InterestRateSwap

A vanilla fixed-versus-floating interest-rate swap on the simulated short-rate curve. At a grid date t the outstanding fixed leg is valued from analytic P(t, T_j) bonds and the floating leg is taken at par from the next reset, so

receiveFixedValue(t) = notional * ( fixedRate * annuity(t) - (P(t, reset) - P(t, end)) )

and the payer swap is its negative. Only cash flows strictly after t are counted, so the value amortises to zero and the netting-set exposure has the usual mid-life hump.