irswapvalue {GUIDE}

Calculate the value of an interest rate swap.

Description

Function to calculate the value of an interest rate swap.

Usage

irswapvalue()

Details

The user inputs are as follows:
Notional: to be entered in decimals for e.g. 1000000
Fixed rate: entered in decimals for e.g. 0.05 for 5 per cent
Last spot rate: entered in decimals for e.g. 0.05 for 5 per cent
Months for first payment: enter 3 for 3 months
Spot rates: enter with comma separation. e.g. 0.054, 0.056, 0.058
Frequency of spot rates: chosen amongst continuous/quarterly/semi-annual/annual
Settlement frequency: chosen amongst quarterly/semi-annual/annual

Value

The Value of an interest rate swap.

Author(s)

S Subramanian <[e-mail]>

References

John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.

See Also

curswapvalue,cdswap