标题: Swaps - practice prob (confusion on IR) [打印本页]

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作者: Viceroy    时间: 2011-7-13 16:44     标题: Swaps - practice prob (confusion on IR)

In practice problem 4 of reading 37, when we cumulate our overpayment in Yr 1 to Yr 2 we multiply the overpayment of Yr 1 by 1.070024.

This i presume is the interest rate factor or the implied forward rate between years one and two.

how is the value of 1.070024 calculated??

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