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BAXParSwapRate() function

BAXParSwapRate(argument list…)

This function returns the fixed side par rate on a forward (or spot) starting swap with level notional principal with payment dates corresponding to the BAX dates of the Montreal Futures Exchange. Since both the start and end dates of the swap are passed as arguments, stubs can be created at both ends of the swap as needed. The function uses the following arguments:

Argument Description Restrictions
Valuation_Date valuation date (e.g. today) valid Excel date number
Swap_Start_Date start date of swap valid Excel date number
>= Valuation_Date
End_Date end date of swap valid Excel date number
> Swap_Start_Date
Fixed_Freq number of fixed side payments per year 1, 2, 4, or 12
Year_Basis year basis used in determining payments 360 or 365
Zero_Dates array of zero coupon curve dates strictly ascending order
The first date of this array must be Valuation_Date
Zero_Rates array of continuously compounded riskless rates in decimal form (e.g. six percent entered as 0.06) corresponding to Zero_Dates > 0
Floating_Freq number of floating side rate settings per year 1, 2, 4, or 12
Floating_Margin margin above/below floating side flat in basis points
First_Float_Rate rate for the next floating side payment in decimal form if it known (used only if Swap_Start_Date is the Valuation_Date) > 0
(if set to zero, will be calculated internally)

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