IAmNeil

Is that right? I've been going with sum of (FDF/Sum of FDF) * forward rate.
So that's giving you an average of the forward rates, weighted by the FDF.

The reason NPV of forward rates doesn't work is if you're the long, you'll be paying the swap rate in excess of the forward rates early in the term and a swap rate below the forward rates late in the term (assuming an upward-sloping curve). You're essentially lending money early and borrowing money late.

Hope I didn't embarrass myself here ...