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[null,"Curve Date","2024-05-14"]
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[null,"INR MIBOR"]
[null,"Date","Tenor","Zero Rate"]
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[null,"2024-06-15","1M",6.9918000000000005]
[null,"2024-07-16","2M",6.9925000000000006]
[null,"2024-08-15","3M",6.9522000000000004]
[null,"2024-11-15","6M",6.9240000000000004]
[null,"2025-02-15","9M",6.8757999999999999]
[null,"2025-05-15","1Y",6.8604000000000003]
[null,"2026-05-15","2Y",6.7017000000000007]
[null,"2027-05-15","3Y",6.6484000000000005]
[null,"2028-05-16","4Y",6.6160000000000005]
[null,"2029-05-15","5Y",6.6177999999999999]
[null,"2031-05-15","7Y",6.6690000000000005]
[null,"2034-05-16","10Y",6.6680999999999999]
[null,"2999-02-14",null,{"$f":"D18","v":6.6680999999999999}]

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[null,"Trade Details"]
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[null,"Sr. No.","Nominal","Valuation Date","Spot Date","Option Maturity","Swap Start Date","Swap Maturity","Strike","Volatility","Fixed Leg","Float Leg","Buy/Sell"]
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[null,null,"2024-03-24","2024-05-14","2024-05-15",null,null,"2024-05-24"]
[null,null,null,null,null,null,null,null,"2024-05-27","2029-05-28"]
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[null,null,"Swaption maturity","2 months"]
[null,null,"IRS maturity","5 years"]
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[null,null,null,"2*5"]

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[null,"Type","1. SWAPTION","1. SWAPTION"]
[null,"Instrument","INR OIS CMP A 1Y","INR OIS CMP A 1Y"]
[null,"Generator Details","Open","Open"]
[null,"Buy/Sell","Buy","Buy"]
[null,"Nominal",1000000000,"INR"]
[null,"Option style","European","European"]
[null,"Exercise dates","Details","Details"]
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[null,"Maturity period","1y","2024-11-20"]
[null,"Exercise Mode","Standard","Standard"]
[null,"Flows","Open","Open"]
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[null,"Forward",0,0]
[null,"Premium",5.3600000000000002E-2,5.3600000000000002E-2]
[null,"Settl.Premium Amount",536000,536000]
[null,"Settl.Date","2023-10-18","2023-10-18"]
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[null,"Pay/Receive1","Pay","Pay"]
[null,"Leg1 type","Fixed","Fixed"]
[null,"Currency1","INR","INR"]
[null,"Index1"]
[null,"Rate/Margin",6.96,6.96]
[null,"Leg NPV",0,0]
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[null,"Pay/Receive2","Receive","Receive"]
[null,"Leg type2","Floating","Floating"]
[null,"Currency2","INR","INR"]
[null,"Index2","INR MIBOR CMP 1Y","INR MIBOR CMP 1Y"]
[null,"Rate/Margin2",0,0]
[null,"Leg NPV2",0,0]
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[null,"Portfolio","MU-TRIR-SWN-T01","MU-TRIR-SWN-T01"]
[null,"Internal","No","No"]
[null,"Counterpart","ICICI-MUM","ICICI-MUM"]
[null,"Cnt Number",161875975,161875975]
[null,"Origin Reference",161875975,161875975]
[null,"Trading Date","2023-10-17","Fixed"]
[null,"View","SWAPTION 2","SWAPTION 2"]
[null,"Typology","OSWP","OSWP"]
[null,"B2B Number"]
[null,"BRANCH_DET"]
[null,"Reuters Conv.",14737,14737]
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[null,"10Y",null,"VolX","Y",11.265000000000001,12.265000000000001,11.734999999999999,12.734999999999999,12.436999999999999,13.436999999999999,13.148,14.148,13.893000000000001,14.893000000000001,13.827,14.827,13.760999999999999,14.760999999999999,13.696999999999999,14.696999999999999,13.638,14.638,13.555999999999999,14.555999999999999,13.669,14.669,13.914,14.914]

