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Actually, it's more intuitive than what is in L2 formula. It's basically stating that the pv(receiv floating leg cash flows)=pv(pay fixed leg cash flows).
Forwards determine the "future" cash flow payments in receive floating leg.
Swap rate, the fixed rate, can be derived from the above equation.
Edited 1 time(s). Last edit at Saturday, May 28, 2011 at 08:33PM by deriv108. |
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发表于 2011-7-11 20:06
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