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FwdParSwapRateHol() function

FwdParSwapRateHol(argument list…)

This function returns the fixed side par rate on a forward (or spot) starting swap with level notional principal. If needed, short first stub periods are generated. One should now use the function NewParSwapRate as it is more flexible. 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 numbers
>= Valuation_Date
Term_in_Months term of the underlying swap in months > 0 (integer)
Frequency 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
Holidays array of holiday dates valid Excel date numbers
strictly ascending order

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