www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PricePer100NotionalValueOfswapExample.m

    %% Compute the Price Per $100 Notional Value of a Swap Given the Swap Rate 
% 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(:,1:3), Settle, Tenor)

% compute the price of a par swap
Price = liborprice(EDFutData(:,1:3), Settle, Tenor, FixedSpec.Coupon)
%%
% |Price| is effectively equal to 0.