| FwdParSwapRateVarPrin() function | |
FwdParSwapRateVarPrin() functionFwdParSwapRateVarPrin(argument list…)
This function returns the fixed side par rate on a forward (or spot) starting swap with variable notional principal. The function uses the following arguments:
| Argument | Description | Restrictions |
| Valuation_Date | valuation date (e.g. today) | valid Excel date number |
| Principal_Dates | array of Excel date numbers indicating notional swap principal dates | valid Excel date numbers >= Valuation_Date, in strictly ascending order |
| Principal_Amounts | array of notional swap principal amounts | > 0, corresponding to Principal_Dates array |
| 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 |
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