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Price = liborprice(ThreeMonthRates, Settle, Tenor, SwapRate, StartDate, Interpolation, ConvexAdj, RateParam, InArrears, Sigma, FixedCompound, FixedBasis)
Price = liborprice(ThreeMonthRates, Settle, Tenor, SwapRate, StartDate, Interpolation, ConvexAdj, RateParam, InArrears, Sigma, FixedCompound, FixedBasis) computes the price per $100 notional value of a swap given the swap rate. A positive result indicates that fixed side is more valuable than the floating side.
Price is the present value of the difference between floating and fixed-rate sides of the swap per $100 notional.
This example shows that a swap paying the par swap rate has a value of 0.
Load the input data.
[EDFutData, textdata] = xlsread('EDdata.xls');
Settle = datenum('15-Oct-2002');
Tenor = 2;
Compute the fixed rate from the Eurodollar data.
FixedSpec = liborfloat2fixed(EDFutData, Settle, Tenor);
Compute the price of a par swap.
Price = liborprice(EDFutData, Settle, Tenor, FixedSpec.Coupon) Price = 4.1633e-015
MATLAB computes a value for Price that is effectively equal to 0.
liborduration, liborfloat2fixed
![]() | liborfloat2fixed | mbscfamounts | ![]() |
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