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[null,"Fixed Leg"]
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[null,"DF (Val Date to Swap Start)",{"$f":"(1+InterpolateLocal(B7,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B7,3))","v":0.99759586408101519}]
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[null,"Calculation Start Date","Calculation End Date","Payment Date","Remaining Capital","Rate","Yearfrac","Undiscounted CFs","DF (Val to Payment)","DF (Swap Start to Payment)","Discounted CF"]
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[null,"2028-11-27","2029-05-28","2029-05-28",{"$f":"Inputs!$C$5","v":1000000},{"$f":"Inputs!$I$5","v":6.2E-2},0.49863013698630138,30915.068493150684,{"$f":"(1+InterpolateLocal(D16,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D16,3))","v":0.72391738441480324},{"$f":"(1+InterpolateLocal(D16,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D16,3))/$C$4","v":0.72566197443257807},22433.889642458111,0.36096702455751833]
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[null,"Float Leg"]
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[null,"2026-05-27","2026-11-27","2026-11-27",{"$f":"E11","v":1000000},{"$f":"(1+InterpolateLocal(B26,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B26,3))/$C$4","v":0.87844350976595487},{"$f":"(1+InterpolateLocal(C26,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C26,3))/$C$4","v":0.85073398084280294},6.4611586331827134E-2,0.50410958904109593,32571.32023303067,{"$f":"(1+InterpolateLocal(D26,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D26,3))","v":0.84868870072195779},0.85073398084280294,27709.528923151913]
[null,"2026-11-27","2027-05-27","2027-05-27",{"$f":"E12","v":1000000},{"$f":"(1+InterpolateLocal(B27,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B27,3))/$C$4","v":0.85073398084280294},{"$f":"(1+InterpolateLocal(C27,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C27,3))/$C$4","v":0.82451733144305306},6.4119730276039025E-2,0.49589041095890413,31796.359397159078,{"$f":"(1+InterpolateLocal(D27,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D27,3))","v":0.82253507971070527},0.82451733144305306,26216.649399749847]
[null,"2027-05-27","2027-11-29","2027-11-29",{"$f":"E13","v":1000000},{"$f":"(1+InterpolateLocal(B28,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B28,3))/$C$4","v":0.82451733144305306},{"$f":"(1+InterpolateLocal(C28,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C28,3))/$C$4","v":0.79835094417003816},6.4317601689738504E-2,0.50958904109589043,32775.544970661264,{"$f":"(1+InterpolateLocal(D28,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D28,3))","v":0.79643159998920354},0.79835094417003816,26166.387273014967]
[null,"2027-11-29","2028-05-29","2028-05-29",{"$f":"E14","v":1000000},{"$f":"(1+InterpolateLocal(B29,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B29,3))/$C$4","v":0.79835094417003816},{"$f":"(1+InterpolateLocal(C29,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C29,3))/$C$4","v":0.77363329251164659},6.4075725630545144E-2,0.49863013698630138,31950.087848655388,{"$f":"(1+InterpolateLocal(D29,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D29,3))","v":0.77177337292499681},0.77363329251164659,24717.65165839162]
