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Basic Question 0 of 6
When the Quantum Electronic swap was first established, the fixed rate was set at 9.75%. To value the swap 180 days into its life, we have the new term structure of interest rates as follows:
What's the value of the swap?
User Contributed Comments 2
| User | Comment |
|---|---|
| ashish100 | Where did that 2 come from in the equilibrium fixed swap rate formula ?? |
| ashish100 | 360/180 |
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Learning Outcome Statements
describe how interest rate swaps are priced, and calculate and interpret their no-arbitrage value;
CFA® 2024 Level II Curriculum, Volume 5, Module 33.