IRS, OIS, CCS and basis swaps)

Last updated 9 November 2026

Function reference › Interest Rate Derivatives › Additional Functions

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

GIA_IRD_Generic_KRArray

Returns the KR array of an IRS, OIS, CCS or Basis Swap.

GIA_IRD_Generic_KRArray(T1, T2, EDtS, EDtO, NE0, NE1, FPPD, PFr, PPP, DR, PFl, PN, PFx, PSp, PEfD, PCFr, PDays, RFl, RN, RFx, RSp, REfD, RCfr, RDays, PCComp, PCDays, RCComp, RCDays, Vol, VolT, PDDs, PDRs, PFDs, PFRs, RDDs, RDRs, RFDs, RFRs, PHDs, PHRs, RHDs, RHRs, VDt, SDt, Int, S, CurP, OT, OC)

Returns: KR array of an IRS, OIS, CCS or Basis Swap

Argument	Use	Description
`T1`	Required	The type of IRD (Option, Swap, Bond ).
`T2`	Required	The type of IRD (IRS, IRSLeg, OIS, OISLeg, CCS, CCSLeg, BasisSwap, FRA, Cap, Floor, Payer, Receiver).
`EDtS`	Required	The expiry date of the IRD.
`EDtO`	Required	The expiry date of an option if the IRD Is a Swaption.
`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)
`FPPD`	Required	The first date of the principal payment.
`PFr`	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)
`PFl`	Required	The type of floating interest rate in the pay leg (RFR, IBOR).
`PN`	Required	The notional amount in the pay leg.
`PFx`	Required	The fixed rate in the pay leg.
`PSp`	Required	The spread (In basis points) In the pay leg.
`PEfD`	Required	The effective date of the pay leg.
`PCFr`	Required	The coupon frequency in the pay leg.
`PDays`	Required	The time basis method in the pay leg (act/360, act/365, act/act, 30E/360, 30I/360)
`RFl`	Required	The type of floating interest rate in the receive leg (RFR, IBOR).
`RN`	Required	The notional amount in the receive leg.
`RFx`	Required	The fixed rate in the receive leg.
`RSp`	Required	The spread (In basis points) In the receive leg.
`REfD`	Required	The effective date of the receive leg.
`RCfr`	Required	The coupon frequency in the receive leg.
`RDays`	Required	The time basis method in the receive leg (act/360, act/365, act/act, 30E/360, 30I/360)
`PCComp`	Required	The compounding in the pay leg's interest rate curves (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`PCDays`	Required	The time basis method in the pay leg's interest rate curve (act/360, act/365, act/act, 30E/360, 30I/360)
`RCComp`	Required	The compounding in the receive leg's interest rate curves (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`RCDays`	Required	The time basis method in the receive leg's interest rate curve (act/360, act/365, act/act, 30E/360, 30I/360)
`Vol`	Required	The volatility of the underlying asset.
`VolT`	Required	The type of volatility (Lognormal, Normal)
`PDDs`	Required	The array of dates in the interest rate curve used for discounting cash flows in the pay leg.
`PDRs`	Required	The array of rates in the interest rate curve used for discounting cash flows in the pay leg.
`PFDs`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the pay leg.
`PFRs`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the pay leg.
`RDDs`	Required	The array of dates in the interest rate curve used for discounting cash flows in the receive leg.
`RDRs`	Required	The array of rates in the interest rate curve used for discounting cash flows in the receive leg.
`RFDs`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the receive leg.
`RFRs`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the receive leg.
`PHDs`	Required	The array of dates of historical rates of the reference interest rate in the pay leg.
`PHRs`	Required	The array of historical rates of the reference interest rate in the pay leg.
`RHDs`	Required	The array of dates of historical rates of the reference interest rate in the receive leg.
`RHRs`	Required	The array of historical rates of the reference interest rate in the receive leg.
`VDt`	Required	The value date.
`SDt`	Required	The spot date.
`Int`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`S`	Required	The FX spot rate.
`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 (Base, Counter, Own

GIA_IRD_Generic_KRArrayFromRow

Returns the KR array of an IRS, OIS, CCS or Basis Swap

GIA_IRD_Generic_KRArrayFromRow(PortfolioEntry, PayDCurveDates, PayDCurveRates, PayFCurveDates, PayFCurveRates, RecDCurveDates, RecDCurveRates, RecFCurveDates, RecFCurveRates, PayHDates, PayHRates, RecHDates, RecHRates, VDate, SDate, Interp, S, CurP, OT, OC)

