irs

irs(settlement, resetInterval, start, maturity, notional, fixedRate, spread, curve, frequency, calendar, [convention='ModifiedFollowing'], [basis=1], [rateType=0])

settlement is a DATE scalar or vector indicating the settlement date(s).

resetInterval is a DURATION scalar or vector indicating how often the interest rate is reset.

start is a DATE scalar or vector indicating the start date(s).

maturity is a DATE scalar or vector indicating the maturity date(s).

notional is a numeric scalar or vector indicating the notional amount.

fixedRate is a numeric scalar or vector indicating the fixed rate(s).

spread is a numeric scalar or vector indicating the spread of floating rate.

curve is a dictionary scalar or vector indicating the fitted yield curve.

frequency defines how often payments are made in the swap agreement.

• If it is an INT scalar or vector, it specifies the number of payments per year. For example, 1 means there's one payment annually.
• If it is a DURATION scalar or vector, it specifies time interval between payments. For example, "3M" means payments occur every 3 months (quarterly).
• It can take the following values:
  • 1 / 1y: Annually. One payment per year.
  • 2 / 6M: Semi-annually. Two payments per year, every 6 months.
  • 3 / 4M: Triannually. Three payments per year, every 4 months
  • 4 / 3M: Quarterly. Four payments per year, every 3 months.
  • 6 / 2M: Bimonthly. Six payments per year, every 2 months.
  • 12 / 1M: Monthly. 12 payments per year, once a month.
  • 13 / 4w: Four-weekly. 13 payments per year, every 4 weeks.
  • 26 / 2w: Fortnightly. 26 payments per year, every 2 weeks.
  • 52 / 1w: Weekly. 52 payments per year, once a week.
  • 365 / 1d: Daily. 365 payments per year, once a day.

calendar is a STRING scalar or vector indicating the trading calendar(s). See Trading Calendar for more information.

convention (optional) is a STRING scalar or vector indicating how cash flows that fall on a non-trading day are treated. It can be:

• 'Following': The following trading day.
• 'ModifiedFollowing' (default): The following trading day. If that day is in a different month, the preceding trading day is adopted instead.
• 'Preceding': The precedingtrading day.
• 'ModifiedPreceding': The preceding trading day. If that day is in a different month, the following trading day is adopted instead.
• 'Unadjusted': Unadjusted.
• 'HalfMonthModifiedFollowing': The following trading day. If that day crosses the mid-month (15th) or the end of month, the preceding trading day is adopted instead.
• 'Nearest': The nearest trading day. If both the preceding and following trading days are equally far away, default to following trading day.

basis (optional) is an INT/STRING scalar or vector indicating the day-count basis of the swap. It can be:

• 0/"Thirty360US": US (NASD) 30/360
• 1/"ActualActual": actual/actual
• 2/"Actual360": actual/360
• 3/"Actual365": actual/365
• 4/"Thirty360EU": European 30/360

rateType (optional) is an INT/STRING scalar or vector indicating compound interest. It can be:

• 0/"CC" (default): continuous compounding
• 1/"C": discrete compounding

The irs function prices an interest rate swap (IRS) for the floating-rate side.

An IRS is a derivative contract in which two parties agree to exchange one stream of interest payments for another over a set period of time. The most commonly traded IRS is the exchange of a fixed interest rate payment and a floating rate payment (typically benchmarked to an interbank offered rate LIBOR).

Return Value: A DOUBLE scalar or vector.

This example describes an interest rate swap where fixed and floating rate payments are exchanged weekly over a 5-year period (2023.07.10-2028.01.10). The swap uses the XNYS calendar for determining trading days and applies a US (NASD) 30/360 day-count basis and continuous compounding for interest calculations.

settlement = 2023.07.10
calendar = `XNYS
day0 = temporalAdd(settlement, 0, calendar)
curveRateTime = [10y, 14d, 1d, 1M, 1y, 2y, 3M, 3y, 4y, 5y, 6M, 7d, 7y, 9M]
curveRateValue = [ 2.7013, 1.8, 1.27, 1.9425, 2.0263, 2.1265, 1.9725, 2.2438, 2.3575, 2.4538, 1.9938, 1.86, 2.5863, 2.0088] * 0.01
dates = []
for (dur in curveRateTime) {
	dates.append!(temporalAdd(settlement, dur))
}
X = (dates - day0)$INT
// a curve for base rate (without spread)
curve = linearInterpolateFit(X, curveRateValue)
resetIntv = 7d
start = 2023.01.10
maturity = 2028.01.10
notional = 100.0
fixedRate = 0.02765
spread = 0.0
freq = 3M
basis = 0
irs(settlement, resetIntv, start, maturity, notional, fixedRate, spread, curve, freq, calendar, basis = basis)
// -1.54