NewParSwapRate() function

NewParSwapRate() function

NewParSwapRate(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. It is an enhanced version of the earlier "FwdParSwapRate" routine. 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)
Fixed_Freq	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
Float_Reset_Freq	number of floating side rate settings per year	1, 2, 4, or 12
Float_Margin(bps)	margin above/below floating side flat in basis points
Holidays	array of holiday dates	valid Excel date numbers strictly ascending order
Date_Convention	convention used in generating swap payment dates	0 = no adjustment 1 = Following Business Day 2 = Modified Following 3 = Previous Business Day
First_Reset_Rate	rate for the next floating side payment in decimal form if it known (used only if Swap_Start_Date is the Valuation_Date)	> 0 (if set to zero, will be calculated internally)