[null,"2028-05-29","2028-11-27","2028-11-27",{"$f":"E15","v":1000000},{"$f":"(1+InterpolateLocal(B30,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B30,3))/$C$4","v":0.77363329251164659},{"$f":"(1+InterpolateLocal(C30,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C30,3))/$C$4","v":0.74928197945661834},6.5177631215490098E-2,0.49863013698630138,32499.531181422459,{"$f":"(1+InterpolateLocal(D30,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D30,3))","v":0.74748060373635861},0.74928197945661834,24351.313055028309]
[null,"2028-11-27","2029-05-28","2029-05-28",{"$f":"E16","v":1000000},{"$f":"(1+InterpolateLocal(B31,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B31,3))/$C$4","v":0.74928197945661834},{"$f":"(1+InterpolateLocal(C31,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C31,3))/$C$4","v":0.72566197443257807},6.5278038486866502E-2,0.49863013698630138,32549.597272903295,{"$f":"(1+InterpolateLocal(D31,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D31,3))","v":0.72391738441480324},0.72566197443257807,23620.005024040263]
[null,"Total",null,null,null,null,null,null,null,null,null,null,{"$f":"SUM(M31:M31)","v":23620.005024040263}]
[]
[null,"NP (Swap)",{"$f":"-K17+M32","v":-237381.2328462264}]
[]
[]
[null,"Swap Annuity Factor (Using Formula)",{"$f":"SUMPRODUCT(G7:G16,I7:I16)","v":4.1995767003129556}]
[]
[null,"Fair Forward Rate (Using Formula)",{"$f":"SUMPRODUCT(I22:I31,H22:H31,K22:K31)/C37","v":6.5168110787407987E-2}]
[]
[null,"Fair Forward Rate (Using Swap Valuation)",6.5265058272784365E-2]
[null,"Diff",{"$f":"ROUND(C39-C41,6)","v":-9.7E-5}]
[]
[null,"Fixed Leg"]
[]
[null,"DF (Val Date to Swap Start)",{"$f":"(1+InterpolateLocal(B49,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B49,3))","v":0.99759586408101519}]
[]
[null,"Calculation Start Date","Calculation End Date","Payment Date","Remaining Capital","Rate","Yearfrac","Undiscounted CFs","DF (Val to Payment)","DF (Swap Start to Payment)","Discounted CF"]
[null,{"$f":"B7","v":"2024-05-27"},"2024-11-27","2024-11-27",1000000,{"$f":"$C$41","v":6.5265058272784365E-2},{"$f":"YEARFRAC(B49,C49,3)","v":0.50410958904109593},{"$f":"E49*F49*G49","v":32900.741704636501},{"$f":"(1+InterpolateLocal(D49,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D49,3))","v":0.96454199720478406},{"$f":"(1+InterpolateLocal(D49,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D49,3))/$C$46","v":0.96686647562770289},{"$f":"H49*J49","v":31810.624177499274}]
[null,"2024-11-27","2025-05-27","2025-05-27",1000000,{"$f":"$C$41","v":6.5265058272784365E-2},{"$f":"YEARFRAC(B50,C50,3)","v":0.49589041095890413},{"$f":"E50*F50*G50","v":32364.316568147864},{"$f":"(1+InterpolateLocal(D50,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D50,3))","v":0.93363863153725613},{"$f":"(1+InterpolateLocal(D50,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D50,3))/$C$46","v":0.93588863502087949},{"$f":"H50*J50","v":30289.396056347538}]
[null,"2025-05-27","2025-11-27","2025-11-27",1000000,6.5265058272784365E-2,0.50410958904109593,32900.741704636501,{"$f":"(1+InterpolateLocal(D51,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D51,3))","v":0.9039897736030662},{"$f":"(1+InterpolateLocal(D51,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D51,3))/$C$46","v":0.90616832542286163},29813.610015660564]
[null,"2025-11-27","2026-05-27","2026-05-27",1000000,6.5265058272784365E-2,0.49589041095890413,32364.316568147864,{"$f":"(1+InterpolateLocal(D52,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D52,3))","v":0.87633161217132749},{"$f":"(1+InterpolateLocal(D52,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D52,3))/$C$46","v":0.87844350976595487},28430.223837300255]
