Business Homework Solutions
#7335
Swap fixed rate (SFR) for a plain vanilla, two-year interest rate swap
What would be the swap fixed rate (SFR) for a plain vanilla, two-year interest rate swap, payments every six months beginning 07/01/0X, with the following assumptions/data:
Swap initiation - January 1, 200X
FRA1,0=2.221%; FRA1,1=2.258%; FRA1,2=2.322%; FRA1,3=2.388%;FRA1,4=2.520%;FRA1,5=2.632%
(Read the notation, FRA1,0 as "six-month forward rate from 01/01/0X,FRA1,1 as "six-month forward rate, six months from 01/01/0X, FRA1,2 as "six-month forward rate, one-year from 01/01/0X, etc.)
LIBOR to remain at 2.18%
The problem asks for the calculation of swap fixed rate (SFR) for a plain vanilla, two-year interest rate swap. The solution provides a detailed step by step calculation.
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- 7335.xls
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