Description Usage Details Value Author(s) References See Also
Function to calculate the value of an interest rate swap.
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The user inputs are as follows:
Notional: to be entered in decimals for e.g. 1000000
Fixed rate: entered in decimals for e.g. 0.05 for 5 per cent
Last spot rate: entered in decimals for e.g. 0.05 for 5 per cent
Months for first payment: enter 3 for 3 months
Spot rates: enter with comma separation. e.g. 0.054, 0.056, 0.058
Frequency of spot rates: chosen amongst continuous/quarterly/semi-annual/annual
Settlement frequency: chosen amongst quarterly/semi-annual/annual
The Value of an interest rate swap.
S Subramanian <ssubramanian@sssihl.edu.in>
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.
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