Interest Rate Swap
Price a vanilla fixed-for-floating IRS using a flat continuously-compounded yield curve. Computes NPV, par rate, DV01, cashflow schedule, and rate sensitivities.
InstrumentsSwap Parameters
$
%
%
yr
SWAP NPV
—
Key Metrics
| Par Swap Rate | — | DV01 | — |
| Fixed Leg PV | — | Float Leg PV | — |
| Duration | — | Payments | — |
NPV vs Market Rate
NPV vs Fixed Rate (K)
Cashflow Schedule
| # | Date (yr) | Fixed CF | Float CF | Net CF | Discount | Fixed PV | Float PV |
|---|
Cash Flow Structure
Cross-Currency Swap — Illustrative