liborprice
Price swap given swap rate
Syntax
Description
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
= liborprice(ThreeMonthRates
,Settle
,Tenor
,SwapRate
)
specifies options using one or more optional arguments in addition to the input
arguments in the previous syntax.Price
= liborprice(___,StartDate
,Interpolation
,ConvexAdj
,RateParam
,InArrears
,Sigma
,FixedCompound
,FixedBasis
)