The Excel Derivatives Periscope



FixedFloat IRS is a child type of Swap that represents an interest rate swap, whereby a fixed interest rate is exchanged for floating interest rate in regular time intervals until the swap's maturity.
It actually corresponds to the QuantLib instrument NonstandardSwap.
Both notional and fixed interest rate are allowed to be time-dependent.
Each floating cash flow is based on the fixing of some predefined
Ibor Rate at the start of each accrual period.
This fixing may be multiplied by a fixed factor and then incremented by a fixed spread before it is used in the calculation of the floating cash flow amount.
A final capital exchange and in the case of time-dependent notional also an intermediate capital exchange may be optionally specified.
In formal terms:
Each floating payment equals:
where I is the index' realized value at the begining of each floating leg period, N is the applicable notional, g, s are the entries in Gearing, Spread respectively and Δt is the length of the respective accrual period.
Each fixed payment equals NrΔt, where r is the applicable rate determined by the predefined constant rates.
The cash flow denomination currency in both legs is assumed to be that of the index entered in Index

The pricing methodology is specified in
Model[FixedFloat IRS]