[null,"2026-05-27","2026-11-27","2026-11-27",1000000,6.5265058272784365E-2,0.50410958904109593,32900.741704636501,{"$f":"(1+InterpolateLocal(D53,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D53,3))","v":0.84868870072195779},{"$f":"(1+InterpolateLocal(D53,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D53,3))/$C$46","v":0.85073398084280294},27989.778963066237]
[null,"2026-11-27","2027-05-27","2027-05-27",1000000,6.5265058272784365E-2,0.49589041095890413,32364.316568147864,{"$f":"(1+InterpolateLocal(D54,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D54,3))","v":0.82253507971070527},{"$f":"(1+InterpolateLocal(D54,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D54,3))/$C$46","v":0.82451733144305306},26684.939930747467]
[null,"2027-05-27","2027-11-29","2027-11-29",1000000,6.5265058272784365E-2,0.50958904109589043,33258.358462295597,{"$f":"(1+InterpolateLocal(D55,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D55,3))","v":0.79643159998920354},{"$f":"(1+InterpolateLocal(D55,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D55,3))/$C$46","v":0.79835094417003816},26551.84187991927]
[null,"2027-11-29","2028-05-29","2028-05-29",1000000,6.5265058272784365E-2,0.49863013698630138,32543.124946977408,{"$f":"(1+InterpolateLocal(D56,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D56,3))","v":0.77177337292499681},{"$f":"(1+InterpolateLocal(D56,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D56,3))/$C$46","v":0.77363329251164659},25176.444901348037]
[null,"2028-05-29","2028-11-27","2028-11-27",1000000,6.5265058272784365E-2,0.49863013698630138,32543.124946977408,{"$f":"(1+InterpolateLocal(D57,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D57,3))","v":0.74748060373635861},{"$f":"(1+InterpolateLocal(D57,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D57,3))/$C$46","v":0.74928197945661834},24383.977077975291]
[null,"2028-11-27","2029-05-28","2029-05-28",1000000,6.5265058272784365E-2,0.49863013698630138,32543.124946977408,{"$f":"(1+InterpolateLocal(D58,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D58,3))","v":0.72391738441480324},{"$f":"(1+InterpolateLocal(D58,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D58,3))/$C$46","v":0.72566197443257807},23615.308303229715]
[null,"Total",null,null,null,null,null,null,null,null,{"$f":"SUM(K49:K58)","v":274746.14514309366}]
[]
[null,"Float Leg"]
[]
[null,"Calculation Start Date","Calculation End Date","Payment Date","Remaining Capital","DF (Swap Start to Start Date)","DF (Swap Start to End Date)","Fwd Rate","Yearfrac","Undiscounted CFs","DF (Val to Payment)","DF (Swap Start to Payment)","Discounted CF"]
[null,{"$f":"B49","v":"2024-05-27"},{"$f":"C49","v":"2024-11-27"},{"$f":"D49","v":"2024-11-27"},{"$f":"E49","v":1000000},{"$f":"(1+InterpolateLocal(B64,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B64,3))/$C$4","v":1},{"$f":"(1+InterpolateLocal(C64,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C64,3))/$C$4","v":0.96686647562770289},{"$f":"(F64/G64-1)/YEARFRAC(B64,C64,3)","v":6.7979219359998455E-2},{"$f":"YEARFRAC(B64,C64,3)","v":0.50410958904109593},{"$f":"E64*H64*I64","v":34268.976334903338},{"$f":"(1+InterpolateLocal(D64,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D64,3))","v":0.96454199720478406},{"$f":"K64/$C$46","v":0.96686647562770289},{"$f":"J64*L64","v":33133.524372297143}]
