FLOATING-FOR-FLOATING CURRENCY-SWAP VALUATION PROCEDURE



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

Dynamic text-blocks parameters page

  1. Select to enter flat or time-varying domestic yield curve at indicated times.
  2. Select to enter flat or time-varying foreign yield curve at indicated times.
  3. Select to enter flat or time-varying domestic notional principal at indicated payment times.
  4. Select to enter flat or time-varying foreign notional principal at indicated payment times.
  5. Enter number of outstanding payment times.
  6. Enter the time till next swap payment in years.
  7. Enter swap payment frequency per year.
  8. Click the submit button, and this will take you to the array populating page.

Array populating page

  1. Enter domestic zero rates convertible swap-payment-frequency times per year at indicated times.
  2. Enter foreign zero rates convertible swap-payment-frequency times per year at indicated times.
  3. Enter domestic notional principal values at indicated payment times.
  4. Enter foreign notional principal values at indicated payment times.
  5. Click the submit button, this will take you to the Floating-for-floating currency-swap valuation parameters page.

Floating-for-floating currency-swap valuation parameters page

  1. Select the name of domestic currency of valuation from the drop-down list.
  2. Select the name of foreign currency of valuation from the drop-down list.
  3. If the time till next swap payment is less than or equal to the tenor period, enter both the observed foreign floating rate, and the observed domestic floating rate convertible swap-payment-frequency times per year resulting in next swap payments.
  4. Enter the spot-exchange-rate domestic currency units per unit of foreign currency.
  5. Enter allocated expenses and tax to be adjusted on pure swap price.
  6. Enter the monetary value of the profit charge to be adjusted on pure swap price. If the pure swap value to the foreign rate receiver 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.
  7. Click the submit button and this will take you to the output display page.

Output display page

  1. You can view pricing model output together with input parameters you entered.
  2. The output display pattern varies depending on whether flat, or time-varying notional principal values are chosen. The first choice uses bond valuation techniques to value the swap while the latter uses portfolio of forward contracts valuation techniques to value the swap.
  3. 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.
  4. 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.
  5. 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.