Interest Rate Swap Valuation & P&L Engine

Seed: Swap terms (notional, fixed_rate, float_index, start, end, freq), discount curve table; sample PV formula: =NPV(DiscountRates,FixedLegFlows)-NPV(DiscountRates,FloatingLegEstimates)

Implementation Guide

A compact valuation engine to price plain-vanilla interest rate swaps, compute mark-to-market (MTM), accrual and daily P&L. Includes PV of fixed and estimated floating legs, accrual schedules, line-by-line cashflow generation with day-count conventions, and sensitivity (DV01) via bump-and-reprice. Designed for treasury and finance teams needing quick desk-level valuations without a full rates platform; integrates curve inputs, supports amortizing notionals and outputs journal-ready P&L lines. Add audit columns for curve source and valuation date.

💡 Expert Q&A Insights

Q: \

Does it support different day-count conventions?\" \"

Q: Yes—include a day-count parameter per leg and use a DAYCNT helper function (360/365) for accruals.\"\n\"

How to get DV01?\" \"

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