[null,{"$f":"B50","v":"2024-11-27"},"2025-05-27","2025-05-27",1000000,{"$f":"(1+InterpolateLocal(B65,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B65,3))/$C$4","v":0.96686647562770289},{"$f":"(1+InterpolateLocal(C65,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C65,3))/$C$4","v":0.93588863502087949},{"$f":"(F65/G65-1)/YEARFRAC(B65,C65,3)","v":6.6748461032641274E-2},{"$f":"YEARFRAC(B65,C65,3)","v":0.49589041095890413},{"$f":"E65*H65*I65","v":33099.921772350885},{"$f":"(1+InterpolateLocal(D65,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D65,3))","v":0.93363863153725613},{"$f":"K65/$C$46","v":0.93588863502087949},{"$f":"J65*L65","v":30977.84060682336}]
[null,{"$f":"B51","v":"2025-05-27"},"2025-11-27","2025-11-27",1000000,{"$f":"(1+InterpolateLocal(B66,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B66,3))/$C$4","v":0.93588863502087949},{"$f":"(1+InterpolateLocal(C66,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C66,3))/$C$4","v":0.90616832542286163},6.5060814063809702E-2,0.50410958904109593,32797.780240386266,{"$f":"(1+InterpolateLocal(D66,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D66,3))","v":0.9039897736030662},0.90616832542286163,29720.309598017844]
[null,{"$f":"B52","v":"2025-11-27"},"2026-05-27","2026-05-27",1000000,{"$f":"(1+InterpolateLocal(B67,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B67,3))/$C$4","v":0.90616832542286163},{"$f":"(1+InterpolateLocal(C67,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C67,3))/$C$4","v":0.87844350976595487},6.3645707462781878E-2,0.49589041095890413,31561.296029489098,{"$f":"(1+InterpolateLocal(D67,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D67,3))","v":0.87633161217132749},0.87844350976595487,27724.8156569067]
[null,{"$f":"B53","v":"2026-05-27"},"2026-11-27","2026-11-27",1000000,{"$f":"(1+InterpolateLocal(B68,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B68,3))/$C$4","v":0.87844350976595487},{"$f":"(1+InterpolateLocal(C68,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C68,3))/$C$4","v":0.85073398084280294},6.4611586331827134E-2,0.50410958904109593,32571.32023303067,{"$f":"(1+InterpolateLocal(D68,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D68,3))","v":0.84868870072195779},0.85073398084280294,27709.528923151913]
[null,{"$f":"B54","v":"2026-11-27"},"2027-05-27","2027-05-27",1000000,{"$f":"(1+InterpolateLocal(B69,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B69,3))/$C$4","v":0.85073398084280294},{"$f":"(1+InterpolateLocal(C69,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C69,3))/$C$4","v":0.82451733144305306},6.4119730276039025E-2,0.49589041095890413,31796.359397159078,{"$f":"(1+InterpolateLocal(D69,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D69,3))","v":0.82253507971070527},0.82451733144305306,26216.649399749847]
[null,{"$f":"B55","v":"2027-05-27"},"2027-11-29","2027-11-29",1000000,{"$f":"(1+InterpolateLocal(B70,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B70,3))/$C$4","v":0.82451733144305306},{"$f":"(1+InterpolateLocal(C70,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C70,3))/$C$4","v":0.79835094417003816},6.4317601689738504E-2,0.50958904109589043,32775.544970661264,{"$f":"(1+InterpolateLocal(D70,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D70,3))","v":0.79643159998920354},0.79835094417003816,26166.387273014967]
[null,{"$f":"B56","v":"2027-11-29"},"2028-05-29","2028-05-29",1000000,{"$f":"(1+InterpolateLocal(B71,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B71,3))/$C$4","v":0.79835094417003816},{"$f":"(1+InterpolateLocal(C71,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C71,3))/$C$4","v":0.77363329251164659},6.4075725630545144E-2,0.49863013698630138,31950.087848655388,{"$f":"(1+InterpolateLocal(D71,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D71,3))","v":0.77177337292499681},0.77363329251164659,24717.65165839162]
