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hardwork24

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tT
发表于 2013-4-1 14:20 | 只看该作者

Swap fixed rate : Quick question

completely, knowledge, discount, question, remember
I’m leaking knowledge and have completely forgotten this.
How do I calculate this? If you were starting from scratch and wanted to construct the fixed rate based on the various forward rates.
Something to do with discount factors I remember that (Z1+z4)/Z1+Z2+Z3+Z4)….
Thanks

 

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mdfb79

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发表于 2013-4-1 14:20 | 只看该作者
should be:
fixed rate (swap rate) = (sum of discount factor * forward rate)/(sum of discount factors)

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chandsingh

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发表于 2013-4-1 14:20 | 只看该作者
Cool thanks. Of course it is….
Starting to worry about this test big time by forgetting basic stuff. You know, this morning I put the milk in the cupboard, and the sugar in the fridge? This time last year I forgot the pin number for my credit card. Never remebered it again.

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onelife1

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发表于 2013-4-1 14:20 | 只看该作者
Hahaha “the milk in the cupboard, and the sugar in the fridge”!!! I’m doing weird things like that too.

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