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- 2011-7-11
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3#
发表于 2011-7-13 14:49
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vinniepaz730 Wrote:
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> What does it mean the value of the fixed rate
> side, does that mean the value of the swap to the
> fixed rate side? , hence a value of $0.99768 means
> the fixed side loses? Say if the value of the
> floating side was $1.01066, that means the
> floating side wins?
>
> A practice exam question in Schweser book 1. Page
> 65 # 117.I was confused by their wording.
>
> Thanks
No you cannot say that. It depends on who is receiving the fixed/floating and paying fixed/floating. Lets assume that I am receiving fixed and paying floating
Then,
0.99768 - 1.01066 = -0.01298 x 1,000,000 (assumed) = -12,980
I have to pay the floating side $12,980. So yes the floating side wins. |
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