IRS


IRS is a direct subtype of Swap
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with functions IRS Functions, direct subtypes IRS subtypes, keys IRS keys and example object irs_

TYPE INCLUSION RELATIONSHIPS

Swap

IRS

CMS

Currency Swap

FX Swap

FxdFlt IRS

OiIbor Swap

OiOi Swap

</defs>

AVAILABLE FUNCTIONS

Carry

Change Dates

Create

Maturity

Period Counter

Period Value

Rolldown

Start

</defs>

AVAILABLE CREATE FUNCTION KEYS

Amort 1

Amort 2

Caps 1

Caps 2

Currency 1

Currency 2

FX Reset 1

FX Reset 2

Final Exchange

Floors 1

Floors 2

Gearings 1

Gearings 2

In Arrears 1

In Arrears 2

Index 1

Index 2

Init Exchange

Lag on Principal 1

Lag on Principal 2

Leg1 Dir

Notional 1

Notional 2

Pmt Lag 1

Pmt Lag 2

Schedule 1

Schedule 2

Spreads 1

Spreads 2

Notionals 1

Notionals 2

</defs>

TYPICAL OBJECTS OF TYPE IRS

irs

</defs>

This type 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 Int Rate Type

Each floating payment equals:
N(gR+s)Δt
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 1D-arrays
A time dependent notional may be specified through an amortization/appreciation schedule supplied as an object of type Amortization
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 Change Is Paid = true
It is also possible to let the notional being reset on each time interval based on an observed fx rate by specifying a FX Reset Spec, 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 Init Exchange = true or Final Exchange = true respectively.

The cash flow currency is assumed to be that of the respective index.

The pricing methodology is specified in Model[IRS]