Interest Rate Swap – IRS, amortizing (carry, roll-down and fair rates)

Last updated 9 November 2026

Function reference › Interest Rate Derivatives › Interest Rate Swap

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

GIA_IRD_IRSAmort_CarryOfFixedLeg

Returns the carry of the fixed leg in an IRS with an amortizing schedule.

GIA_IRD_IRSAmort_CarryOfFixedLeg(Position, Notional, EDate, HDate, FPPD, FrPP, PPP, DR, RateFix, EfDateFix, CFrFix, DaysFix, DCurveDates, DCurveRates, VDate, SDate, CountAccrual, NE0, NE1, Comp, Days, Interp)

Returns: Carry of the fixed leg in an IRS with an amortizing schedule

Argument	Use	Description
`Position`	Required	The position in the IRS (PayFixed, ReceiveFixed)
`Notional`	Required	The notional amount.
`EDate`	Required	The expiry date.
`HDate`	Required	The horizon 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)
`RateFix`	Required	The rate in the fixed leg of the swap.
`EfDateFix`	Required	The original effective date in the fixed leg of the swap.
`CFrFix`	Required	The frequency of coupons in the fixed leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysFix`	Required	The time basis method in the fixed 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.
`VDate`	Required	The value date.
`SDate`	Required	The spot date (usually 2 business days after the value date)
`CountAccrual`	Required	Whether the accrued but unpaid value of the last coupon is added to the carry. (Yes, No)
`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)

GIA_IRD_IRSAmort_CarryOfFloatLeg

Returns the carry of the floating leg in an IRS with an amortizing schedule.

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

Returns: Carry of the floating leg in an IRS with an amortizing schedule

Argument	Use	Description
`Position`	Required	The position in the IRS (PayFixed, ReceiveFixed)
`Notional`	Required	The notional amount.
`EDate`	Required	The expiry date.
`HDate`	Required	The horizon 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.
`CountAccrual`	Required	Whether the accrued but unpaid value of the last coupon is added to the carry. (Yes, No)
`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)

GIA_IRD_IRSAmort_FairRate

Returns the fair rate 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.

GIA_IRD_IRSAmort_FairRate(Position, Notional, EDate, FPPD, FrPP, PPP, DR, SpFl, LR, EfDateFl, CFrFl, DaysFl, RateFix, EfDateFix, CFrFix, DaysFix, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, NE0, NE1, Comp, Days, Interp)

Returns: Fair rate 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

Argument	Use	Description
`Position`	Required	The position in the IRS (PayFixed, ReceiveFixed)
`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)
`SpFl`	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)
`RateFix`	Required	The fixed rate in the fixed leg of the swap.
`EfDateFix`	Required	The original effective date in the fixed leg of the swap.
`CFrFix`	Required	The frequency of coupons in the fixed leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysFix`	Required	The time basis method in the fixed 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)

GIA_IRD_IRSAmort_FairRateOfForwardSwap

GIA_IRD_IRSAmort_FairRateOfForwardSwap(Position, Notional, EDate, HDate, FPPD, FrPP, PPP, DR, SpFl, LR, EfDateFl, CFrFl, DaysFl, RateFix, EfDateFix, CFrFix, DaysFix, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, ValueType, NE0, NE1, Comp, Days, Interp)

Argument	Use	Description
`Position`	Required	The position in the IRS (PayFixed, ReceiveFixed)
`Notional`	Required	The notional amount.
`EDate`	Required	The expiry date.
`HDate`	Required	The horizon 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)
`SpFl`	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)
`RateFix`	Required	The fixed rate in the fixed leg of the swap.
`EfDateFix`	Required	The original effective date in the fixed leg of the swap.
`CFrFix`	Required	The frequency of coupons in the fixed leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysFix`	Required	The time basis method in the fixed 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.
`ValueType`	Required	The type of value. (Clean, Dirty)
`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)