Returns: KR array of an IRS, OIS, CCS or Basis Swap

Argument	Use	Description
`PortfolioEntry`	Required	The array of IRD parameters.
`PayDCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows in the pay leg.
`PayDCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows in the pay leg.
`PayFCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the pay leg.
`PayFCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the pay leg.
`RecDCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows in the receive leg.
`RecDCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows in the receive leg.
`RecFCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the receive leg.
`RecFCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the receive leg.
`PayHDates`	Required	The array of dates of historical rates of the reference interest rate in the pay leg.
`PayHRates`	Required	The array of historical rates of the reference interest rate in the pay leg.
`RecHDates`	Required	The array of dates of historical rates of the reference interest rate in the receive leg.
`RecHRates`	Required	The array of historical rates of the reference interest rate in the receive leg.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`S`	Required	The FX spot rate.
`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 (Base, Counter, Own)

GIA_IRD_Generic_Risk

Returns the value of an IRS, OIS, CCS, Basis Swap, FRA, Cap/Floor or Swaption.

GIA_IRD_Generic_Risk(T1, T2, EDtS, EDtO, NE0, NE1, FPPD, PFr, PPP, DR, PFl, PN, PFx, PSp, PEfD, PCFr, PDays, RFl, RN, RFx, RSp, REfD, RCfr, RDays, PCComp, PCDays, RCComp, RCDays, Vol, VolT, PDDs, PDRs, PFDs, PFRs, RDDs, RDRs, RFDs, RFRs, PHDs, PHRs, RHDs, RHRs, VDt, SDt, Int, S, CurP, RM, OT, OC, StartTerm, EndTerm, Appr)

Returns: Value of an IRS, OIS, CCS, Basis Swap, FRA, Cap/Floor or Swaption

Argument	Use	Description
`T1`	Required	The type of IRD (Option, Swap, Bond ).
`T2`	Required	The type of IRD (IRS, IRSLeg, OIS, OISLeg, CCS, CCSLeg, BasisSwap, FRA, Cap, Floor, Payer, Receiver).
`EDtS`	Required	The expiry date of the IRD.
`EDtO`	Required	The expiry date of an option if the IRD Is a Swaption.
`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)
`FPPD`	Required	The first date of the principal payment.
`PFr`	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)
`PFl`	Required	The type of floating interest rate in the pay leg (RFR, IBOR).
`PN`	Required	The notional amount in the pay leg.
`PFx`	Required	The fixed rate in the pay leg.
`PSp`	Required	The spread (In basis points) In the pay leg.
`PEfD`	Required	The effective date of the pay leg.
`PCFr`	Required	The coupon frequency in the pay leg.
`PDays`	Required	The time basis method in the pay leg (act/360, act/365, act/act, 30E/360, 30I/360)
`RFl`	Required	The type of floating interest rate in the receive leg (RFR, IBOR).
`RN`	Required	The notional amount in the receive leg.
`RFx`	Required	The fixed rate in the receive leg.
`RSp`	Required	The spread (In basis points) In the receive leg.
`REfD`	Required	The effective date of the receive leg.
`RCfr`	Required	The coupon frequency in the receive leg.
`RDays`	Required	The time basis method in the receive leg (act/360, act/365, act/act, 30E/360, 30I/360)
`PCComp`	Required	The compounding in the pay leg's interest rate curves (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`PCDays`	Required	The time basis method in the pay leg's interest rate curve (act/360, act/365, act/act, 30E/360, 30I/360)
`RCComp`	Required	The compounding in the receive leg's interest rate curves (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`RCDays`	Required	The time basis method in the receive leg's interest rate curve (act/360, act/365, act/act, 30E/360, 30I/360)
`Vol`	Required	The volatility of the underlying asset.
`VolT`	Required	The type of volatility (Lognormal, Normal)
`PDDs`	Required	The array of dates in the interest rate curve used for discounting cash flows in the pay leg.
`PDRs`	Required	The array of rates in the interest rate curve used for discounting cash flows in the pay leg.
`PFDs`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the pay leg.
`PFRs`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the pay leg.
`RDDs`	Required	The array of dates in the interest rate curve used for discounting cash flows in the receive leg.
`RDRs`	Required	The array of rates in the interest rate curve used for discounting cash flows in the receive leg.
`RFDs`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the receive leg.
`RFRs`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the receive leg.
`PHDs`	Required	The array of dates of historical rates of the reference interest rate in the pay leg.
`PHRs`	Required	The array of historical rates of the reference interest rate in the pay leg.
`RHDs`	Required	The array of dates of historical rates of the reference interest rate in the receive leg.
`RHRs`	Required	The array of historical rates of the reference interest rate in the receive leg.
`VDt`	Required	The value date.
`SDt`	Required	The spot date.
`Int`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`S`	Required	The FX spot rate.
`CurP`	Required	Whether the currency of the pay leg is base or counter (Base, Counter)
`RM`	Required	The risk measure type (DV01, MacaulayDuration, ModifiedDuration, KR01, BucketDV01, KRDuration, BucketDuration)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg, Total)
`OC`	Required	The currency in which the value is expressed (Base, Counter, Own)
`StartTerm`	Required	The starting term for Bucket and Key Rate measures.
`EndTerm`	Required	The ending term for Bucket and Key Rate measures.
`Appr`	Required	The OIS float leg approximation type (None, DFRatio)

