Valuation models
Interest rate swap
Par swap rate, mark-to-market, PV01 and projected cash flows of vanilla, OIS and zero-coupon swaps, spot or forward starting, bullet or amortizing, on today's zero curves.
Inputs
Results
Explain this result
Get a plain-English reading of the numbers above and what drives them.
Preview: rule-based reading. AI-assisted explanations run on the analytics core.
Methodology
Conventions
- Single curve: the same zero curve projects and discounts.
- Accrual is 1 / frequency.
References
- Hull, Options, Futures, and Other Derivatives, ch. 7
Formulas
- Par rate
- K = Σ τ F D / Σ τ D
- Payer value
- V = PV(float) − N K A