Swap Valuation
Swap Valuation (OIS Discounting)
Input
Swap Curve Output Swap Pricing
Swap Rate + Discount Forward Notional Fixed PV Floating PV
Years Rate Shift Factor Rate Multiple Leg Fixed Leg Floating
1 1.00% 1.00% 0.995025 1.00% 1 -300,000 -298,507 100,000 99,502
2 2.00% 2.00% 0.970517 3.03% 1 -300,000 -291,155 302,525 293,606
3 3.00% 3.00% 0.927670 5.12% 1 -300,000 -278,301 511,879 474,855
4 4.00% 4.00% 0.868346 7.33% 1 -300,000 -260,504 733,187 636,659
0.00% Shift swap curve Fixed -1,128,467 Floating 1,504,623
Swap NPV 376,156
OIS Curve
Swap Terms
OIS Rate + Discount
Years Rate Shift Factor Notional 10,000,000
1 0.50% 0.50% 0.995025 Pay/Receive
2 1.50% 1.50% 0.970517 First LIBOR 1.00%
3 2.50% 2.50% 0.927670 Swap Rate 3.00%
4 3.50% 3.50% 0.868346
1
Pay Fixed
Receive Fixed
-1
0.00% Shift OIS curve
Sheet3