FwdParSwapRateVarPrin() function  Previous topicNext topicFirst topicLast topic

FwdParSwapRateVarPrin() function

FwdParSwapRateVarPrin(argument list…)

This function returns the fixed side par rate on a forward (or spot) starting swap with variable notional principal. The function uses the following arguments:

Argument Description Restrictions
Valuation_Date valuation date (e.g. today) valid Excel date number
Principal_Dates array of Excel date numbers indicating notional swap principal dates valid Excel date numbers
>= Valuation_Date, in strictly ascending order
Principal_Amounts array of notional swap principal amounts > 0, corresponding to Principal_Dates array
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

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