## CONSTANT MATURITY SWAP VALUATION PROCEDURE

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- Log into your account or if you are a new user, register your account and enable two factor authentication.
- Click on the [Constant maturity swap] button, this will take you to the Dynamic-text-blocks parameters page.

Dynamic text-blocks parameters page

- Select to enter flat or time-varying yield curve at indicated times.
- Select to enter flat or time-varying notional principal at indicated payment times.
- Select to enter flat or time-varying forward interest rate volatilities at rate observation times.
- Select to enter flat or time-varying forward swap rate volatilities at rate observation times.
- Select to enter flat or time-varying pair-wise correlations between forward-interest-rates and forward-swap-rates at rate observation times.
- Enter number of outstanding rate observation times resulting in future swap payments. It is important to note that the number of outstanding rate observations can be one less than the number of outstanding payments. As an example, suppose you have a three-year constant maturity with annual payments payable at the end of year 1, year 2, and year 3, and the time till next swap payment is 1 year. The number of outstanding rate observation times resulting in future swap payments is 2 not 3. The payment at year 1 is already observed at time 0 and longer outstanding as far as observation is concerned although it is still to be paid. Observation at time 0 is deemed observed not outstanding. The same will apply to a situation where time till next payment is less than the reciprocal of swap-payment-frequency(tenor). If the time till next swap payment is greater than the reciprocal of swap payment frequency, the number of outstanding rate observation times will be equal to the number of outstanding payments and the system will internally set the value of payment at first rate observation time(which is tenor period before the first payment) to zero. Just enter the number of future times where the rates are still to be observed excluding observation at time zero(current-time) if it turns out to be a rate-observation time and the system will work out everything correctly.
- Enter number of tenor periods in the underlying constant-maturity-swap.
- Enter the time till next swap payment in years.
- Enter swap payment frequency per year.
- Click the submit button, and this will take you to the array populating page.

Array populating page

- Enter zero rates convertible swap-payment-frequency times per year at indicated times.
- Enter notional principals at indicated payment times.
- Enter forward interest rate volatilities at indicated rate observation times.
- Enter forward swap rate volatilities at indicated rate observation times.
- Enter correlation between forward-interest-rates and forward-swap-rates at indicated rate observation times.
- Click the submit button, and this will take you to the Constant maturity swap valuation parameters page.

Constant maturity swap valuation parameters page

- Enter the name of currency of valuation.
- Enter the fixed swap rate convertible swap-payment-frequency times per year.
- If time till next swap payment is less than or equal to the tenor period, enter the observed floating swap rate convertible swap-payment-frequency times per year resulting in next swap payment.
- Enter allocated expenses and tax to be adjusted on pure swap price.
- Enter the monetary value of the profit charge to be adjusted on pure swap price. If the pure swap value to the fixed rate payer is s_v, and dealing expenses and tax charge is s_et, and the profit charge is s_pt, the final swap value is calculated as P = s_v - s_et - s_pt . It is important to note that valuation is done from a dealer/broker's perspective. The profit-charge is charged by the dealer/broker.
- Click the submit button and this will take you to the output display page.

Output display page

- You can view pricing model output together with input parameters you entered.
- At the bottom of the page you can click on the button to create database record for the current model output. This will take you to the create database record page where you should click on the create button to create the database record.
- After clicking on the create button to create the database record, you will be taken to the database records view page, where you can scroll vertically or horizontally to view database records including the one you just created.
- You can filter database records according to the currency of valuation using the filter box. You can click on the details link on the extreme right of a particular database record, this will take you to the particular database record details page.