标题: CFAI Page 289 Example 8 [打印本页] 作者: giorgio10 时间: 2013-4-12 22:50 标题: CFAI Page 289 Example 8
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 $1 at this point? As it is on the coupon reset date itself.
Thanks in advance! I’ll post if I come around to their answer.作者: dandman 时间: 2013-4-12 22:50
MV is not 1$ for the floating payment. It is the present value of 1$….
you are revaluing the swap as of 180 days out… and that is the mark to market value of the swap. The two parties settle (whoever has positive value gets paid) and the new swap fixed rate starts up (if I remember right).
