Interest-Rate Swap
One editor prices four swap structures — Vanilla (fixed vs. IBOR), OIS (fixed vs. an overnight index), Basis (floating vs. floating), and CMS (a constant-maturity-swap leg). The Swap Kind you choose changes which legs and which market data the form asks for. Fields shared with every product are explained on the Pricing overview.
Pricing Context
Selects the valuation date and the curves that value the swap.
| Field | Control | Default | What it does |
|---|---|---|---|
| As Of Date | Date | 2025-01-15 | Valuation date. Curves must have data on this date. |
| Settlement Date | Date | As-Of + spot | Cash settlement date for the priced value. |
| Discounting Curve (PV) | Two dropdowns | Standalone curves → none | First picks the source (— Standalone curves — or a saved curve set); second picks the curve used to present-value cashflows. |
| Forwarding Curve (Index projection) | Dropdowns | — | Curve used to project the floating index. Shown for Vanilla / OIS / CMS. Basis instead shows a Forwarding Curve for Leg 1 and Leg 2. |
| Single-curve mode | Checkbox | on | When on, reuses the discount curve for projection (single-curve). Turn off for dual-curve / OIS-discounting. |
| Attach quote book snapshot to pricing request | Checkbox | on | Bundles current quote-book values so curves referencing quote IDs resolve server-side. |
| Index / Swap Kind / Currency | Read-only chips | — | Summary of the current floating index, swap kind, and currency. |
Swap Basics
| Field | Options | Default | What it does |
|---|---|---|---|
| Swap Kind | Vanilla, OIS, Basis, CMS | Vanilla | Selects the swap structure. Changes the legs and the extra market data required (OIS needs an overnight index; CMS needs a swaption vol surface). |
| Payer / Receiver | Payer, Receiver | Payer | Direction relative to the fixed leg. Payer pays fixed and receives floating. |
| Include cash flows | Checkbox | on | Return the per-coupon cashflow tables in the result (per leg, downloadable as CSV). |
Legs
Two leg cards, Leg 1 and Leg 2, each with a type selector (Fixed, Floating, Overnight, CMS). The Swap Kind presets these — Vanilla is Fixed + Floating, OIS is Fixed + Overnight, Basis is Floating + Floating, CMS is Fixed + CMS. The fields below appear according to each leg's type.
Fixed leg
| Field | Options | Default | What it does |
|---|---|---|---|
| Notional | Number | 1,000,000 | Face amount the fixed coupon accrues on. |
| Rate (%) | Number | 2.500 | The fixed coupon rate, entered as a percentage. |
| Day Counter | See day-counter list below | Thirty360 | Accrual day-count basis for the fixed coupon. |
Floating leg
| Field | Options | Default | What it does |
|---|---|---|---|
| Notional | Number | 1,000,000 | Face amount the floating coupon accrues on. |
| Spread (bps) | Number | 0 | Additive spread over the index, in basis points. |
| Index | Index picker (Saved / Custom) | EURIBOR_1M | The floating (IBOR) index projected on the forwarding curve. Saved lists registered indices; Custom defines one inline. Manage opens the index catalog. |
| Payment Frequency | Annual, Semiannual, Quarterly, Monthly, … | from index tenor | Coupon frequency. Auto-set from the picked index's tenor; can be overridden. |
Overnight leg OIS
| Field | Options | Default | What it does |
|---|---|---|---|
| Notional | Number | 1,000,000 | Face amount for the overnight leg. |
| Spread (bps) | Number | 0 | Additive spread over the compounded overnight rate. |
| Overnight Index | Index picker (Overnight only) | — | The overnight index (e.g. SOFR, ESTR). One must exist in your indices for OIS to price. |
CMS leg CMS
The CMS leg is configured on Leg 1; Leg 2 shows a pointer to it. Core fields:
| Field | Options | Default | What it does |
|---|---|---|---|
| Notional | Number | — | Face amount for the CMS leg. |
| Gear | Number | — | Multiplier (leverage) applied to the CMS rate. |
| Spread (bps) | Number | 0 | Additive spread over the geared CMS rate. |
| Swap Index Id | Text | — | Identifier of the swap index the CMS rate references. |
| Swap Tenor N + Unit | Number + Months / Years | — | Constant maturity of the reference swap (e.g. 10 Years). |
| Swaption Vol Surface | Dropdown of saved surfaces | — | Volatility surface used to price the CMS convexity adjustment. |
| Day Counter | Day-counter list | — | Accrual basis for the CMS coupon. |
| Payment Convention | Business-day-convention list | — | Business-day adjustment for payment dates. |
| Override fixing days | Checkbox → Number | off (2) | Override the index fixing lag. |
| Use CMS pricer spec override | Checkbox → sub-form | off | Exposes advanced pricer controls: Pricer Type, Yield Curve Model, Mean Reversion, and (for HaganNumeric) the Hagan lower/upper/precision/hard-upper limits. |
Schedule
The dates and conventions that generate the coupon schedule (shared across both legs).
| Field | Options | Default | What it does |
|---|---|---|---|
| Effective Date | Date | spot | Start (accrual begin) of the swap. |
| Termination Date | Date | +5y | Maturity of the swap. |
| Calendar | TARGET, UnitedStates, UnitedKingdom, Japan, Germany, Switzerland, Canada, Australia, Italy, Brazil, China, NullCalendar, WeekendsOnly | TARGET | Holiday calendar for business-day adjustment. |
| Convention | Business-day-convention list | ModifiedFollowing | Business-day rule applied to intermediate schedule dates. |
| Termination Convention | Business-day-convention list | ModifiedFollowing | Business-day rule for the final maturity date. |
| Date Generation | Forward, Backward, CDS, OldCDS, ThirdWednesday, Twentieth, TwentiethIMM, Zero | Forward | How the schedule dates are generated (from the start Forward, or from maturity Backward, etc.). |
Day-counter options (used by all day-counter dropdowns): Actual360, Actual365Fixed, Thirty360, ActualActual, ActualActualISDA, ActualActualISMA, ActualActualBond, ActualActualHistorical, ActualActual365, ActualActualAFB, ActualActualEuro, Actual365NoLeap, Business252, One, Simple.
Business-day conventions: Following, ModifiedFollowing, Preceding, Unadjusted, HalfMonthModifiedFollowing, ModifiedPreceding, Nearest.
Reading the results
The Swap Results panel leads with NPV, then:
- Fair Rate and Fair Spread — the par fixed rate / floating spread that zeroes the swap (Vanilla, OIS, CMS). Basis swaps instead show Fair Spread Leg 1 and Fair Spread Leg 2.
- Per-leg BPS and NPV — the basis-point sensitivity (PV01) and present value of each leg, labelled by leg type (Fixed / Floating / Overnight / CMS / Leg 1 / Leg 2).
- CMS diagnostics — for CMS swaps the panel also echoes the pricer actually used (pricer type, yield-curve model, mean reversion, Hagan limits).
- Flows — with Include cash flows on, tabbed per-leg cashflow tables (payment date, accruals, fixing, rate, amount, discount, present value), downloadable as CSV.