NPV_Swap() function |

**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 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 |

Holidays |
array of holiday dates | valid Excel date numbers strictly ascending order |

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