Basic swap valuation.

Description

Basic swap valuation. Uses the same curve for forecasting and discounting and uses the 3 month rate off the curve as the Jibar Fix.

Example Sheet

ZARSwap.xlsx

Arguments

  • swap (IRSwap)The name of the swap.
  • valueDate (Date)The date on which valuation is required. Cannot be before the anchor date of the curve.
  • curve (IDiscountingSource)The discounting curve. Will also be used for forecasting Jibar and providing the most recent required Jibar fix.