Swap

To price an interest rate swap, users need to specify a valuation date, a start date (if it is a forward swap), term (measured in years), swap rate (in percentage), fixed leg payment interval (in years) and paying or receiving.

The default yield curve used is LEDS curve. Users can specify their own yield curve by providing rate input.

Functionality to price more exotic swaps can be provided upon request. Please contact us for more information.