PVBPParSwapHol() function  Previous topicNext topicFirst topicLast topic

PVBPParSwapHol() function

PVBPParSwapHol(argument list…)

This function return the price value of a basis point of a level principal swap per $100 notional. If needed, short first stub periods are generated. The routine uses a holiday calendar. 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 numbers
>= Valuation_Date
Term_in_Months term of the underlying swap in months > 0 (integer)
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 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

© 1995-98 Leap of Faith Research Inc.