The goal of SwapPricer is to allow you to price a book of interest rate swaps (IRS). IRS is the most traded over the counter financial derivative in the world and now you can easily price it in R. More details on the financial characteristics of this contract can be found here
Please note that as at version 1.0.2 the toolbox is able to price using just a one-curve framework but is able to price multiple currencies (ie. CHF, EUR, GBP, JPY and USD) and any convention in terms of coupon frequency, day count convention.
We are working to introduce OIS Discounting in the next releases
For now, you can just install the development version from GitHub with:
# install.packages("devtools")
devtools::install_github("DavideMagno/SwapPricer")The main function of the toolbox is SwapPortfolioPricing which uses
just three inputs:
- A table with the characteristics of the swap, like the following one
Input Portfolio
|
ID |
currency |
notional |
start.date |
maturity.date |
strike |
type |
standard |
time.unit.pay |
time.unit.receive |
dcc.pay |
dcc.receive |
|---|---|---|---|---|---|---|---|---|---|---|---|
|
Swap 25y |
EUR |
1.0e+07 |
19/01/2007 |
19/01/2032 |
0.0005982 |
receiver |
TRUE |
NA |
NA |
NA |
NA |
|
Swap 30y |
GBP |
1.0e+06 |
24/04/2012 |
24/04/2042 |
0.0100000 |
payer |
TRUE |
NA |
NA |
NA |
NA |
|
Swap 10y |
USD |
2.0e+06 |
21/02/2012 |
21/02/2022 |
0.0025000 |
receiver |
TRUE |
NA |
NA |
NA |
NA |
|
Swap 2y16y |
GBP |
7.5e+06 |
14/04/2021 |
14/04/2037 |
0.0150000 |
receiver |
TRUE |
NA |
NA |
NA |
NA |
|
Swap non standard |
EUR |
1.5e+07 |
26/05/2014 |
26/05/2039 |
0.0200000 |
payer |
FALSE |
12 |
3 |
act/365 |
act/365 |
|
Swap 10y semi fixed |
EUR |
1.0e+07 |
26/05/2014 |
26/05/2024 |
0.0010000 |
payer |
FALSE |
6 |
6 |
act/365 |
act/365 |
|
Swap 30y quarter floating |
GBP |
1.0e+06 |
24/04/2012 |
24/04/2042 |
0.0200000 |
receiver |
FALSE |
3 |
12 |
act/360 |
act/365 |
|
Swap 10y irregular |
USD |
2.0e+06 |
21/02/2012 |
21/02/2022 |
0.0025000 |
receiver |
FALSE |
6 |
12 |
act/365 |
act/365 |
|
Swap 2y16y |
EUR |
7.5e+06 |
14/04/2021 |
14/04/2037 |
0.0150000 |
payer |
FALSE |
12 |
12 |
act/365 |
act/360 |
-
The date at which the swaps are being priced
-
As many interest rate lists as per the currencies in the swap portfolio. The list is made of a string with the code of the currency and a with a tibble with the discounting factor curve with two columns: Dates and Discount Factors (df). Here is an example of interest rate list:
SwapPricer::EUR.curves
#> $currency
#> [1] "EUR"
#>
#> $discount
#> # A tibble: 26 x 2
#> Date df
#> <date> <dbl>
#> 1 2019-04-15 1
#> 2 2019-04-23 1.00
#> 3 2019-05-16 1.00
#> 4 2019-07-16 1.00
#> 5 2019-10-16 1.00
#> 6 2020-04-16 1.00
#> 7 2020-10-16 1.00
#> 8 2021-04-16 1.00
#> 9 2022-04-19 1.00
#> 10 2023-04-17 1.00
#> # … with 16 more rowsExamples of items 1 and 3 have been provided with the package.
library(SwapPricer)
today <- lubridate::ymd(20190415)
SwapPricer::SwapPortfolioPricing(SwapPricer::swap.basket, today,
SwapPricer::EUR.curves, SwapPricer::GBP.curves,
SwapPricer::USD.curves) This function returns a table that can be easily used for reporting like below
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
Pricing results
|
swap.id |
currency |
clean.mv |
dirty.mv |
accrual.pay |
accrual.receive |
par |
pv01 |
|---|---|---|---|---|---|---|---|
|
Swap 25y |
EUR |
-881,831.25 |
-874,928.79 |
5,506.67 |
1,395.80 |
0.77% |
-12,390.87 |
|
Swap 30y |
GBP |
105,100.25 |
104,665.66 |
-4,739.73 |
4,305.14 |
1.54% |
1,948.27 |
|
Swap 10y |
USD |
-119,333.64 |
-126,360.65 |
-7,777.01 |
750.00 |
2.43% |
-547.60 |
|
Swap 2y16y |
GBP |
-94,850.43 |
-94,850.43 |
-0.00 |
0.00 |
1.59% |
-10,393.05 |
|
Swap non standard |
EUR |
-2,590,941.00 |
-2,861,693.88 |
-264,657.53 |
-6,095.34 |
1.07% |
27,912.93 |
|
Swap 10y semi fixed |
EUR |
-16,313.13 |
-29,967.92 |
-3,835.62 |
-9,819.18 |
0.07% |
5,129.68 |
|
Swap 30y quarter floating |
GBP |
88,228.04 |
105,652.23 |
-2,082.67 |
19,506.85 |
1.55% |
-1,940.77 |
|
Swap 10y irregular |
USD |
-119,608.54 |
-126,827.43 |
-7,944.92 |
726.03 |
2.44% |
-545.92 |
|
Swap 2y16y |
EUR |
-361,098.10 |
-361,098.10 |
-0.00 |
0.00 |
1.18% |
11,170.90 |
The vignettes are a great place to learn more about SwapPricer.
If you are installing from github and want the vignettes, you’ll need to run the following commands first:
devtools::install_github("DavideMagno/SwapPricer", build_vignettes = TRUE)
library(SwapPricer)You can then access them from R with the vignette() command