[null,{"$f":"B57","v":"2028-05-29"},"2028-11-27","2028-11-27",1000000,{"$f":"(1+InterpolateLocal(B72,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B72,3))/$C$4","v":0.77363329251164659},{"$f":"(1+InterpolateLocal(C72,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C72,3))/$C$4","v":0.74928197945661834},6.5177631215490098E-2,0.49863013698630138,32499.531181422459,{"$f":"(1+InterpolateLocal(D72,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D72,3))","v":0.74748060373635861},0.74928197945661834,24351.313055028309]
[null,{"$f":"B58","v":"2028-11-27"},"2029-05-28","2029-05-28",1000000,{"$f":"(1+InterpolateLocal(B73,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,B73,3))/$C$4","v":0.74928197945661834},{"$f":"(1+InterpolateLocal(C73,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,C73,3))/$C$4","v":0.72566197443257807},6.5278038486866502E-2,0.49863013698630138,32549.597272903295,{"$f":"(1+InterpolateLocal(D73,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(val_Date,D73,3))","v":0.72391738441480324},0.72566197443257807,23620.005024040263]
[null,"Total",null,null,null,null,null,null,null,null,null,null,{"$f":"SUM(M64:M73)","v":274338.02556742192}]
[]
[null,"NP (Swap)",{"$f":"K59-M74","v":408.11957567173522},"<- Check NPV"]
[]
[]
[null,"Calculation","Notation as per Murex Documentation","Value"]
[null,"Annuity Factor","As(t)",{"$f":"C37","v":4.1995767003129556}]
[null,"Fair Forward Rate","S(t)",{"$f":"C39","v":6.5168110787407987E-2}]
[null,"Nominal","N",{"$f":"Inputs!C5","v":1000000}]
[null,"Strike","K",{"$f":"Inputs!I5","v":6.2E-2}]
[null,"Volatility","sigmaLN",{"$f":"Inputs!J5","v":0.10489999999999999}]
[null,"Valuation Date","t",{"$f":"Inputs!D5","v":"2024-05-14"}]
[null,"Option Maturity","T",{"$f":"Inputs!F5","v":"2024-05-24"}]
[null,"Yerfrac (Val Date to Option Maturity)","(T - t)",{"$f":"YEARFRAC(D85,D86,3)","v":2.7397260273972601E-2}]
[]
[null,"d1",{"$f":"LN(D81/D83)/(D84*SQRT(D87))+0.5*D84*SQRT(D87)","v":2.878886822423969}]
[null,"d2",{"$f":"C89-D84*SQRT(D87)","v":2.8615236508810913}]
[null,"N(d1)",{"$f":"_xlfn.NORM.S.DIST(C89,TRUE)","v":0.99800459237441941}]
[null,"N(d2)",{"$f":"_xlfn.NORM.S.DIST(C90,TRUE)","v":0.99789194977157802}]
[null,"N'(d1)",{"$f":"_xlfn.NORM.S.DIST(C89,FALSE)","v":6.3269739799466686E-3}]
[null,"N'(d2)",{"$f":"_xlfn.NORM.S.DIST(C90,FALSE)","v":6.6502732463582627E-3}]
[null,"N(-d1)",{"$f":"_xlfn.NORM.S.DIST(-C89,TRUE)","v":1.9954076255805412E-3}]
[null,"N(-d2)",{"$f":"_xlfn.NORM.S.DIST(-C90,TRUE)","v":2.1080502284219847E-3}]
[]
[null,"NPV for swaption (as on valuation date)",{"$f":"D82*D80*(D81*C91-D83*C92)","v":13307.505076112446}]
[null,"DF (Spot date to Val Date)",{"$f":"(1+InterpolateLocal(Inputs!E5,inr_ois_dates,inr_ois_rates)%)^(-YEARFRAC(Inputs!E5,val_Date,3))","v":0.99981486094850558}]
[null,"NPV for swaption (as on spot date)",{"$f":"C98/C99","v":13309.969271198735}]
[]
[]
[]
[]
[]
[]
[]
[null,"The sample swaption deal is a fixed payer option. Thus, it is considered to be a call option."]
[]
[null,"Greek","Independent Value (as %)","Independent Value"]
[null,"Delta",{"$f":"C91*100","v":99.800459237441942},{"$f":"C111%*Inputs!C5","v":998004.59237441944}]
[null,"Gamma",{"$f":"C93/(D81*D84*SQRT(D87))","v":5.5915454762454031},{"$f":"C112%*Inputs!C5","v":55915.454762454036}]
[null,"Vega",{"$f":"D81*SQRT(D87)*C93*D82/100*D80","v":2.866092909856516},{"$f":"C113","v":2.866092909856516}]
[null,"BPV",{"$f":"-D80*C91*200000","v":-838239.36658818822},{"$f":"C114","v":-838239.36658818822}]