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"Contract data" view in the Swap Calculator

The "Contract data" view is the default view of the "Swap Calculator" widget.

Enter the data for the valuation of a swap. The results of the valuation are shown in the lower part of the Swap Calculator. You see the market value without accrued interest, the accrued interest and the market value with accrued interest. In addition, you see the total valuation.

You find the following elements in the "Contract data" view:

"Fixed" area

ElementDescription
Role

Select the role of the "Fixed" party. "Payer" (default) or "Receiver".

This setting changes the sign of the cash flow.

Nominal amount

Enter the (fixed) nominal amount of the swap transaction.

The nominal amount for "Fixed" and "Floating" remains unchanged.

Currency

Select the (fixed) currency of the swap transaction.

The currency for "Fixed" and "Floating" remains unchanged.

Value date

Use the integrated calendar to specify the valuation date of the swap transaction.

The value date cannot be before the start date of the swap transaction that you enter in the "Term from" field.

Term fromUse the integrated calendar to specify the start date of the swap transaction.
First couponUse the integrated calendar to specify the date of the first fixed interest payment of the swap transaction.
Term toUse the integrated calendar to specify the end date of the swap transaction.
Payment frequency

Select the payment frequency for the fixed interest payment. The following periods are available:

  • Monthly
  • Quarterly
  • 4-monthly
  • Annually
Day count convention

Select the day count convention for the fixed interest payment. The following periods are available for the day count convention:

  • German 30/360
  • German 30/365
  • French ACT/360
  • English ACT/360
  • ISMA (ACT/ACT)
  • ISMA 30E/360
Fixed coupon in %

The fixed interest payment in percent of the swap transaction.

You can enter up to 4 decimal places here.

"Floating" area

ElementDescription
Role

The role of the "receiver".

The role is the one you selected in the "Fixed" area.

Nominal amount

The (floating) notional amount of the swap transaction.

Currency

The currency of the swap transaction.

The currency for "Fixed" and "Floating" remains unchanged.

Value date

The value date selected in the "Fixed" area.

Term fromThe start date selected in the "Fixed" area of the swap transaction.
First couponUse the integrated calendar to specify the date of the first floating interest payment of the swap transaction.
Term toThe end date date selected in the "Fixed" area of the swap transaction.
Payment frequency

Select the payment frequency for the floating interest payment. The following periods are available:

  • Monthly
  • Quarterly
  • 4-monthly
  • Annually
Day count convention

Select the day count convention for the floating interest payment. The following periods are available for the day count convention:

  • German 30/360
  • German 30/365
  • French ACT/360
  • English ACT/360
  • ISMA (ACT/ACT)
  • ISMA 30E/360
Floating spread in %The floating margin of the swap transaction in basis points added to the interest rate.
Leverage
Enter the leverage.

"Valuation" area

ElementDescription

Market value "Fixed" valuation

The sum of the fixed cash flow.

Market value "Floating" valuation

The sum of the floating cash flow.

Accrued interest "Fixed" valuation

The sum of the fixed accrued interest.

Accrued interest "Floating" valuation

The sum of the floating accrued interest.

Market value "Total" valuation

The sum of entire cash flow.
Accrued interest "Total" valuation

The sum of the accrued interest rate (of the fixed and floating side).

Here, the accrued interest is calculated (provided the start date is before the value date) based on the set day count convention, floating reference interest rate and days between start and value date.

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