Function to calculate the value of an interest rate swap.
irswapvalue()The Value of an interest rate swap.
The user inputs are as follows: Notional: to be entered in decimals for e.g. 1000000 Fixed rate: entered in decimals for e.g. 0.05 for 5 per cent Last spot rate: entered in decimals for e.g. 0.05 for 5 per cent Months for first payment: enter 3 for 3 months Spot rates: enter with comma separation. e.g. 0.054, 0.056, 0.058 Frequency of spot rates: chosen amongst continuous/quarterly/semi-annual/annual Settlement frequency: chosen amongst quarterly/semi-annual/annual
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.