qlDiscountingSwapEngine – create an engine for pricing of interest rate swaps

Creates an pricing engine that prices swaps simply by discounting the cashflows off the supplied yield curve. See view-only spreadsheet.

Usage:

=qlDiscountingSwapEngine(<ObjPrefix>, <YieldCurve>,
                         <IncludeSettlDate>, <SettlementDate>,
                         <NpvDate>)

<ObjPrefix>

Optional parameter to specify the object name prefix

<YieldCurve>

Yield curve object to be used for discounting the cashflows of the swap to be priced.

<IncludeSettlDate>

True or false parameter specifying if cashflows due on the settlement date should be included in the calculation. Optional parameter, true if not specified.

<SettlementDate>

Optional parameter specifying the settlement date. If not supplied the reference date of the yield curve is used.

<NpvDate>

Optional parameter representing the date to which to discount all cashflows. Yield curve reference date is used if the parameter is not supplied.

Example

Here is a minimal example of construction a discounting swap engine:

0D	nil	->	0D	nil
10Y	nil	->	10Y	nil
=qlInterpolatedYieldCurve(, R[-2]C:R[-1]C,R[-2]C[1]:R[-1]C[1], “TARGET”, “Actual/360”,,,”ZeroYield”,)	yield curve (needed for pricing engine)	->	obj_00004#0004	yield curve (needed for pricing engine)
=qlDiscountingSwapEngine(,R[-1]C)	pricing engine	->	obj_00005#0004	pricing engine