Interest Rate Swap – IRS (pay fixed – receive floating)

Last updated 9 November 2026

Function reference › Interest Rate Derivatives › Interest Rate Swap

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

GIA_IRD_IRSFixedFloat_CarryRollDown

Returns the roll-down or carry of an IRS in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

GIA_IRD_IRSFixedFloat_CarryRollDown(Notional, EDate, HDate, DR, RateP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, CountAccrual, NE0, NE1, Comp, Days, Interp, MT, OT)

Returns: Roll-down or carry of an IRS in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating

Argument	Use	Description
`Notional`	Required	The notional amount.
`EDate`	Required	The expiry date.
`HDate`	Required	The horizon date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`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 method in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`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 method in the receive 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. Only applicable to 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)
`MT`	Required	The measure type. (Carry, Roll-down)
`OT`	Required	The output type. (PayLeg, ReceiveLeg, Total)

GIA_IRD_IRSFixedFloat_LastResetDate

Returns the last reset date of the reference interest rate in the floating leg in an IRS in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

GIA_IRD_IRSFixedFloat_LastResetDate(EDate, EfDateR, CFrR, DR, VDate)

Returns: Last reset date of the reference interest rate in the floating leg in an IRS in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating

Argument	Use	Description
`EDate`	Required	The expiry date.
`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)
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`VDate`	Required	The value date.

GIA_IRD_IRSFixedFloat_Price

Returns the fixed rate for which the value of an IRS is zero.

GIA_IRD_IRSFixedFloat_Price(EDate, DR, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns: Fixed rate for which the value of an IRS is zero

Argument	Use	Description
`EDate`	Required	The expiry date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`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 method in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`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 method in the receive 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)

Returns the risk measures (DV01, Coupon01, Macaulay Duration, Modified Duration, KR01, Bucket DV01, Key Rate Duration or Bucket Duration) of an IRS in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

GIA_IRD_IRSFixedFloat_Risk(Notional, EDate, DR, RateP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, NE0, NE1, Comp, Days, Interp, RM, OT, [StartTerm], [EndTerm])

Returns: Risk measures (DV01, Coupon01, Macaulay Duration, Modified Duration, KR01, Bucket DV01, Key Rate Duration or Bucket Duration) of an IRS in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating

Argument	Use	Description
`Notional`	Required	The notional amount.
`EDate`	Required	The expiry date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`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 method in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`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 method in the receive 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)
`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)
`StartTerm`	Optional	The starting term for Bucket and Key Rate measures.
`EndTerm`	Optional	The ending term for Bucket and Key Rate measures.

GIA_IRD_IRSFixedFloat_Value

Returns the value of an IRS in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating.

GIA_IRD_IRSFixedFloat_Value(Notional, EDate, DR, RateP, EfDateP, CFrP, DaysP, SpR, LRR, EfDateR, CFrR, DaysR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, NE0, NE1, Comp, Days, Interp, OT)

Returns: Value of an IRS in which the interest rate in the pay leg is fixed and the interest rate in the receive leg is floating

Argument	Use	Description
`Notional`	Required	The notional amount.
`EDate`	Required	The expiry date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`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 method in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`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 method in the receive 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)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg, Total)