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NPV_Swap() function

NPV_Swap(argument list…)

This function returns the mark-to-market (net present value, or NPV) of a level principal swap from the perspective of the fixed-rate payer. If needed, short first stub periods are generated. The function uses the following arguments:

Argument Description Restrictions
Valuation_Date valuation date (e.g. today) valid Excel date number
Original_Swap_Start_Date start date of swap valid Excel date numbers
>= Valuation_Date
Original_Term_in_Months term of the underlying swap in months, as of the Original_Swap_Start_Date > 0 (integer)
Fixed_Rate fixed side rate on the swap in decimal form (e.g. six percent entered as 0.06) > 0
Swap_Frequency number of swap payments per year 1, 2, 4, or 12
Year_Basis year basis used in determining payments 360 or 365
Float_Margin(bps) margin above/below floating side flat in basis points
Last_Floating_Rate rate for the next floating side payment in decimal form if it known > 0
(if set to zero, will be calculated internally)
Notional_Principal notional principal underlying the swap positive number for fixed rate payer, negative number for floating rate payer
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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