GIA_IRD_Generic_RiskFromRow

Returns the value of an IRS, OIS, CCS, Basis Swap, FRA, Cap/Floor or Swaption.

GIA_IRD_Generic_RiskFromRow(PortfolioEntry, PayDCurveDates, PayDCurveRates, PayFCurveDates, PayFCurveRates, RecDCurveDates, RecDCurveRates, RecFCurveDates, RecFCurveRates, PayHDates, PayHRates, RecHDates, RecHRates, VDate, SDate, Interp, S, CurP, RM, OT, OC, StartTerm, EndTerm, Appr)

Returns: Value of an IRS, OIS, CCS, Basis Swap, FRA, Cap/Floor or Swaption

Argument	Use	Description
`PortfolioEntry`	Required	The array of IRD parameters.
`PayDCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows in the pay leg.
`PayDCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows in the pay leg.
`PayFCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the pay leg.
`PayFCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the pay leg.
`RecDCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows in the receive leg.
`RecDCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows in the receive leg.
`RecFCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the receive leg.
`RecFCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the receive leg.
`PayHDates`	Required	The array of dates of historical rates of the reference interest rate in the pay leg.
`PayHRates`	Required	The array of historical rates of the reference interest rate in the pay leg.
`RecHDates`	Required	The array of dates of historical rates of the reference interest rate in the receive leg.
`RecHRates`	Required	The array of historical rates of the reference interest rate in the receive leg.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`S`	Required	The FX spot rate.
`CurP`	Required	Whether the currency of the pay leg is base or counter (Base, Counter)
`RM`	Required	The risk measure type (DV01, MacaulayDuration, ModifiedDuration, KR01, BucketDV01, KRDuration, BucketDuration)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg, Total)
`OC`	Required	The currency in which the value is expressed (Base, Counter, Own)
`StartTerm`	Required	The starting term for Bucket and Key Rate measures.
`EndTerm`	Required	The ending term for Bucket and Key Rate measures.
`Appr`	Required	The OIS float leg approximation type (None, DFRatio)

GIA_IRD_Generic_Value

Returns the value of an IRS, OIS, CCS, Basis Swap, FRA, Cap/Floor or Swaption.

GIA_IRD_Generic_Value(T1, T2, EDtS, EDtO, NE0, NE1, FPPD, PFr, PPP, DR, PFl, PN, PFx, PSp, PEfD, PCFr, PDays, RFl, RN, RFx, RSp, REfD, RCfr, RDays, PCComp, PCDays, RCComp, RCDays, Vol, VolT, PDDs, PDRs, PFDs, PFRs, RDDs, RDRs, RFDs, RFRs, PHDs, PHRs, RHDs, RHRs, VDt, SDt, Int, S, CurP, OT, OC, Appr)

