Editing Interest rate swap (section)

===General description===
[[File:IRSflows.png|frame|right|Graphical depiction of IRS cashflows between two counterparties based on a notional amount of EUR100mm for a single (i'th) period exchange, where the floating index <math>r_i</math> will typically be an -IBOR index]]
An interest rate swap's (IRS's) effective description is a derivative contract, agreed between two [[counterparty|counterparties]], which specifies the nature of an exchange of payments benchmarked against an interest rate index. 
The most common IRS is a fixed for floating swap, whereby one party will make payments to the other based on an initially agreed fixed rate of interest, to receive back payments based on a floating interest rate index. 
Each of these series of payments is termed a "leg", so a typical IRS has both a fixed and a floating leg. 
The floating index is commonly an [[interbank rate|interbank offered rate]] (IBOR) of specific tenor in the appropriate currency of the IRS, for example [[LIBOR]] in GBP, [[EURIBOR]] in EUR, or STIBOR in SEK.

To completely determine any IRS a number of parameters must be specified for each leg:<ref name=PTIRDs>[http://www.tradinginterestrates.com Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps], J H M Darbyshire, 2017, {{ISBN|978-0995455528}}</ref>
*the [[notional principal amount]] (or varying notional schedule); 
*the start and end dates, [[Value date|value-]], [[Trade date|trade-]] and [[settlement date]]s, and date scheduling ([[date rolling]]); 
*the fixed rate (i.e. "[[swap rate]]", sometimes quoted as a "[[swap spread]]" over a benchmark); 
*the chosen floating interest rate index [[tenor (finance)|tenor]]; 
*the [[day count convention]]s for interest calculations.

Each currency has its own standard market conventions regarding the frequency of payments, the day count conventions and the end-of-month rule.<ref>"[https://quant.opengamma.io/Interest-Rate-Instruments-and-Market-Conventions.pdf Interest Rate Instruments and Market Conventions Guide]" Quantitative Research, OpenGamma, 2012.</ref>