GSwap_ParRate_Simple1() function  Previous topicNext topicFirst topicLast topic

GSwap_ParRate_Simple1() function

GSwap_ParRate_Simple1(argument list…)

This is a special version of the earlier GSwap_ParRate_Simple function, which takes an ARRAY of swap terms in months (with all other arguments common), and returns an array of par swap rates. It must be entered as an array formula (see Excel online help). This function will be faster when calculating tables of swap rates, compared to calling the earlier version of the function multiple times. 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
TIM_Array an array of the term of the swaps in months > 0
Freq number of fixed-side payments per annum 1, 2, 4, or 12
DCB day count basis 0 = 30/360
1 = act/360
2 = act/365 (fixed)
3 = Frequency based (for BONDS), equal coupons
360 =
365 = act/365 (fixed)
(if none of the above, the function defaults to frequency based)
Date_Conv business date convention 0 = no adjustment
1 = Following business day
2 = Modified following
3 = Previous
Holidays array of holiday dates valid Excel date numbers
strictly ascending order
Swap_Curve_Type defines how the Swap_Z_Rates array is to be interpreted 0 = continuously compounded riskless rates in, decimal form
1 = discount factors (first must be 1
.0, and must be declining)
Swap_Interp the interpolation method to employ for the Swap_Z_Rates array 0 = cubic-spline
1 = linear
2 = log-linear
Swap_Z_Dates array of zero coupon curve dates strictly ascending order
The first date of this array must be Valuation_Date
Swap_Z_Rates an array of zero rates or discount factors corresponding to Swap_Z_Dates

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