Function to calculate the value of a fixed-fixed currency swap.
curswapvalue()The Value of a fixed-fixed currency swap.
The user inputs are as follows: Notional(Home): to be entered in numbers for e.g. 1000000 Payment rate (Home): entered in decimalsfor e.g. 0.05 for 5 per cent Interest rate (Home): entered in decimalsfor e.g. 0.05 for 5 per cent Notional(Foreign): to be entered in numbers for e.g. 1200000 Payment rate (Foreign): entered in decimals for e.g. 0.05 for 5 per cent Interest rate (Foreign): entered in decimals for e.g. 0.05 for 5 per cent Months for first payment: enter 3 for 3 months Spot exchange rate: units of home currency per unit of foreign currency. e.g. 1.5 dollars per pound is entered as 1.5 Frequency of spot rates: chosen amongst continuous/quarterly/semi-annual/annual Number of periods: corresponds to settlement frequency. for e.g. if settlement frequency is chosen as semi-annual, a value of 3 (Number of periods) means three semi-annums. Settlement frequency: chosen amongst quarterly/semi-annual/annual
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.