1.Constructing a zero coupon yield curve
2.Extrapolating a forecast of future interest rates to establish the amount of each future floating rate cash flow
3.Deriving discount factors to value each swap fixed and floating rate cash flow
4.Discounting and present valuing all known (fixed) and forecasted (floating) swap cash flows.
market value of swap equals to the present cash flow diffierence betweeen the floating player and fixed player. | 
发表于 2009-6-6 13:19
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