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Use the swap uploader on SWPM to save the deals and "CUSIP" them (starts with "S" and has a Corp tail). I believe you can then reference them through the Excel add-in by the "CUSIP" Another way using Excel is if you have an Anywhere subscription, you can make use of the Derivatives toolkit and structure/price/analyze your swaps all in the sheet.


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From what I have now read I can partially answer 2: It is normally (conventionally) 1+rdn or log1p(rdn) except on Brazilian reset rates which use (1+rd)^n or n(log1p(rd)). FED funds conventionally don't compound but use a weighted average rate over the period (weighted by daycount), and that is how they compound in Libor vs FED funds swaps. For SOFR vs FED ...


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Most people would say: carry = the 1day p/l resulting from overnight rate being different from coupon = (3.2- 3.0)* 1day accrual. Roll down = p/l on remaining swap assuming spot rates remain the same = (2.9-3.0) * 9 days accrual.


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(This is my opinion; someone is likely to disagee). I like to think of the carry as the predictable part (e.g. the coupon that accrues daily) and the rolldown as the stochastic part (the curves moved - maybe the forwards realized, maybe not. A good estimate of what it might turn out to be as to reprice for the next day assuming all forwards are realized. I ...


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sorry, I cannot comment yet as I have less than 50 reputation. So I will to have to put another answer here. I think you are probably right. This is the same as you are paying fixed on a interest rate swap contract but the floating rate goes negative. In this case, in theory, you will have to pay both legs. usually, for an inflation swap (either zero ...


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I think this is not an inflation specific question, isn't it. The same question can apply to interest swap. And I assume by inflation swap, you mean zero coupon inflation swap(ZCIS). The margin is determined by the mark to market (MTM) of the contact. In the case of ZCIS, it will need a model, i.e., inflation curve model, for valuating the final fixing and ...


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