irFixedFloatingSwapPricer

First introduced in version: 3.00.4

Syntax

irFixedFloatingSwapPricer(instrument, pricingDate, discountCurve, forwardCurve, assetPriceCurve, [setting])

Details

Prices the IR Fixied-Floating Swap(s).

Parameters

Note:

Scalar inputs will be automatically expanded to match the length of other vector inputs. All vector inputs must be of equal length.

instrument is an INSTRUMENT scalar/vector of IrFixedFloatingSwap type representing the IR Fixied-Floating Swap(s) to be priced.

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

discountCurve is a MKTDATA scalar/vector of IrYieldCurve type representing the discount curve(s) used to compute discount factors.

forwardCurve is a MKTDATA scalar/vector of IrYieldCurve type representing the spot curve(s) used to compute forward rates.

assetPriceCurve is a MKTDATA scalar/vector of AssetPriceCurve type used to pass the historical data for the floating reference rate of an interest rate swap.

setting (optional) is a Dictionary<STRING, ANY> specifying the calculation settings. The supported key-value pairs are:


key	value	Description
calcCashFlow	BOOL	Whether to calculate cash flows. Cash flows are not calculated when this key is omitted or false.
calcDiscountCurveDelta	BOOL	Whether to calculate the swap DV01 with respect to the discount curve. This DV01 is not calculated when the key is omitted or false.
discountCurveShift	DOUBLE	The parallel shift applied to the discount curve. The default value is 0.0001 (one basis point).
calcForwardCurveDelta	BOOL	Whether to calculate the swap DV01 with respect to the forward curve. This DV01 is not calculated when the key is omitted or false.
forwardCurveShift	DOUBLE	The parallel shift applied to the forward curve. The default value is 0.0001 (one basis point).

Note: These settings take effect only for single-swap calculations and are ignored for batch calculations. Specifying a shift alone does not enable DV01 calculation; the corresponding calcDiscountCurveDelta or calcForwardCurveDelta switch must also be true.

Returns

For a single-swap calculation (the first five arguments are all scalars), returns a DOUBLE scalar representing the NPV if setting is omitted or an empty dictionary.
For a single-swap calculation, if any of the above keys is specified in setting, returns a dictionary that always contains npv. A dictionary is returned even when a switch is false or only discountCurveShift or forwardCurveShift is specified. Additional fields are included only when their corresponding switches are true, as listed below.
For batch calculations (any of the first five arguments is a vector, including a vector of length 1), returns a DOUBLE vector of the same length as the input vectors, containing the NPVs. None of the above settings takes effect.


key	Value Type	Description
npv	DOUBLE	Always included. The net present value of the swap.
fixed_cash_flow	Table	Included only when calcCashFlow is true. The fixed-leg cash flows.
floating_cash_flow	Table	Included only when calcCashFlow is true. The floating-leg cash flows.
discountCurveDelta	DOUBLE	Included only when calcDiscountCurveDelta is true. The swap DV01 with respect to the discount curve.
forwardCurveDelta	DOUBLE	Included only when calcForwardCurveDelta is true. The swap DV01 with respect to the forward curve.

All three calculation switches can be true at the same time, in which case all corresponding fields are included. If all specified switches are false, or only shift keys are specified, the dictionary contains only npv.

Examples

Example 1. Interest rate swap pricing based on FR_007 as the reference rate.

irs =  {
    "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

curve = {
    "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, 2025.09.03, 2025.09.10, 2025.09.22, 2025.10.20, 2025.11.20, 
             2026.02.24, 2026.05.20, 2026.08.20, 2027.02.22, 2027.08.20,2028.08.21],
    "values":[1.4759, 1.5331, 1.5697, 1.5239, 1.4996, 1.5144, 1.5209,
              1.5539, 1.5461, 1.5316, 1.5376, 1.5435,1.5699] / 100
}

