Swap Valuation
Swap Valuation (LIBOR Discounting)
Input
Swap Curve Output Swap Pricing Spot-Starting and Forward-Starting Swap Rates
Swap Rate + Discount ZC Forward Notional Fixed PV Floating PV Term
Years Rate Shift Factor Yield Rate Multiple Leg Fixed Leg Floating Effective 1 2 3 4
1 1.00% 1.00% 0.990099 1.00% 1.00% 1 -400,000 -396,040 100,000 99,010 0 1.00% 2.00% 3.00% 4.00%
2 2.00% 2.00% 0.960978 2.01% 3.03% 1 -400,000 -384,391 303,030 291,206 1 3.03% 4.06% 5.09%
3 3.00% 3.00% 0.914046 3.04% 5.13% 1 -400,000 -365,619 513,455 469,322 2 5.13% 6.21%
4 4.00% 4.00% 0.851341 4.11% 7.37% 1 -400,000 -340,537 736,542 627,049 3 7.37%
Shift 0.00% Fixed -1,486,586 Floating 1,486,586
Swap NPV 0
Swap Terms
Notional 10,000,000
Pay/Receive
First LIBOR 1.00%
Swap Rate 4.00%
1
Pay Fixed
Receive Fixed
-1
Sheet3