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GSwap_ParRate_Simple() function

GSwap_ParRate_Simple(argument list…)

This function returns the par swap rate for simple swaps using the "general" zero curve. The zero curve can be defined either by zero rates or discount factors, and different interpolation methods are offered. 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 term of the swap 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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