LIBOR-IN-ARREARS 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 [LIBOR-in-arrears 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 yield curve at indicated times.
2. Select to enter flat or time-varying notional principal at indicated payment times.
3. Select to enter flat or time-varying annualised forward rate volatilities at outstanding interest rate observation times.
4. Enter number of outstanding payment times.
5. Enter the time till next swap payment in years.
6. Enter the swap payment frequency per year.
7. Click the submit button, and this will take you to the array populating page.

Array populating page

1. Enter zero rates convertible swap-payment-frequency times per year at indicated times.
2. Enter notional principals at indicated payment times.
3. Enter annualised forward rate volatilities at indicated interest-rate observation times.
4. Click the submit button, and this will take you to the LIBOR-in-arrears-swap valuation parameters page.

LIBOR-in-arrears-swap valuation parameters page

1. Enter the name of currency of valuation.
2. Enter the fixed swap rate convertible swap-payment-frequency times per year.
3. Enter allocated expenses and tax to be added to the pure LIBOR-in-arrears swap price.
4. Enter profit charge to be subtracted from the calculated value of pure swap price less dealing expenses and tax. If the profit-charge is x and the value of pure swap price less expenses and tax is P, then the final swap value to fixed rate payer will be calculated as P-x.It is important to note that valuation is done from a dealer/broker's perspective. The profit-charge is charged by the dealer/broker.
5. 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. 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.
3. 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.
4. 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.