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Zero Curve (Swap Forward Rates) Template

Component

Resolution - Swap Pricing | Resolution - Utility

Brief

Use this template to generate a forward rate curve based on swap rates and cash rates.

Zero Curve (Swap Forward Rates)

Worksheet

Description

.

Input Rates

This sheet contains the input cash and swap rates.

Functions Used

oGetFwdDate

Zero Curve

This sheet contains the output zero curve.

Functions Used

oZCcash_swap

Forward Rates

This sheet contains the calculated forward rates.

Functions Used

oSWPir1_Dates | oGetFwdRate

Holidays

This sheet contains the holiday list.

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