Deriscope ## The Excel Derivatives Periscope

##### Coverage

FixedFloat_IRS

*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:

*N(gI+s)Δt*

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]