GSwap_ParRate_Simple() function

GSwap_ParRate_Simple() function

GSwap_ParRate_Simple(argument list…)

This function returns the par swap rate for simple swaps using the "general" zero curve. The zero curve can be defined either by zero rates or discount factors, and different interpolation methods are offered. 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 number >= Valuation_Date
TIM	term of the swap in months	> 0
Freq	number of fixed-side payments per annum	1, 2, 4, or 12
DCB	day count basis	0 = 30/360 1 = act/360 2 = act/365 (fixed) 3 = Frequency based (for BONDS), equal coupons 360 = act/360 365 = act/365 (fixed) (if none of the above, the function defaults to frequency based)
Date_Conv	business date convention	0 = no adjustment 1 = Following business day 2 = Modified following 3 = Previous
Holidays	array of holiday dates	valid Excel date numbers strictly ascending order
Swap_Curve_Type	defines how the Swap_Z_Rates array is to be interpreted	0 = continuously compounded riskless rates in, decimal form 1 = discount factors (first must be 1.0, and must be declining)
Swap_Interp	the interpolation method to employ for the Swap_Z_Rates array	0 = cubic-spline 1 = linear 2 = log-linear
Swap_Z_Dates	array of zero coupon curve dates	strictly ascending order The first date of this array must be Valuation_Date
Swap_Z_Rates	an array of zero rates or discount factors corresponding to Swap_Z_Dates