// To calculate the floating rate used for the first cash flow after the valuation date, historical data of the reference rate must be provided.
// Since the payment frequency of the FR_007 interest rate swap is quarterly, it is recommended to provide no fewer than 70 trading days of historical FR_007 fixing data.
fr007HistCurve = {
    "mktDataType": "Curve",
    "curveType": "AssetPriceCurve",
    "referenceDate": pricingDate,
    "currency": "CNY",
    "dates":[2025.05.09, 2025.05.12, 2025.05.13, 2025.05.14, 2025.05.15, 2025.05.16, 2025.05.19, 2025.05.20, 2025.05.21, 2025.05.22,
             2025.05.23, 2025.05.26, 2025.05.27, 2025.05.28, 2025.05.29, 2025.05.30, 2025.06.03, 2025.06.04, 2025.06.05, 2025.06.06,
             2025.06.09, 2025.06.10, 2025.06.11, 2025.06.12, 2025.06.13, 2025.06.16, 2025.06.17, 2025.06.18, 2025.06.19, 2025.06.20,
             2025.06.23, 2025.06.24, 2025.06.25, 2025.06.26, 2025.06.27, 2025.06.30, 2025.07.01, 2025.07.02, 2025.07.03, 2025.07.04,
             2025.07.07, 2025.07.08, 2025.07.09, 2025.07.10, 2025.07.11, 2025.07.14, 2025.07.15, 2025.07.16, 2025.07.17, 2025.07.18,
             2025.07.21, 2025.07.22, 2025.07.23, 2025.07.24, 2025.07.25, 2025.07.28, 2025.07.29, 2025.07.30, 2025.07.31, 2025.08.01,
             2025.08.04, 2025.08.05, 2025.08.06, 2025.08.07, 2025.08.08, 2025.08.11, 2025.08.12, 2025.08.13, 2025.08.14, 2025.08.15
       ],
    "values":[1.6000, 1.5600, 1.5300, 1.5500, 1.5500, 1.6300, 1.6500, 1.6000, 1.5900, 1.5800, 
              1.6300, 1.7000, 1.7000, 1.7000, 1.7500, 1.7500, 1.5900, 1.5800, 1.5700, 1.5600, 
              1.5500, 1.5500, 1.5600, 1.5900, 1.5900, 1.5700, 1.5500, 1.5600, 1.5679, 1.6000, 
              1.5700, 1.8500, 1.8300, 1.8400, 1.8500, 1.9500, 1.6036, 1.5800, 1.5200, 1.5000, 
              1.5000, 1.5100, 1.5100, 1.5300, 1.5200, 1.5500, 1.6000, 1.5400, 1.5400, 1.5000, 
              1.5000, 1.4800, 1.5000, 1.6000, 1.7500, 1.6400, 1.6200, 1.6300, 1.6000, 1.5000, 
              1.4800, 1.4700, 1.4800, 1.4900, 1.4600, 1.4600, 1.4600, 1.4800, 1.4800, 1.4900  
               ]\100
}

instrument = parseInstrument(irs)
curve = parseMktData(curve)
discountCurve = curve
forwardCurve = curve
assetPriceCurve = parseMktData(fr007HistCurve)

// Calculate npv
npv = irFixedFloatingSwapPricer(instrument, pricingDate, discountCurve, forwardCurve, assetPriceCurve)
print(npv)

// Calculate npv, cash flow
setting = {
    "calcCashFlow": true
}
irFixedFloatingSwapPricer(instrument, pricingDate, discountCurve, forwardCurve, assetPriceCurve, setting)
// Interest rate swaps pricing for multiple instruments/pricing dates/discount curves/forward curves/asset price curves.
irFixedFloatingSwapPricer([instrument, instrument], pricingDate, discountCurve, forwardCurve, assetPriceCurve, setting)
irFixedFloatingSwapPricer(instrument, [pricingDate, pricingDate], discountCurve, forwardCurve, assetPriceCurve, setting)
irFixedFloatingSwapPricer(instrument, pricingDate, [discountCurve, discountCurve], forwardCurve, assetPriceCurve, setting)
irFixedFloatingSwapPricer(instrument, pricingDate, discountCurve, [forwardCurve, forwardCurve], assetPriceCurve, setting)
irFixedFloatingSwapPricer(instrument, pricingDate, discountCurve, forwardCurve, [assetPriceCurve, assetPriceCurve], setting)

Example 2. Interest rate swap pricing based on SHIBOR_3M as the reference rate.

irs =  {
    "productType": "Swap",
    "swapType": "IrSwap",
    "irSwapType": "IrFixedFloatingSwap",
    "start": 2025.06.16,
    "maturity": 2028.06.16,
    "frequency": "Quarterly",
    "fixedRate": 0.018,
    "calendar": "CFET", 
    "fixedDayCountConvention": "Actual365",
    "floatingDayCountConvention": "Actual360",
    "payReceive": "Receive",
    "iborIndex": "SHIBOR_3M",
    "spread": 0.0001,
    "notionalCurrency": "CNY",
    "notionalAmount": 1E8
}

pricingDate = 2025.08.18

curve = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": pricingDate,
    "currency": "CNY",
    "curveName": "CNY_SHIBOR_3M",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",     
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates":[2025.08.21, 2025.08.27, 2025.09.03, 2025.09.10, 2025.09.22, 2025.10.20, 2025.11.20, 
             2026.02.24, 2026.05.20, 2026.08.20, 2027.02.22, 2027.08.20,2028.08.21],
    "values":[1.5113, 1.5402, 1.5660, 1.5574, 1.5556, 1.5655, 1.5703, 
              1.5934, 1.6040, 1.6020, 1.5928, 1.5842, 1.6068] / 100
}

