SWAPBYZERO seems to treat an interest rate (IR) swap as a combination of a floating bond and a fixed rate bond. But this is actually wrong, because a IR swap does not have principal payment to exchange at the end. If I set the principal equal to 0, then SWAPBYZERO errors out. It seems that it replies on the principal to calculate the coupon payments.
MATLAB: Does SWAPBYZERO include the principal in its computation of the Interest Rate Swaps in MATLAB (R2013b)
Financial Instruments Toolboxprincipalswapbyzeroswaps
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