swapIRS: Interest Rate Swap

In RTL: Risk Tool Library - Trading, Risk, 'Analytics' for Commodities

Interest Rate Swap

Description

Computes the mark to market of an IRS

Usage

swapIRS(
  trade.date = lubridate::today(),
  eff.date = lubridate::today() + 2,
  mat.date = lubridate::today() + 2 + lubridate::years(2),
  notional = 1e+06,
  PayRec = "Rec",
  fixed.rate = 0.05,
  float.curve = usSwapCurves,
  reset.freq = 3,
  disc.curve = usSwapCurves,
  convention = c("act", 360),
  bus.calendar = "NY",
  output = "price"
)

Arguments

trade.date	Date object. Defaults to today(). Date
eff.date	Date object. Defaults to today() + 2 days. Date
mat.date	Date object. Defaults to today() + 2 years. Date
notional	Numeric value of notional. Defaults to 1,000,000. numeric
PayRec	"Pay" or "Rec" fixed. character
fixed.rate	Numeric fixed interest rate. Defaults to 0.05. Date
float.curve	List of interest rate curves. Defaults to data("usSwapCurves"). list
reset.freq	Numeric where 1 = "monthly", 3 = quarterly, 6 = Semi annual 12 = yearly. character
disc.curve	List of interest rate curves. Defaults to data("usSwapCurves"). list
convention	Vector of convention e.g. c("act",360) c(30,360),... character
bus.calendar	Banking day calendar. Not implemented.
output	"price" for swap price or "all" for price, cash flow data frame, duration. character

Value

List of swap price, cash flow data frame, duration. list

Author(s)

Philippe Cote

Examples

data("usSwapCurves")
swapIRS(
  trade.date = as.Date("2020-01-04"), eff.date = as.Date("2020-01-06"),
  mat.date = as.Date("2022-01-06"), notional = 1000000,
  PayRec = "Rec", fixed.rate = 0.05, float.curve = usSwapCurves, reset.freq = 3,
  disc.curve = usSwapCurves, convention = c("act", 360),
  bus.calendar = "NY", output = "all"
)

RTL documentation built on Oct. 21, 2023, 1:06 a.m.