IRS

Vanilla single-currency interest rate swap. One leg pays a fixed rate, the other pays a floating rate (e.g. SOFR) on the same notional.

Economics

Field	Default
Notional	user-defined
Currency	USD or EUR (config-driven)
Fixed leg	annual coupon, Act/360
Float leg	quarterly, Act/360, USD-SOFR (compounded in arrears)
Tenor	1Y / 2Y / 5Y / 10Y typical

Per-product schedule defaults from irsforge.yaml:

scheduleDefaults:
  IRS: { frequencyMonths: 3, dayCountConvention: Act360 }

On-chain template

Proposal: Swap.IrsProposal. On IrsAccept, the Daml Finance factory chain creates an Instrument with two leg streams.

Lifecycle

Standard 5-stage flow — see Swap Lifecycle.

Oracle inputs

• Discount curve for the trade currency (curves.currencies.<ccy>.discount).
• Projection curve for the float index (curves.currencies.<ccy>.projection).
• Index observations for the float leg, published as Index values per SOFR Service.

Pricing

NPV = PV(fixed leg) − PV(float leg)        (from Pay side)
PV(leg) = Σ DF(t) × notional × rate(t) × accrual(t)

See Pricing & Curves for sign conventions.