Returns: Value of an IRS, OIS, CCS, Basis Swap, FRA, Cap/Floor or Swaption

Argument	Use	Description
`T1`	Required	The type of IRD (Option, Swap, Bond ).
`T2`	Required	The type of IRD (IRS, IRSLeg, OIS, OISLeg, CCS, CCSLeg, BasisSwap, FRA, Cap, Floor, Payer, Receiver).
`EDtS`	Required	The expiry date of the IRD.
`EDtO`	Required	The expiry date of an option if the IRD Is a Swaption.
`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)
`FPPD`	Required	The first date of the principal payment.
`PFr`	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)
`PFl`	Required	The type of floating interest rate in the pay leg (RFR, IBOR).
`PN`	Required	The notional amount in the pay leg.
`PFx`	Required	The fixed rate in the pay leg.
`PSp`	Required	The spread (In basis points) In the pay leg.
`PEfD`	Required	The effective date of the pay leg.
`PCFr`	Required	The coupon frequency in the pay leg.
`PDays`	Required	The time basis method in the pay leg (act/360, act/365, act/act, 30E/360, 30I/360)
`RFl`	Required	The type of floating interest rate in the receive leg (RFR, IBOR).
`RN`	Required	The notional amount in the receive leg.
`RFx`	Required	The fixed rate in the receive leg.
`RSp`	Required	The spread (In basis points) In the receive leg.
`REfD`	Required	The effective date of the receive leg.
`RCfr`	Required	The coupon frequency in the receive leg.
`RDays`	Required	The time basis method in the receive leg (act/360, act/365, act/act, 30E/360, 30I/360)
`PCComp`	Required	The compounding in the pay leg's interest rate curves (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`PCDays`	Required	The time basis method in the pay leg's interest rate curve (act/360, act/365, act/act, 30E/360, 30I/360)
`RCComp`	Required	The compounding in the receive leg's interest rate curves (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`RCDays`	Required	The time basis method in the receive leg's interest rate curve (act/360, act/365, act/act, 30E/360, 30I/360)
`Vol`	Required	The volatility of the underlying asset.
`VolT`	Required	The type of volatility (Lognormal, Normal)
`PDDs`	Required	The array of dates in the interest rate curve used for discounting cash flows in the pay leg.
`PDRs`	Required	The array of rates in the interest rate curve used for discounting cash flows in the pay leg.
`PFDs`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the pay leg.
`PFRs`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the pay leg.
`RDDs`	Required	The array of dates in the interest rate curve used for discounting cash flows in the receive leg.
`RDRs`	Required	The array of rates in the interest rate curve used for discounting cash flows in the receive leg.
`RFDs`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the receive leg.
`RFRs`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the receive leg.
`PHDs`	Required	The array of dates of historical rates of the reference interest rate in the pay leg.
`PHRs`	Required	The array of historical rates of the reference interest rate in the pay leg.
`RHDs`	Required	The array of dates of historical rates of the reference interest rate in the receive leg.
`RHRs`	Required	The array of historical rates of the reference interest rate in the receive leg.
`VDt`	Required	The value date.
`SDt`	Required	The spot date.
`Int`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`S`	Required	The FX spot rate.
`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 (Base, Counter, Own
`Appr`	Required	The OIS float leg approximation type (None, DFRatio)

GIA_IRD_Generic_ValueFromRow

Returns the value of an IRS, OIS, CCS, Basis Swap, FRA, Cap / Floor or Swaption.

GIA_IRD_Generic_ValueFromRow(PortfolioEntry, PayDCurveDates, PayDCurveRates, PayFCurveDates, PayFCurveRates, RecDCurveDates, RecDCurveRates, RecFCurveDates, RecFCurveRates, PayHDates, PayHRates, RecHDates, RecHRates, VDate, SDate, Interp, S, CurP, OT, OC, ApproximationType)

Returns: Value of an IRS, OIS, CCS, Basis Swap, FRA, Cap / Floor or Swaption

Argument	Use	Description
`PortfolioEntry`	Required	The array of IRD parameters.
`PayDCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows in the pay leg.
`PayDCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows in the pay leg.
`PayFCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the pay leg.
`PayFCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the pay leg.
`RecDCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows in the receive leg.
`RecDCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows in the receive leg.
`RecFCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the receive leg.
`RecFCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the receive leg.
`PayHDates`	Required	The array of dates of historical rates of the reference interest rate in the pay leg.
`PayHRates`	Required	The array of historical rates of the reference interest rate in the pay leg.
`RecHDates`	Required	The array of dates of historical rates of the reference interest rate in the receive leg.
`RecHRates`	Required	The array of historical rates of the reference interest rate in the receive leg.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`S`	Required	The FX spot rate.
`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 (Base, Counter, Own)
`ApproximationType`	Required	The OIS float leg approximation type (None, DFRatio)