INTEREST RATE SWAP ZERO-COST SWAP-RATE ITERATION PROCEDURE



Financial solutions home page

  1. Log into your account or if you are a new user, register your account and enable two factor authentication.
  2. Click on the [Zero-cost swap rate] 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. Enter number of outstanding payment times.
  4. Enter swap payment frequency per year.
  5. Click the submit button, 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. Click the submit button, this will take you to the Zero-cost swap rate iteration parameters page.

Interest rate swap zero-cost swap rate iteration parameters page

  1. Select the name of currency of valuation from the drop-down list
  2. Enter allocated expenses and tax to be adjusted on pure swap price.
  3. 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 . P is the initial swap fee that will either be paid, or received by the fixed rate payer depending on whether it is positive or negative. It is important to note that valuation is done from a dealer/broker's perspective. The profit-charge is charged by the dealer/broker.
  4. 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.