GIA_IRD_IRSAmort_FairRateOfShortenedSwap

GIA_IRD_IRSAmort_FairRateOfShortenedSwap(Position, Notional, EDate, HDate, FPPD, FrPP, PPP, DR, SpFl, LR, EfDateFl, CFrFl, DaysFl, RateFix, EfDateFix, CFrFix, DaysFix, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, ConstructionType, NE0, NE1, Comp, Days, Interp)

Argument	Use	Description
`Position`	Required	The position in the IRS (PayFixed, ReceiveFixed)
`Notional`	Required	The notional amount.
`EDate`	Required	The expiry date.
`HDate`	Required	The horizon 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)
`SpFl`	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)
`RateFix`	Required	The fixed rate in the fixed leg of the swap.
`EfDateFix`	Required	The original effective date in the fixed leg of the swap.
`CFrFix`	Required	The frequency of coupons in the fixed leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysFix`	Required	The time basis method in the fixed 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.
`ConstructionType`	Required	How the shortened swap is constructed. (Shift, Shorten)
`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)

GIA_IRD_IRSAmort_RollDownOfFixedLeg

Returns the roll-down of the fixed leg in an IRS with an amortizing schedule.

GIA_IRD_IRSAmort_RollDownOfFixedLeg(Position, Notional, EDate, HDate, FPPD, FrPP, PPP, DR, RateFix, EfDateFix, CFrFix, DaysFix, DCurveDates, DCurveRates, VDate, SDate, NE0, NE1, Comp, Days, Interp)

Returns: Roll-down of the fixed leg in an IRS with an amortizing schedule

Argument	Use	Description
`Position`	Required	The position in the IRS (PayFixed, ReceiveFixed)
`Notional`	Required	The notional amount.
`EDate`	Required	The expiry date.
`HDate`	Required	The horizon 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)
`RateFix`	Required	The rate in the fixed leg of the swap.
`EfDateFix`	Required	The original effective date in the fixed leg of the swap.
`CFrFix`	Required	The frequency of coupons in the fixed leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysFix`	Required	The time basis method in the fixed 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.
`VDate`	Required	The value date.
`SDate`	Required	The spot date (usually 2 business days after the value 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)

GIA_IRD_IRSAmort_RollDownOfFloatLeg

Returns the roll-down of the floating leg in an IRS with an amortizing schedule.

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

Returns: Roll-down of the floating leg in an IRS with an amortizing schedule

Argument	Use	Description
`Position`	Required	The position in the IRS (PayFixed, ReceiveFixed)
`Notional`	Required	The notional amount.
`EDate`	Required	The expiry date.
`HDate`	Required	The horizon 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)

GIA_IRD_IRSAmort_ValueOfFixedLeg

Returns the value of the fixed leg in an IRS with an amortizing schedule.

GIA_IRD_IRSAmort_ValueOfFixedLeg(Position, Notional, EDate, FPPD, FrPP, PPP, DR, RateFix, EfDateFix, CFrFix, DaysFix, DCurveDates, DCurveRates, VDate, SDate, NE0, NE1, Comp, Days, Interp)

Returns: Value of the fixed leg in an IRS with an amortizing schedule

Argument	Use	Description
`Position`	Required	The position in the IRS (PayFixed, ReceiveFixed)
`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)
`RateFix`	Required	The rate in the fixed leg of the swap.
`EfDateFix`	Required	The original effective date in the fixed leg of the swap.
`CFrFix`	Required	The frequency of coupons in the fixed leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysFix`	Required	The time basis method in the fixed 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.
`VDate`	Required	The value date.
`SDate`	Required	The spot date (usually 2 business days after the value 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)

GIA_IRD_IRSAmort_ValueOfFloatLeg

Returns the value of the floating leg in an IRS with an amortizing schedule.

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

Returns: Value of the floating leg in an IRS with an amortizing schedule

Argument	Use	Description
`Position`	Required	The position in the IRS (PayFixed, ReceiveFixed)
`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)