Parameters
Enter swap parameters and click Set Parameters.
A row appears for each payment period — enter the floating rate (decimal) you observed or forecast
for that period. Discount factors are derived directly from the user-entered floating curve.
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Upload a .csv — one swap per row.
Provide a spot_rate (annual compounding, decimal) used to build a flat discount curve for each swap.
For a swap with N payment periods, add columns float_rate_1 … float_rate_N
with the floating rate (decimal) for each period.
| Column | Format | Example |
|---|---|---|
swap_id | Any string | SWAP_001 |
notional | Numeric | 1000000 |
fixed_rate | Decimal | 0.05 |
maturity | Years | 3 |
frequency | Payments/yr | 2 |
payer_is_floating | true / false | true |
spot_rate | Decimal (annual compounding) | 0.04 |
float_rate_1 … N | Decimal per period | 0.042 |
Example — 3yr semi-annual (6 periods):
SWAP_001,1000000,0.05,3,2,true,0.04,0.041,0.043,0.045,0.044,0.046,0.047
Swap NPV
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Results
Set parameters, fill in the tables, and calculate to display results.
Portfolio — Swap NPVs
| Swap ID | Notional | Fixed Rate | Maturity | Freq | Payer Float | NPV | Status | Error |
|---|---|---|---|---|---|---|---|---|
| No portfolio priced yet. | ||||||||