SwapPricer

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

Installation

For now, you can just install the development version from GitHub with:

# install.packages("devtools")
devtools::install_github("DavideMagno/SwapPricer")

Example

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 rows

Examples 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

Learning More

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

Name		Name	Last commit message	Last commit date
Latest commit History 53 Commits
R		R
data		data
man		man
vignettes		vignettes
.RData		.RData
.Rbuildignore		.Rbuildignore
.Rhistory		.Rhistory
.gitignore		.gitignore
.travis.yml		.travis.yml
DESCRIPTION		DESCRIPTION
LICENSE.md		LICENSE.md
NAMESPACE		NAMESPACE
README.Rmd		README.Rmd
README.md		README.md
SwapPricer.Rproj		SwapPricer.Rproj
cran-comments.md		cran-comments.md

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DavideMagno/SwapPricer

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