NPV_Swap() function

NPV_Swap() function

NPV_Swap(argument list…)

This function returns the mark-to-market (net present value, or NPV) of a level principal swap from the perspective of the fixed-rate payer. If needed, short first stub periods are generated. The function uses the following arguments:

Argument	Description	Restrictions
Valuation_Date	valuation date (e.g. today)	valid Excel date number
Original_Swap_Start_Date	start date of swap	valid Excel date numbers >= Valuation_Date
Original_Term_in_Months	term of the underlying swap in months, as of the Original_Swap_Start_Date	> 0 (integer)
Fixed_Rate	fixed side rate on the swap in decimal form (e.g. six percent entered as 0.06)	> 0
Swap_Frequency	number of swap payments per year	1, 2, 4, or 12
Year_Basis	year basis used in determining payments	360 or 365
Float_Margin(bps)	margin above/below floating side flat in basis points
Last_Floating_Rate	rate for the next floating side payment in decimal form if it known	> 0 (if set to zero, will be calculated internally)
Notional_Principal	notional principal underlying the swap	positive number for fixed rate payer, negative number for floating rate payer
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