- Shuffle
Toggle OnToggle Off
- Alphabetize
Toggle OnToggle Off
- Front First
Toggle OnToggle Off
- Both Sides
Toggle OnToggle Off
Front
How to study your flashcards.
Right/Left arrow keys: Navigate between flashcards.right arrow keyleft arrow key
Up/Down arrow keys: Flip the card between the front and back.down keyup key
H key: Show hint (3rd side).h key
PLAY BUTTON
PLAY BUTTON
7 Cards in this Set
- Front
- Back
|
Pricing int rate Swaps
Swap Rate Formula for Fixed |
C = 1 - z4
________ z1 + z2 + z3 + z4 zed factors: 1 / 1+un-annualized Libor, just a discount rate |
|
Pricing int rate Swaps
zed factors |
use 5 decimal pts for accuracy
90d 4.5% ---> df: .98888 zed factors: .045 x 90/360 1 plus recip >>>>> .98888 |
|
Pricing int rate Swaps
don't forget |
ANNUALIZE your rates from the
1-z4 / z1+z2+z3+z4 = c |
|
Pricing int rate Swaps
which day count for swaps? |
360
|
|
Valuing Int Rate Swaps
Payer Swap: PVfloat - PVfixed |
PVfloat:
Libor at LAST settlement was 3.5%, this determines the coupon at the NEXT payment date. Last was quarterly (90d) so .035 x 90/360 = .00875 ---> Coupon $8.75 FRN RESETS TO PAR OF 1000 NOW! so 1008.75 x zed factor minus PVfixed: 1 - Z4 / z1 + z2 + z3 + z4 .0584annulized f.rate x 90/360 = .0146, par 1000 = $14.60 Coupons Last day, 14.60 + 1000 = $1014.60 multiply x zed factors to bring back to PV Vfixed rate swap holder = PVfloating - PV fixed, adjust by dividing by $1000 |
|
CURRENCY SWAPS
|
Interest rates used to price currency swaps are the swap rates respective to each currency's term structure (LIBOR)
|
|
Euro Fixed, Pay $Fixed
Fixed, think C = 1 - z4 / z1+z2+z3+z4 |
Calc Cash Flows using FX at initiation
|
