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- 223410
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- 344
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- 注册时间
- 2011-7-11
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- 2016-4-19
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All about marking to market a2 year vanilla interest rate swap, fixed rate, term structure 360 days later and upcoming floating payment (at the 540th day) are all given, but…
1) The question gives a term structure for 360 days later, but the question states the swap calls for marking to market after 180 days and states that it will now be marked to market. Is this a typo on the CFAI’s part? As they clearly give us the term structure for one year later, not 180 days later.
The question seems to calculate the MV of the fixed payments fine, but given that they are marking to market as of the 360th day (after I assume the second of four payments is made), they proceed to calculate the market value of the floating payments.
2) Would not the MV of the floating leg be simply $1 at this point? As it is on the coupon reset date itself.
Thanks in advance! I’ll post if I come around to their answer. |
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发表于 2013-4-12 22:50
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