The Excel Derivatives Periscope



Swap Rate is a child type of Interest Rate that represents what is widely known as "spot swap rate index".
Being of
Quotable type, a swap rate value may be ascribed to it at any time, which is the fair annualised rate of an underlying swap assumed to start on that time.
That underlying swap is a fixed-versus-floating interest rate swap, of which the tenor, frequency and conventions are all defined within the type here.
As a result, the start date and maturity of the underlying swap depend on the chosen valuation date.
As the valuation date changes, the tenor, frequency and conventions of the underlying swap stay fixed, but its start date, maturity and coupon schedule necessarily change.