IRS is a of with functions , direct subtypes , keys and example object that represents an interest rate swap whereby a certain interest rate is exchanged for another interest rate in regular time intervals until the swap's maturity.
Each interest rate may be one of the types in the list
Each floating payment equals:
where R refers to the final bounded rate defined as R = min(max(r,f),c), where f, c are the entries in Floors 1, Caps 1 respectively.
Further on, N, g, s are the notional, gearing and spread respectively, as applying to the referenced cash flow and Δt is the length of the respective accrual period.
All these parameters can be time dependent and specified as
A time dependent notional may be specified through an amortization/appreciation schedule supplied as an object of type
If the notional is not constant, its increment (or decrement) in each period is paid along with the corresponding accrued interest if the above object has = true
It is also possible to let the notional being reset on each time interval based on an observed fx rate by specifying a , provided the affected cash flows are linked to an interest rate index.
The notional amount may be also exchanged at the start or end of the swap in the case of = true or = true respectively.
The cash flow currency is assumed to be that of the respective index.
The pricing methodology is specified in