irVanillaSwapRateCalculator

Syntax

irVanillaSwapRateCalculator(instrument, date, discountCurve, forwardCurve, assetPriceCurve)

Details

Calculates the fixed-leg rate that makes the net present value of a fixed-floating interest rate swap equal to zero.

Arguments

Note: All input vectors must have the same length. Scalar inputs are automatically expanded to match the vector length.

instrument is an INSTRUMENT scalar/vector of type IrFixedFloatingSwap representing the fixed-floating interest rate swaps for which to calculate the fixed-leg rate. Currently, only swaps with FR_007 or SHIBOR_3M as the floating-leg reference rate are supported.

date is a DATE scalar/vector specifying the calculation date(s).

discountCurve is an MKTDATA scalar/vector of type IrYieldCurve representing the spot curve(s) used to calculate discount factors. Each curve's referenceDate must match the corresponding date.

forwardCurve is an MKTDATA scalar/vector of type IrYieldCurve representing the spot curve(s) used to calculate forward rates. Each curve's referenceDate must match the corresponding date.

assetPriceCurve is an MKTDATA scalar/vector of type AssetPriceCurve containing historical fixings for the floating-leg reference rate.

Returns

• If all arguments are scalars, returns a DOUBLE scalar.

• If any argument is a vector, returns a DOUBLE vector with the same length as the input vectors.

During batch calculation, if an individual calculation fails, its result is NULL; the other results are returned normally.

Examples

Example 1. Calculate the fixed-leg rate for a fixed-floating interest rate swap whose floating leg references FR_007.

swapSpec = {
    "productType": "Swap",
    "swapType": "IrSwap",
    "irSwapType": "IrFixedFloatingSwap",
    "start": 2025.06.16,
    "maturity": 2028.06.16,
    "frequency": "Quarterly",
    "fixedRate": 0.018,
    "calendar": "CFET",
    "fixedDayCountConvention": "Actual365",
    "floatingDayCountConvention": "Actual365",
    "payReceive": "Pay",
    "iborIndex": "FR_007",
    "spread": 0.0001,
    "notionalCurrency": "CNY",
    "notionalAmount": 1E8
}

pricingDate = 2025.08.18
yieldCurveSpec = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": pricingDate,
    "currency": "CNY",
    "curveName": "CNY_FR_007",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": [2025.08.21, 2025.08.27],
    "values": [1.5, 1.5] / 100
}

fixingCurveSpec = {
    "mktDataType": "Curve",
    "curveType": "AssetPriceCurve",
    "referenceDate": pricingDate,
    "curveName": "PRICE_FR_007",
    "dates": [2025.05.09, 2025.05.12],
    "values": [2, 2] / 100
}

instrument = parseInstrument(obj=swapSpec)
yieldCurve = parseMktData(dict=yieldCurveSpec)
fixingCurve = parseMktData(dict=fixingCurveSpec)

fixedRate = irVanillaSwapRateCalculator(
    instrument=instrument,
    date=pricingDate,
    discountCurve=yieldCurve,
    forwardCurve=yieldCurve,
    assetPriceCurve=fixingCurve
)
fixedRate
// output: 0.014147990440065

Example 2. Calculate the fixed-leg rate of the same interest rate swap using two different forward curves.

swapSpec = {
    "productType": "Swap",
    "swapType": "IrSwap",
    "irSwapType": "IrFixedFloatingSwap",
    "start": 2025.06.16,
    "maturity": 2028.06.16,
    "frequency": "Quarterly",
    "fixedRate": 0.018,
    "calendar": "CFET",
    "fixedDayCountConvention": "Actual365",
    "floatingDayCountConvention": "Actual365",
    "payReceive": "Pay",
    "iborIndex": "FR_007",
    "spread": 0.0001,
    "notionalCurrency": "CNY",
    "notionalAmount": 1E8
}

pricingDate = 2025.08.18
yieldCurveSpec = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": pricingDate,
    "currency": "CNY",
    "curveName": "CNY_FR_007",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": [2025.08.21, 2025.08.27],
    "values": [1.5, 1.5] / 100
}

fixingCurveSpec = {
    "mktDataType": "Curve",
    "curveType": "AssetPriceCurve",
    "referenceDate": pricingDate,
    "curveName": "PRICE_FR_007",
    "dates": [2025.05.09, 2025.05.12],
    "values": [2, 2] / 100
}

instrument = parseInstrument(obj=swapSpec)
yieldCurve = parseMktData(dict=yieldCurveSpec)
fixingCurve = parseMktData(dict=fixingCurveSpec)

higherForwardCurveSpec = yieldCurveSpec
higherForwardCurveSpec["values"] = [3.0, 3.0] / 100
higherForwardCurve = parseMktData(dict=higherForwardCurveSpec)

fixedRates = irVanillaSwapRateCalculator(
    instrument=instrument,
    date=pricingDate,
    discountCurve=yieldCurve,
    forwardCurve=[yieldCurve, higherForwardCurve],
    assetPriceCurve=fixingCurve
)
fixedRates
// output: [0.014147990440065, 0.028247897683873]

Related functions: irFixedFloatingSwapPricer, parseInstrument, parseMktData