IMMParSwapRate() function |

**IMMParSwapRate() function**

**IMMParSwapRate(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 IMM dates of the Chicago Mercantile 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 orderThe 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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