irswapvalue: Calculate the value of an interest rate swap.
In GUIDE: GUI for DErivatives in R

Description Usage Details Value Author(s) References See Also

Function to calculate the value of an interest rate swap.

1	irswapvalue()

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.

curswapvalue,cdswap

GUIDE documentation built on May 2, 2019, 9:32 a.m.