| PVBPParSwapHol() function | |
PVBPParSwapHol() functionPVBPParSwapHol(argument list…)
This function return the price value of a basis point of a level principal swap per $100 notional. If needed, short first stub periods are generated. The routine uses a holiday calendar. 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 |
| Holidays | array of holiday dates | valid Excel date numbers strictly ascending order |
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