Swap Legs (all swap types)

Last updated 9 November 2026

Function reference › Interest Rate Derivatives › Additional Functions

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

GIA_IRD_Swaps_LastResetDate

Returns the last reset date of the reference interest rate in the floating leg of the swap.

GIA_IRD_Swaps_LastResetDate(EDate, EfDate, CFr, DR, VDate)

Returns: Last reset date of the reference interest rate in the floating leg of the swap

Argument	Use	Description
`EDate`	Required	The expiry date.
`EfDate`	Required	The effective date.
`CFr`	Required	The frequency of coupons (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_Swaps_RiskOfLeg

Returns the risk measures (DV01, Macaulay Duration, Modified Duration) of the individual leg in all types of interest swaps supported in the GIAnalyzer, except OIS and TRS.

GIA_IRD_Swaps_RiskOfLeg(SwapType, LegType, EDate, NE0, NE1, FPPD, FrPP, PPP, DR, Notional, RateFix, Sp, LR, EfDate, CFr, DaysCF, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp, RM)

Returns: Risk measures (DV01, Macaulay Duration, Modified Duration) of the individual leg in all types of interest swaps supported in the GIAnalyzer, except OIS and TRS

Argument	Use	Description
`SwapType`	Required	The type of a swap. See the documentation for full description.
`LegType`	Required	The type of a swap leg (Pay, Receive).
`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)
`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)
`Notional`	Required	The notional amount.
`RateFix`	Required	The rate in the fixed leg of the swap.
`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.
`EfDate`	Required	The effective date.
`CFr`	Required	The frequency of coupons (Annual, SemiAnnual, Quarterly, Monthly)
`DaysCF`	Required	The time basis method in the cash flow calculation (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)
`RM`	Required	The risk measure type (DV01, MacaulayDuration, ModifiedDuration)

GIA_IRD_Swaps_ValueOfLeg

Returns the value of the individual leg in all types of interest swaps supported in the GIAnalyzer, except the OIS and TRS.

GIA_IRD_Swaps_ValueOfLeg(SwapType, LegType, EDate, NE0, NE1, FPPD, FrPP, PPP, DR, Notional, RateFix, Sp, LR, EfDate, CFr, DaysCF, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns: Value of the individual leg in all types of interest swaps supported in the GIAnalyzer, except the OIS and TRS

Argument	Use	Description
`SwapType`	Required	The type of a swap. See the documentation for full description.
`LegType`	Required	The type of a swap leg (Pay, Receive).
`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)
`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)
`Notional`	Required	The notional amount.
`RateFix`	Required	The rate in the fixed leg of the swap.
`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.
`EfDate`	Required	The effective date.
`CFr`	Required	The frequency of coupons (Annual, SemiAnnual, Quarterly, Monthly)
`DaysCF`	Required	The time basis method in the cash flow calculation (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)