Total Return Swap – TRS (IBOR)

Last updated 9 November 2026

1 GIAnalyzer function for Excel. Optional arguments are shown in [brackets].

GIA_IRD_TRSwithIBOR_Value

Returns the value of a total return swap in which the underlying index in the funding leg is IBOR (InterBank Offered Rates such as LIBOR).

GIA_IRD_TRSwithIBOR_Value(Position, Units, EDate, LRA, Dividend, LRF, AccrStartDateF, Sp, DaysF, AssetPrice, VDate, OT)

Returns: Value of a total return swap in which the underlying index in the funding leg is IBOR (InterBank Offered Rates such as LIBOR)

Argument	Use	Description
`Position`	Required	The position in the TRS (PayAsset, ReceiveAsset)
`Units`	Required	The number of units in the TRS.
`EDate`	Required	The expiry date.
`LRA`	Required	The last reset asset price in the asset leg of the swap.
`Dividend`	Required	Next dividend payment per one share.
`LRF`	Required	The last reset rate of the reference interest rate in the funding leg of the swap.
`AccrStartDateF`	Required	The start date of the current accrual period in the funding leg.
`Sp`	Required	The spread (in basis points) in the funding leg of the swap.
`DaysF`	Required	The time basis in the funding leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`AssetPrice`	Required	The current asset price.
`VDate`	Required	The value date.
`OT`	Required	The output type of the value. (AssetLeg, FundingLeg, AssetLegDividendComponent, AssetLegPriceChangeComponent, Total)