| FwdParSwapRateHol() function | |
FwdParSwapRateHol() functionFwdParSwapRateHol(argument list…)
This function returns the fixed side par rate on a forward (or spot) starting swap with level notional principal. If needed, short first stub periods are generated. One should now use the function NewParSwapRate as it is more flexible. 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) |
| Frequency | 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 |
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