标题: cfa mock, AM, swap question #8 [打印本页] 作者: hardwork24 时间: 2013-4-8 12:08 标题: cfa mock, AM, swap question #8
in valuating swap 45 days later - i don’t understand how we got the B0 factors. i think for this we would need to know libor rates for 45 days, 135 days 225 days and 315 days. but the term structure are given for 90 180 270 and 360. so how did we get the factors 0.9972+0.9903+0.9772+0.9587 ??作者: Daniel1985 时间: 2013-4-8 12:09
This drove me crazy as well. I probably spent 20 minutes trying to figure out the same thing. I concluded it was an mistake in the second table.
