Overview

This is a vanilla interest rate swap valuation calculator built in Excel. This kind of financial instrument is designed to let two parties pay each other interest rates based on some notional value. One party will pay a fixed leg while the other pays a variable leg. Depending on how interest rates change over time, one of the legs is going to be valuable and the other not.
The model will show each payment over time based on all the dynamic assumptions and calculate which leg is more profitable given certain configurations of libor / future interest rates.
The primary inputs include:

  • First Payment Date…..
  • Notional Amount…..
  • Interest Rate…..
  • Payment Schedule…..
  • Annual Payments…..(formula)
  • Total Years Swap Lasts For…..
  • Total Payment Periods…..(formula)
  • Starting Libor…..
  • Expected Libor % Change per Period…..
  • Period you Expect Libor to Start Changing…..
  • Discount Rate

Based on the above inputs, the model will calculate the total and present value of cash flows for each leg and show the value of each leg given the assumptions. There are lots of visualizations that make the results easy to understand over time.

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