// To calculate the floating rate for the first cash flow after the valuation date, historical data of the reference rate must be provided.
// Since the payment frequency of the SHIBOR_3M interest rate swap is quarterly, it is recommended to provide at least 70 trading days of historical SHIBOR_3M fixing data.
shibor3mHistCurve = {
    "mktDataType": "Curve",
    "curveType": "AssetPriceCurve",
    "referenceDate": 2022.05.15,
    "currency": "CNY",
    "dates":[2025.05.09, 2025.05.12, 2025.05.13, 2025.05.14, 2025.05.15, 2025.05.16, 2025.05.19, 2025.05.20, 2025.05.21, 2025.05.22,
             2025.05.23, 2025.05.26, 2025.05.27, 2025.05.28, 2025.05.29, 2025.05.30, 2025.06.03, 2025.06.04, 2025.06.05, 2025.06.06,
             2025.06.09, 2025.06.10, 2025.06.11, 2025.06.12, 2025.06.13, 2025.06.16, 2025.06.17, 2025.06.18, 2025.06.19, 2025.06.20,
             2025.06.23, 2025.06.24, 2025.06.25, 2025.06.26, 2025.06.27, 2025.06.30, 2025.07.01, 2025.07.02, 2025.07.03, 2025.07.04,
             2025.07.07, 2025.07.08, 2025.07.09, 2025.07.10, 2025.07.11, 2025.07.14, 2025.07.15, 2025.07.16, 2025.07.17, 2025.07.18,
             2025.07.21, 2025.07.22, 2025.07.23, 2025.07.24, 2025.07.25, 2025.07.28, 2025.07.29, 2025.07.30, 2025.07.31, 2025.08.01,
             2025.08.04, 2025.08.05, 2025.08.06, 2025.08.07, 2025.08.08, 2025.08.11, 2025.08.12, 2025.08.13, 2025.08.14, 2025.08.15
       ],
    "values":[1.6960, 1.6720, 1.6620, 1.6530, 1.6450, 1.6470, 1.6450, 1.6420, 1.6400, 1.6400, 
              1.6420, 1.6430, 1.6440, 1.6470, 1.6520, 1.6520, 1.6520, 1.6520, 1.6520, 1.6510, 
              1.6490, 1.6450, 1.6420, 1.6390, 1.6380, 1.6360, 1.6340, 1.6300, 1.6300, 1.6290, 
              1.6290, 1.6290, 1.6300, 1.6300, 1.6300, 1.6300, 1.6280, 1.6195, 1.6060, 1.5970, 
              1.5790, 1.5700, 1.5620, 1.5590, 1.5570, 1.5610, 1.5590, 1.5590, 1.5570, 1.5550, 
              1.5530, 1.5490, 1.5510, 1.5530, 1.5590, 1.5600, 1.5600, 1.5640, 1.5660, 1.5630, 
              1.5590, 1.5580, 1.5590, 1.5600, 1.5544, 1.5490, 1.5480, 1.5480, 1.5490, 1.5470  
               ]\100
}

instrument = parseInstrument(irs)
curve = parseMktData(curve)
discountCurve = curve
forwardCurve = curve
assetPriceCurve = parseMktData(shibor3mHistCurve)

// Calculate npv
npv = irFixedFloatingSwapPricer(instrument, pricingDate, discountCurve, forwardCurve, assetPriceCurve)
print(npv)

// Calculate npv, cash flow
setting = {
    "calcCashFlow": true
}
results = irFixedFloatingSwapPricer(instrument, pricingDate, discountCurve, forwardCurve, assetPriceCurve, setting)
print(results)

Example 3. Calculate the DV01 of an FR_007 interest rate swap with respect to the discount curve and forward curve, using a parallel shift of 0.0001 (one basis point) for each curve.

// Interest rate swap terms
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
}

// Use a flat 1.5% curve for both discounting and forward-rate calculation
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, 2028.06.16],
    "values": [0.015, 0.015]
}

// Set all historical fixing rates to 2%
fixingDates = 2025.05.09..2025.08.15
fixingCurveSpec = {
    "mktDataType": "Curve",
    "curveType": "AssetPriceCurve",
    "referenceDate": pricingDate,
    "curveName": "PRICE_FR_007",
    "dates": fixingDates,
    "values": take(0.02, size(fixingDates))
}

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

// Enable both DV01 calculations with parallel shifts of one basis point
riskSetting = {
    "calcDiscountCurveDelta": true,
    "discountCurveShift": 0.0001,
    "calcForwardCurveDelta": true,
    "forwardCurveShift": 0.0001
}

riskResult = irFixedFloatingSwapPricer(
    instrument=instrument,
    pricingDate=pricingDate,
    discountCurve=yieldCurve,
    forwardCurve=yieldCurve,
    assetPriceCurve=fixingCurve,
    setting=riskSetting
)
riskResult
/* output:
forwardCurveDelta->27570.401579080615
discountCurveDelta->120.97029701061547
npv->-747687.6561087454
*/

In the returned dictionary, discountCurveDelta and forwardCurveDelta represent the swap DV01 with respect to the discount curve and forward curve, respectively. The npv field contains the net present value.

Related functions: parseInstrument, parseMktData, irVanillaSwapRateCalculator